On the robustness of the principal volatility components

C-Tier

Journal: Journal of Empirical Finance

Year: 2019

Volume: 52

Issue: C

Pages: 201-219

Authors (3)

Trucíos, Carlos (not in RePEc) Hotta, Luiz K. (not in RePEc) Valls Pereira, Pedro L. (Fundação Getúlio Vargas (FGV))

Score contribution per author:

0.336 = (α=2.02 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count