Browsing BI Open by Author "Johansen, Fredrik Nordby"

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Realized Volatility Modeling of S&P 500 Index Members and the Impact of Temporal Variations in the Mean Levels

Fredrik Våland, Fusdahl; Johansen, Fredrik Nordby (Master thesis, 2021)

Using a daily panel dataset including almost all the stocks in the S&P 500 dating back to 1985, we document strong similarities in the risk dynamics across stocks. The similarities in risk dynamics are exploited by ...