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A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns
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- Journal:
- Journal of Financial and Quantitative Analysis / Volume 49 / Issue 5-6 / December 2014
- Published online by Cambridge University Press:
- 27 August 2014, pp. 1133-1165
- Print publication:
- December 2014
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- Article
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