EVI-Emerging Asia - EDHEC-Risk
EVI-Emerging Asia - EDHEC-Risk
EVI-Emerging Asia - EDHEC-Risk
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Introducing a New Volatility Index<br />
Series<br />
• We conceived a project on a volatility indicator<br />
which would be:<br />
– Model-free<br />
– Based on equity market data alone<br />
– Available for all markets/sectors<br />
– Available at all frequencies<br />
• We have identified a methodology and studied its<br />
properties<br />
– Garcia, R., D. Mantilla-Garcia, and L. Martellini (2011)<br />
Idiosyncratic <strong>Risk</strong> and the Cross-Section of Stock Returns,<br />
<strong>EDHEC</strong> Working Paper<br />
– Goltz, F., R. Guobuzaite, L. Martellini, S. Stoyanov (2012)<br />
Introducing a new form of volatility index: The crosssectional<br />
volatility index, Bankers, Markets, Investors No.<br />
117, March-April, pp. 19-27.
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