EVI-Emerging Asia - EDHEC-Risk
EVI-Emerging Asia - EDHEC-Risk
EVI-Emerging Asia - EDHEC-Risk
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Cross-Sectional Volatility<br />
• We propose to use the cross-sectional dispersion<br />
of returns at any given date and frequency as an<br />
observable, model-free proxy for volatility.<br />
• Formally, define for a given universe of N stocks<br />
the return on a weighting scheme w it ,<br />
• The CSV Index is then equal to
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