The Information Content of Cross-sectional Volatility for Future Market Volatility: Evidence from Australian Equity Returns

Md. Arifur Rahman ()
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Md. Arifur Rahman: University of Western Sydney

Frontiers in Finance and Economics, 2007, vol. 4, issue 1, 91-124

Keywords: incremental information; conditional market volatility; cross-sectional volatility; stock turnover; multiple common factor shocks (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2007
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