Volatility Patterns and Idiosyncratic Risk on the Swedish Stock Market
Using the methodology introduced by Campbell et al. (2001), we decompose and evaluate the historical volatility patterns of the Swedish stock market in the time period 1985 - 2012. The volatility at all component levels, including idiosyncratic risk, appear to be fairly stable throughout the sample, with the exception of temporary dramatic increases during periods of economic distress. As opposed
