Macro news and stock returns in the Euro area : a VAR-GARCH-in-mean analysis
Guglielmo Maria Caporale, Fabio Spagnolo, Nicola Spagnolo
| Year of publication: |
May 2016
|
|---|---|
| Authors: | Caporale, Guglielmo Maria ; Spagnolo, Fabio ; Spagnolo, Nicola |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 45.2016, p. 180-188
|
| Subject: | Macro news | Volatility spillovers | VAR-GARCH-in-mean model | Volatilität | Volatility | Eurozone | Euro area | Ankündigungseffekt | Announcement effect | Spillover-Effekt | Spillover effect | EU-Staaten | EU countries | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Wirkungsanalyse | Impact assessment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2016.03.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011581967