Macroeconomic news surprises, volume and volatility relationship in index futures market
Ameet Kumar Banerjee, H.K. Pradhan, Trilochan Tripathy and A. Kanagaraj
| Year of publication: |
2020
|
|---|---|
| Authors: | Banerjee, Ameet Kumar ; Pradhan, H. K. ; Tripathy, Trilochan ; Kanagaraj, A. |
| Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 52.2020, 3, p. 275-287
|
| Subject: | asymmetric effect | exponential GARCH | index futures | Macroeconomic news surprises | Index-Futures | Index futures | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | ARCH-Modell | ARCH model | Handelsvolumen der Börse | Trading volume | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2019.1645277 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012197389