News and idiosyncratic volatility : the public information processing hypothesis
Robert F. Engle, Martin Klint Hansen, Ahmet K. Karagozoglu and Asger Lunde
| Year of publication: |
2021
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|---|---|
| Authors: | Engle, Robert F. ; Hansen, Martin Klint ; Karagozoglu, Ahmet K. ; Lunde, Asger |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 1, p. 1-38
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| Subject: | firm-specific news | realized volatility | public information arrival | information processing hypothesis of return volatilit | Volatilität | Volatility | Börsenkurs | Share price | Ankündigungseffekt | Announcement effect | Informationsökonomik | Economics of information | Informationsverbreitung | Information dissemination | Information | Informationsverhalten | Information behaviour | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa038 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012504316