News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Deniz Erdemlioglu and Xiye Yang
| Year of publication: |
2023
|
|---|---|
| Authors: | Erdemlioglu, Deniz ; Yang, Xiye |
| Subject: | FOMC events | high-frequency data | news announcements | realized volatility | time-varying jump intensity | volatility jumps | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Börsenkurs | Share price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbac015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014444697