Persistence of announcement effects on the intraday volatility of stock returns : evidence from individual data
Remzi Uctum, Patricia Renou-Maissant, Georges Prat, Sylvie Lecarpentier-Moyal
| Year of publication: |
November 2017
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|---|---|
| Authors: | Uctum, Remzi ; Renou-Maissant, Patricia ; Prat, Georges ; Lecarpentier-Moyal, Sylvie |
| Published in: |
Review of financial economics : RFE. - Medford, MA : Wiley, ISSN 1058-3300, ZDB-ID 1116477-3. - Vol. 35.2017, p. 43-56
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| Subject: | Intraday volatility | High frequency modelling | Persistence of announcement effects | Firm-specific stock returns | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | Börsenkurs | Share price | ARCH-Modell | ARCH model | Aktienindex | Stock index | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.rfe.2017.03.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011959408