Stock market volatility and public information flow : a non-linear perspective
Kristoffer Pons Bertelsen, Daniel Borup, Johan Stax Jakobsen
| Year of publication: |
2021
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|---|---|
| Authors: | Bertelsen, Kristoffer Pons ; Borup, Daniel ; Jakobsen, Johan Stax |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 204.2021, p. 1-5
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| Subject: | GARCH-MIDAS | Mixture-distribution hypothesis | News analytics | Realized GARCH | Smooth transitioning | Stock market volatility | Volatilität | Volatility | Aktienmarkt | Stock market | Börsenkurs | Share price | ARCH-Modell | ARCH model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Ankündigungseffekt | Announcement effect |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2021.109905 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012607808