Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
behavior and/or contagion effects? Do news effects vary over the business cycle?
Just as the central question of price … conclude that the stock market responses tend to be asymmetric across the business cycle.
Especially, good real economic news … over the stage of the business cycle. In particular,
Boyd, Jagannathan and Hu (2001) argue that information about interest …