Similar Search Results

Measuring and testing the impact of news on volatility

Engle, Robert F. - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1749-1778

Persistent link: https://www.econbiz.de/10001155967

News and idiosyncratic volatility : the public information processing hypothesis

Engle, Robert F.; Hansen, Martin Klint; Karagozoglu, … - In: Journal of financial econometrics 19 (2021) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10012504316

Measuring and testing the impact of news on volatility

Engle, Robert F.; Ng, Victor K. - 1991

Persistent link: https://www.econbiz.de/10000814056

Time-varying betas and asymmetric effects of news : empirical analysis of blue chip stocks

Cho, Young-hye; Engle, Robert F. - 1999

Persistent link: https://www.econbiz.de/10001417230

Measuring and Testing the Impact of News on Volatility

Engle, Robert F. - 1991

This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A variety of new and existing ARCH models are compared and estimated with daily Japanese stock return data to determine the shape of the News Impact Curve. New diagnostic tests...

Persistent link: https://www.econbiz.de/10012475330