Early News Is Good News. The Effects of Market Opening on Market Volatility.

In this paper we eamine the characteristics of market opening news and its impact on the estimated coefficients of the conditional volatility model of the GARCH class.

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Year of publication:	1998
Authors:	Gallo, G.M. ; Pacini, B.
Institutions:	Department of Economics, European University Institute
Subject:	VOLATILITY \| ECONOMIC MODELS \| FORECASTS

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Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	27 pages
Classification:	C53 - Forecasting and Other Model Applications ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005744354