Linear and nonlinear intraday causalities in response to U.S. macroeconomic news announcements : evidence from Central Europe
Year of publication: |
2016
|
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Authors: | Gurgul, Henryk ; Lach, Łukasz ; Wójtowicz, Tomasz |
Published in: |
Managerial economics. - Kraków : AGH University of Science and Technology Press, ISSN 2353-3617, ZDB-ID 2786996-9. - Vol. 17.2016, 2, p. 217-240
|
Subject: | trading volume | return volatility | public news | sequential information arrival | Granger causality | Kausalanalyse | Causality analysis | Ankündigungseffekt | Announcement effect | Volatilität | Volatility | USA | United States | Börsenkurs | Share price | Handelsvolumen der Börse | Trading volume | Wirkungsanalyse | Impact assessment | Schätzung | Estimation |
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