Persistence of announcement effects on the intraday volatility of stock returns : evidence from individual data
Year of publication: |
November 2017
|
---|---|
Authors: | Uctum, Remzi ; Renou-Maissant, Patricia ; Prat, Georges ; Lecarpentier-Moyal, Sylvie |
Published in: |
Review of financial economics : RFE. - Medford, MA : Wiley, ISSN 1058-3300, ZDB-ID 1116477-3. - Vol. 35.2017, p. 43-56
|
Subject: | Intraday volatility | High frequency modelling | Persistence of announcement effects | Firm-specific stock returns | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | Kapitaleinkommen | Capital income | Börsenkurs | Share price | ARCH-Modell | ARCH model | Schätzung | Estimation | Aktienmarkt | Stock market |
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