Something in the air : information density, news surprises, and price jumps
Roland Füss, Markus Grabellus, Ferdinand Mager, Michael Stein
| Year of publication: |
March 2018
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|---|---|
| Authors: | Füss, Roland ; Grabellus, Markus ; Mager, Ferdinand ; Stein, Michael |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 53.2018, p. 50-75
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| Subject: | Information flow | Jump identification | Macroeconomic announcements | Price discovery process | Price jumps | Börsenkurs | Share price | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | Informationsverbreitung | Information dissemination | Preis | Price | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2017.09.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011983755