Systematic cojumps, market component portfolios and scheduled macroeconomic announcements
Year of publication: |
September 2017
|
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Authors: | Kam Fong Chan ; Bowman, Robert G. ; Neely, Christopher J. |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 43.2017, p. 43-58
|
Subject: | Systematic cojumps | Scheduled macroeconomic announcements | Market component portfolios | Federal Funds rate | Ankündigungseffekt | Announcement effect | Portfolio-Management | Portfolio selection | Volatilität | Volatility |
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