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subject:"Volatility"
~person:"Chan, Kam Fong"
~person:"Dijk, Dick van"
~type:"article"
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Volatility
Ankündigungseffekt
6
Announcement effect
6
Börsenkurs
5
Share price
5
Volatilität
4
Aktienmarkt
2
Earnings announcement
2
Earnings announcements
2
Gewinn
2
Gewinnprognose
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Profit
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Stock market
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2001-2008
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Beta risk
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Betafaktor
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CAPM
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Capital asset pricing model
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Capital income
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Electronic trading
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Elektronisches Handelssystem
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Erwartungsbildung
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Estimation
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Event-based trading
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Expectation formation
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Financial market
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Finanzmarkt
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Forecasting model
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Geldpolitik
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Government securities
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High-frequency trading
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Impact assessment
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Implied moments
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Information
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Jump-implied variance contribution index
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Kapitaleinkommen
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Chan, Kam Fong
Dijk, Dick van
Ben Omrane, Walid
10
Smales, Lee A.
9
Caporale, Guglielmo Maria
7
Evans, Kevin P.
7
Hussain, Syed Mujahid
7
Shi, Yanlin
7
Wójtowicz, Tomasz
7
Bollerslev, Tim
6
Cai, Jun
6
Corbet, Shaen
6
Gurgul, Henryk
6
Ho, Kin-Yip
6
Speight, Alan E. H.
6
Jiang, George J.
5
Kim, Suk-Joong
5
López, Raquel
5
Nikkinen, Jussi
5
Sahlström, Petri
5
Spagnolo, Fabio
5
Spagnolo, Nicola
5
Vortelinos, Dimitrios I.
5
Andersen, Torben
4
Frijns, Bart
4
Gillas, Konstantinos Gkillas
4
Kam Fong Chan
4
Lee, Jae-ha
4
Lucey, Brian M.
4
Mauck, Nathan
4
Zhang, Zhaoyong
4
Anagnostopoulou, Seraina C.
3
Bjursell, Johan
3
Chatrath, Arjun
3
Chebbi, Tarek
3
Cheung, Stephen Y. L.
3
Ederington, Louis H.
3
Farka, Mira
3
Füss, Roland
3
Gau, Yin-feng
3
Hautsch, Nikolaus
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Journal of banking & finance
2
International journal of forecasting
1
Journal of empirical finance
1
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ECONIS (ZBW)
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What can we learn from firm-level jump-induced tail risk around earnings announcements?
Liu, Mengxi
;
Chan, Kam Fong
;
Faff, Robert W.
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013461866
Saved in:
2
Speed, algorithmic trading, and market quality around macroeconomic news announcements
Scholtus, Martin L.
;
Dijk, Dick van
;
Frijns, Bart
- In:
Journal of banking & finance
38
(
2014
),
pp. 89-105
Persistent link: https://www.econbiz.de/10010340790
Saved in:
3
Order flow and volatility : an empirical investigation
Opschoor, Anne
;
Taylor, Nicholas
;
Wel, Michel van der
; …
- In:
Journal of empirical finance
28
(
2014
),
pp. 185-201
Persistent link: https://www.econbiz.de/10011285068
Saved in:
4
Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin
;
Dijk, Dick van
;
Pooter, Michiel de
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
Saved in:
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