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~institution:"Center for Financial Studies"
~language:"und"
~subject:"Volatility"
~subject:"balance of payments"
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Volatility
balance of payments
Conditional Volatility
3
Multivariate GARCH
3
GARCH
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High-Frequency Data
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Leverage Effect
2
Liquidity
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Market Microstructure
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Realized Volatility
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law of one price
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purchasing power parity
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realized volatility
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relative price volatility
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Asset Pricing
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Asset Return Volatility
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Business cycles
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Empirical distribution
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Factor Models
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Firm-specific News
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Forecasting
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HAR-RV model
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High-frequency Data
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Informational Volatility
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Groß-Klußmann, Axel
1
Hautsch, Nikolaus
1
Hendershott, Terrence
1
Menkveld, Albert J.
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Center for Financial Studies
International Monetary Fund (IMF)
175
International Monetary Fund
148
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
88
C.E.P.R. Discussion Papers
22
Université Paris-Dauphine (Paris IX)
15
EconWPA
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Cowles Foundation for Research in Economics, Yale University
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Department of Economics, Oxford University
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Institute of Economic Research, Kyoto University
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East Asian Bureau of Economic Research (EABER)
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European Association of Agricultural Economists - EAAE
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Centro de Investigación y Docencia Económicas (CIDE)
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Department of Economics and Finance, College of Business and Economics
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Department of Economics and Finance, La Trobe Business School
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London School of Economics (LSE)
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Society for Computational Economics - SCE
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Erasmus University Rotterdam, Econometric Institute
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World Scientific Publishing Co. Pte. Ltd.
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Centre for Finance, Credit and Macroeconomics (CFCM), School of Economics
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European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ.
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Henley Business School, University of Reading
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Hong Kong Institute for Monetary Research (HKIMR), Government of Hong Kong
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Indian Institute of Foreign Trade
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Institute for Social and Economic Change (ISEC)
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Price pressures
Hendershott, Terrence
;
Menkveld, Albert J.
-
Center for Financial Studies
-
2010
.28% with a half-life of 0.92 days. Price pressure causes average transitory
volatility
in daily stock returns of 0.49%. Price …
Persistent link: https://www.econbiz.de/10010958491
Saved in:
2
Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel
;
Hautsch, Nikolaus
-
Center for Financial Studies
-
2009
direction of company-specific news. Information-implied reactions in returns,
volatility
as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in
volatility
and trading volume. However …
Persistent link: https://www.econbiz.de/10010986436
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