Wan, Yang; Clutter, Michael L.; Siry, Jacek P.; Mei, Bin - In: Forest Policy and Economics 28 (2013) C, pp. 15-22
Macroeconomic news is viewed as the source of systematic risk in financial markets. This study investigated the impact of macroeconomic news on the returns and volatilities of the lumber and paper industry portfolios in the United States over 1963–2010. Using ARMA-EGARCH models, we examined...