Christoffersen, Peter; Ghysels, Eric; Swanson, Norman R. - Centre Interuniversitaire de Recherche en Analyse des … - 2001
We show that using data which are properly available in real time when assessing the sensitivity of asset prices to economic news leads to different empirical findings that when data availability and timing issues are ignored. We do this by focusing on a particular example, namely Chen, Roll and...