Lecarpentier-Moyal, Sylvie; Prat, Georges; … - Institut de Préparation à l'Administration et à la … - 2013
We analyze the empirical relationship between announcement effects and return volatilities of four CAC40 companies using intraday financial and event data from SBF-Euronext and Bloomberg, respectively. We estimate the daily component of the intraday volatility using a FIGARCH model and the...