Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - 2011 - This version: May 9, 2011
We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …
