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 … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U … statistically and economically significant explanatory variables for volatility. Private information is more important than public …
