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This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A … shape of the News Impact Curve. New diagnostic tests are presented which emphasize the asymmetry of the volatility response …
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structure. Moreover, based on strong empirical evidence, we propose a multiplicative volatility factor (MVF) model, where stock … that our MVF model leads to significantly improved volatility prediction. The favorable performance of the proposed MVF …
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but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
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covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …
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but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …
Persistent link: https://www.econbiz.de/10012584099
covariances, is the concept of a regularized return, obtained from a volatility proxy in conjunction with a smoothed sign …
Persistent link: https://www.econbiz.de/10012253083