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In this paper, we examine the characteristics of market opening news and its impact on the estimated coefficients of the conditional volatility models of the GARCH class. We find that the differences between the opening price of one day and the closing price of the day before have different...
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[fre] Volatilité conditionnelle, signaux d'échange et perception du risque par Giampiero M. Gallo et Barbara Pacini . Cet article étudie le rôle d'un terme de volatilité conditionnelle exprimant la présence de risque dans la relation entre le taux de change courant et à terme sur données...
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