Showing 1 - 10 of 26
Persistent link: https://www.econbiz.de/10000884302
Persistent link: https://www.econbiz.de/10000867493
Persistent link: https://www.econbiz.de/10000867612
Persistent link: https://www.econbiz.de/10000871284
In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...
Persistent link: https://www.econbiz.de/10003394353
Persistent link: https://www.econbiz.de/10003826483
Persistent link: https://www.econbiz.de/10002770207
Persistent link: https://www.econbiz.de/10001571084
Persistent link: https://www.econbiz.de/10001496182
Persistent link: https://www.econbiz.de/10001437430