effects of modifying the direct impact of daily innovations on volatility and reducing the estimated overall persistence of …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 …

effects of modifying the direct impact of daily innovations on volatility and reducing the estimated overall persistence of …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 …

news category and by financial market. It is demonstrated that most of the volatility persistence, as observed by GARCH …This paper explores the relationship between daily market volatility and the arrival of public information in four … different financial markets. Public information is measured as the daily number of economic news headlines, divided in six …

This study investigates the impact of domestic and foreign currency-valued exchange rate volatility on the export and … least-squares dummy variable technique with fixed-effects estimation to measure the volatility impact on both demand … functions. The study evaluates a series of exchange rates from 1970:01 to 2009:12 to compare the long-run impact of volatility …