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:1091-1096, 2018) that is able to generate realistic stock-price dynamics (in terms of level trajectories and volatility paths …
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This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day …. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday … data for 8 different stock market indices. Second, a range measure approximates volatility using daily prices from 11 …
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