Stock market volatility, the news, and monetary policy
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1007/BF02761615.pdf
Reference22 articles.
1. Binder, John J., and Matthias J. Merges. 2001. “Stock Market Volatility and Economic Factors.”Review of Quantitative Finance and Accounting 17: 5–26.
2. Black, Fischer, and Myron Scholes. 1973. “The Pricing of Options and Corporate Liabilities.”Journal of Political Economy 81: 637–659.
3. Blair, Bevan J., Ser-Huang Poon, and Stephen J. Taylor. 2001. “Forecasting S&P Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns.”Journal of Econometric 105: 5–26.
4. Bomfim, Antulio N. 2003. “Pre-announcement Effects, News Effects, and Volatility: Monetary Policy and the Stock Market.”Journal of Banking and Finance 27: 133–151.
5. Brenner, Menachem, and Marti G. Subrahmanyam. 1988. “A Simple Formula to Compute the Implied Standard Deviation.”Financial Analysts Journal 44(5): 80–83.
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