Measuring and Testing the Impact of News on Volatility

Author:

ENGLE ROBERT F.,NG VICTOR K.

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Reference39 articles.

1. Option valuation with systematic stochastic volatility;Amin;Journal of Finance,1993

2. Modeling commodity price distributions and estimating the optimal futures hedge;Baillie;Journal of Applied Econometrics,1991

3. Black , Fisher 1976 Studies in stock price volatility changes Proceedings of the 1976 Business Meeting of the Business and Economics Statistics Section, American Statistical Association , pp. 177-181

4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

5. ARCH modeling in finance: A review of the theory and empirical evidence;Bollerslev;Journal of Econometrics,1992

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