Volume, volatility, and public news announcements

• المؤلفون الرئيسيون: BOLLERSLEV, Tim, LI, Jia, XUE, Yuan
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2018
• الموضوعات: Model Construction and Estimation; Model Evaluation; Validation and Selection; Asset Pricing; Trading volume; Bond Interest Rates; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2584; https://ink.library.smu.edu.sg/context/soe_research/article/3583/viewcontent/VolumeVol_PNA_sv.pdf
• المؤسسة: Singapore Management University

We provide new empirical evidence for the way in which financial markets process information. Our results rely critically on high-frequency intraday price and volume data for the S&P 500 equity portfolio and U.S. Treasury bonds, along with new econometric techniques, for making inference on the...