Stock market volatility and public information flow: a non-linear perspective

DOI10.1016/J.ECONLET.2021.109905zbMath1467.91170OpenAlexW3162652566MaRDI QIDQ2036993

Daniel Borup, Johan Stax Jakobsen, Kristoffer Pons Bertelsen

Publication date: 30 June 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109905

zbMATH Keywords

stock market volatilityrealized GARCHGARCH-MIDASmixture-distribution hypothesisnews analyticssmooth transitioning

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• Modelling volatility by variance decomposition
• Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows
• The Price Variability-Volume Relationship on Speculative Markets
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Volume, Volatility, and Public News Announcements
• Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
• Specification and testing of multiplicative time-varying GARCH models with applications

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