Volume, Volatility, and Public News Announcements

DOI10.1093/RESTUD/RDY003zbMath1405.91727OpenAlexW2499063677MaRDI QIDQ4610477

Tim Bollerslev, Yuan Xue, Jia Li

Publication date: 23 January 2019

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/101068757/rp16_19.pdf

zbMATH Keywords

jumpsstochastic volatilityhigh-frequency datatrading volumeeconomic uncertaintydifferences-of-opinionmacroeconomic news announcementstextual sentiment

Mathematics Subject Classification ID

Economics of information (91B44) Actuarial science and mathematical finance (91G99)

Related Items (3)

Permutation‐based tests for discontinuities in event studies ⋮ Optimal nonparametric range-based volatility estimation ⋮ Stock market volatility and public information flow: a non-linear perspective

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