Volume, volatility, and public news announcements
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Publication:4610477
DOI10.1093/RESTUD/RDY003zbMATH Open1405.91727OpenAlexW2499063677MaRDI QIDQ4610477FDOQ4610477
Authors: Tim Bollerslev, Jia Li, Yuan Xue 
Publication date: 23 January 2019
Published in: Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/101068757/rp16_19.pdf
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jumpsstochastic volatilityhigh-frequency datatrading volumeeconomic uncertaintydifferences-of-opinionmacroeconomic news announcementstextual sentiment
Cited In (14)
- Impact of public news sentiment on stock market index return and volatility
- The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report
- Stock market volatility and public information flow: a non-linear perspective
- Generalized Jump Regressions for Local Moments
- Why does bad news increase volatility and decrease leverage?
- What drives the sensitivity of limit order books to company announcement arrivals?
- Optimal nonparametric range-based volatility estimation
- Uniform Nonparametric Inference for Spatially Dependent Panel Data
- The more we know about the fundamental, the less we agree on the price
- Bad news and Dow Jones make the Spanish stocks go round
- Permutation‐based tests for discontinuities in event studies
- Early News is Good News: The Effects of Market Opening on Market Volatility
- Liquidity and volatility in the U.S. Treasury market
- An unbounded intensity model for point processes
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