Volume, volatility, and public news announcements
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Publication:4610477
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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
- Why does bad news increase volatility and decrease leverage?
- Stock market volatility and public information flow: a non-linear perspective
- Generalized Jump Regressions for Local Moments
- 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
- Early News is Good News: The Effects of Market Opening on Market Volatility
- Permutation‐based tests for discontinuities in event studies
- Liquidity and volatility in the U.S. Treasury market
- An unbounded intensity model for point processes
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