Intraday volatility responses to monetary policy events
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Bibliographic InfoArticle provided by Springer in its journal Financial Markets and Portfolio Management.
Volume (Year): 23 (2009)
Issue (Month): 4 (December)
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Web page: http://www.springerlink.com/link.asp?id=119763
Monetary policy; Exchange traded funds; Intraday volatility; High-frequency data; C22; G11; G12;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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- Jubinski, Daniel & Tomljanovich, Marc, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, Elsevier, vol. 22(3), pages 86-97.
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