Do Macroeconomic Announcements Cause Asymmetric Volatility
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2003-131.
Date of creation: 2003
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Web page: http://center.uvt.nl
multivariate GARCH; volatility; macroeconomics; garch models; stock markets; bond markets;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-02-08 (All new papers)
- NEP-FIN-2004-02-08 (Finance)
- NEP-FMK-2004-02-08 (Financial Markets)
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