Volatility spillovers and the effect of news announcements
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DOI: 10.1016/j.jbankfin.2012.04.006
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More about this item
Keywords
Contagion; Scheduled news announcements; Unscheduled news announcements; Implied volatility; Implied volatility index; Volatility spillovers;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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