On the Effects of Private Information on Volatility
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- Anne Opschoor & Michel van der Wel & Dick van Dijk & Nick Taylor, 2011. "On the Effects of Private Information on Volatility," Tinbergen Institute Discussion Papers 11-077/4, Tinbergen Institute.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Heejoon Han & Dennis Kristensen, 2014.
"Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates,"
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More about this item
KeywordsInformation; order flow; macroeconomic announcements; Treasury futures.;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-14 (All new papers)
- NEP-CTA-2012-03-14 (Contract Theory & Applications)
- NEP-ICT-2012-03-14 (Information & Communication Technologies)
- NEP-MST-2012-03-14 (Market Microstructure)
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