Measuring and Testing the Impact of News on Volatility
收藏NBER1991-04-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w3681
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资源简介：
This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A variety of new and existing ARCH models are compared and estimated with daily Japanese stock return data to determine the shape of the News Impact Curve. New diagnostic tests are
提供机构：
美国国家经济研究局
创建时间：
1991-04-01
