Do Macroeconomic Announcements Cause Asymmetric Volatility

P. C. de Goeij, W. Marquering

Research output: Working paperDiscussion paperOther research output

307 Downloads (Pure)
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages41
Volume2003-131
Publication statusPublished - 2003

Publication series

NameCentER Discussion Paper
Volume2003-131

Keywords

  • multivariate GARCH
  • volatility
  • macroeconomics
  • garch models
  • stock markets
  • bond markets

Cite this

de Goeij, P. C., & Marquering, W. (2003). Do Macroeconomic Announcements Cause Asymmetric Volatility. (CentER Discussion Paper; Vol. 2003-131). Tilburg: Finance.
de Goeij, P. C. ; Marquering, W. / Do Macroeconomic Announcements Cause Asymmetric Volatility. Tilburg : Finance, 2003. (CentER Discussion Paper).
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author = "{de Goeij}, {P. C.} and W. Marquering",
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year = "2003",
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de Goeij, PC & Marquering, W 2003 'Do Macroeconomic Announcements Cause Asymmetric Volatility' CentER Discussion Paper, vol. 2003-131, Finance, Tilburg.

Do Macroeconomic Announcements Cause Asymmetric Volatility. / de Goeij, P. C.; Marquering, W.

Tilburg : Finance, 2003. (CentER Discussion Paper; Vol. 2003-131).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Do Macroeconomic Announcements Cause Asymmetric Volatility

AU - de Goeij, P. C.

AU - Marquering, W.

N1 - Pagination: 41

PY - 2003

Y1 - 2003

KW - multivariate GARCH

KW - volatility

KW - macroeconomics

KW - garch models

KW - stock markets

KW - bond markets

M3 - Discussion paper

VL - 2003-131

T3 - CentER Discussion Paper

BT - Do Macroeconomic Announcements Cause Asymmetric Volatility

PB - Finance

CY - Tilburg

ER -

de Goeij PC, Marquering W. Do Macroeconomic Announcements Cause Asymmetric Volatility. Tilburg: Finance. 2003. (CentER Discussion Paper).