Do Macroeconomic Announcements Cause Asymmetric Volatility

P. C. de Goeij, W. Marquering

Research output: Working paperDiscussion paperOther research output

334 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). Finance.