Do Macroeconomic Announcements Cause Asymmetric Volatility

P. C. de Goeij, W. Marquering

Research output: Working paperDiscussion paperOther research output

345 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

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