Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations

Journal of Banking and Finance

Volumn 34, Issue 4, 2010, Pages 834-839

  Chuliá, Helena ^a   Martens, Martin ^b   Dijk, Dick van ^b  

^a UNIVERSITAT OBERTA DE CATALUNYA   (Spain)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

High frequency data; Interest rate surprises; Monetary policy announcements; Realized volatility

Indexed keywords

EID: 75849133197     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.09.012     Document Type: Article

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