On the volatility and comovement of U.S. financial markets around macroeconomic news announcements

Journal of Financial and Quantitative Analysis

Volumn 44, Issue 6, 2009, Pages 1265-1289

  Brenner, Menachem ^a   Pasquariello, Paolo ^b   Subrahmanyam, Marti ^a  

^a NEW YORK UNIVERSITY   (United States)

^b UNIVERSITY OF MICHIGAN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77954600718     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.1017/S002210900999038X     Document Type: Article

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