Macroeconomic news, announcements, and stock market jump intensity dynamics

Journal of Banking and Finance

Volumn 35, Issue 5, 2011, Pages 1263-1276

  Rangel, José Gonzalo ^a  

^a BANCO DE MÉXICO   (Mexico)

Author keywords

Conditional jump intensity; Conditional volatility; Macroeconomic announcements

Indexed keywords

EID: 79952741514     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2010.10.009     Document Type: Article

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