Volatility spillovers and the effect of news announcements

Journal of Banking and Finance

Volumn 36, Issue 8, 2012, Pages 2260-2273

  Jiang, George J ^a,b   Konstantinidi, Eirini ^c   Skiadopoulos, George ^d,e,f  

^a UNIVERSITY OF ARIZONA   (United States)

^b YUNNAN UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^c UNIVERSITY OF EXETER BUSINESS SCHOOL   (United Kingdom)

^d UNIVERSITY OF PIRAEUS   (Greece)

^e UNIVERSITY OF WARWICK   (United Kingdom)

^f CITY UNIVERSITY   (United Kingdom)

Author keywords

Contagion; Implied volatility; Implied volatility index; Scheduled news announcements; Unscheduled news announcements; Volatility spillovers

Indexed keywords

EID: 84862169588     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2012.04.006     Document Type: Article

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