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The impact of monetary policy surprises on asset return volatility: the case of Germany · Study

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ArticleThe impact of monetary policy surprises on asset return volatility: the case of Germany

Ernst Konrad2009

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Articlegreen2009

The impact of monetary policy surprises on asset return volatility: the case of Germany

38 citations·0/0 files stored·Financial markets and portfolio management

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1993Discretion versus policy rules in practice 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1973An Intertemporal Capital Asset Pricing Model 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*1992ARCH modeling in finance 1987Expected stock returns and volatility 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Cited by

2009Intraday volatility responses to monetary policy events 2013Do Monetary Policy Announcements Affect Stock Prices in Emerging Market Countries? The Case of Thailand 2022Evolving United States stock market volatility: The role of conventional and unconventional monetary policies 2018Asymmetric Effects of Chinas Monetary Policy on the Stock Market: Evidence from a Nonlinear VAR Mode 2019Monetary Policy Announcements and Stock Returns: Some Further Evidence from India

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Year2009

Typearticle

Published2009-04-16

VenueFinancial markets and portfolio management

ISSN-L1555-4961

Languageen

Citations38

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s11408-009-0102-5

openalex_workW2006380295

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