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Volatility in equity markets and monetary policy rate uncertainty · Study

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ArticleVolatility in equity markets and monetary policy rate uncertainty

Iryna Kaminska2017

OA

Articlegreen2017

Volatility in equity markets and monetary policy rate uncertainty

Iryna Kaminska · Matt Roberts‐Sklar

48 citations·0/0 files stored·Journal of Empirical Finance

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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 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2016Measuring Economic Policy Uncertainty*1992ARCH modeling in finance 1993Measuring and Testing the Impact of News on Volatility 1989Why Does Stock Market Volatility Change Over Time?1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?

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Details

Year2017

Typearticle

Published2017-10-19

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations48

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2017.09.008

openalex_workW2766023409

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