The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements

Yao, Wenying and Tian, Jing 2015, The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements, University of Tasmania, Hobart, Tas..


Title The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements
Author(s) Yao, WenyingORCID iD for Yao, Wenying orcid.org/0000-0001-6368-0160
Tian, Jing
Publication date 2015
Total pages 37 p.
Publisher University of Tasmania
Place of publication Hobart, Tas.
Keyword(s) volatility pattern
intra-day jumps
news announcements
high frequency data
RePEc:tas:wpaper:22662
Language eng
Indigenous content off
HERDC Research category CN.1 Other journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30123999

Document type: Report
Collections: Faculty of Business and Law
Department of Economics
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