Resolution of Policy Uncertainty and Sudden Declines in Volatility

By Dante Amengual, D. Xiu. 2017

141 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/25d3da53dc608b26f93943ef06dd815c7dff247a

Citations in the corpus

• Systemic Co-Jumps (2017, unknown): “This finding is in keeping with the evidence of Amengual and Xiu (2015), who show that FOMC meetings and Fed speeches indicating an improvement of economic conditions imply a decrease in the variance risk premium.”
• Downside Variance Risk Premium (2015, unknown): “We use the same set of events compiled by Amengual and Xiu (2014) to study the impact of important FOMC announcements, speeches by Federal Reserve officials and the Presidents of the United States, as well as economic and political news.”