On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements

By Menachem Brenner, Paolo Pasquariello, Marti G. Subrahmanyam. 2009

161 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3fe3d25ae8a80baa62f444caded5a5c69031f608

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Jian Yang
2. Yinggang Zhou
3. W. Leung

In Finance

1. Jian Yang
2. Yinggang Zhou
3. W. Leung

Citations in the corpus

• Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance (2017, unknown): “…and Smith, 2010 ), the analysis of asset class comovements ( You and Daigler, 2010; Heaney and Sriananthakumar, 2012 ), the implementation of hedging strategies ( Chang et al., 2011 ), and the examination of correlation responses to announcement effects ( Brenner et al., 2009 ), among others.”
• Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets (2010, background): “In the literature, it is widely recognized that correlations and linkages among different asset classes evolve over time as macroeconomic conditions change and new information is released (e.g., Brenner, Pasquariello, and Subrahmanyam, 2009; Yang, Zhou, and Wang, 2009).”