Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics

By José Gonzalo Rangel. 2011

170 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4cf60a80a5f0242349d8c85c04899beaf587408f

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. Fangfang Wang
2. Eric Ghysels
3. Ornella Ricci
4. Fulvio Corsi
5. Massimiliano Marcellino
6. Tim Bollerslev
7. Claudia Foroni
8. Torben G. Andersen

In Finance

1. Fangfang Wang
2. Eric Ghysels
3. Ornella Ricci
4. Tim Bollerslev
5. Fulvio Corsi
6. Torben G. Andersen
7. Massimiliano Marcellino
8. Claudia Foroni

Citations in the corpus

• The impact of monetary policy announcements on the stock price of large European banks during the financial crisis (2015, background): “…last decade; most papers (Bomfin, 2003; Ehrmann and Fratzscher, 2004; Bernanke and Kuttner, 2005; Chulià et al., 2010; Hausman and Wongswan, 2011; Rangel, 2011; Rosa, 2011) focus on the U.S. assessing how the central banks’ intervention on interest rates relates to asset prices, while there are…”
• ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS (2014, background): “…(2010), Bauwens, Hafner, and Pierret (2013), Chauvet, Senyuz, and Yoldas (2010), Chen, Choudhry, and Wu (2013), Dorion (2010), Golosnoy, Gribisch, and Liesenfeld (2012), Hafner and Linton (2010), Asgharian, Hou, and Javed (2013), Maheu and McCurdy (2007), and Rangel (2011), among others.”