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Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data

Sylvie Lecarpentier-Moyal Georges Prat 1 Patricia Renou-Maissant Remzi Uctum 1
1 EconomiX
Abstract : Forthcoming
Document type :
Conference papers
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https://hal-univ-paris10.archives-ouvertes.fr/hal-01411783
Contributor : Administrateur Hal Nanterre <>
Submitted on : Wednesday, December 7, 2016 - 4:36:54 PM
Last modification on : Monday, December 7, 2020 - 5:14:07 PM

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  • HAL Id : hal-01411783, version 1

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CNRS | UNIV-PARIS10 | ECONOMIX | UNIV-PARIS-LUMIERES

Citation

Sylvie Lecarpentier-Moyal, Georges Prat, Patricia Renou-Maissant, Remzi Uctum. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data. 21st Forecasting Financial Markets Conference , 2014, Marseille, France. ⟨hal-01411783⟩

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