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Browsing ECO Articles by Author "PACINI, Barbara"
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Title:Early News Is Good News: the Effects of Market Opening on Market Volatility
Author(s):GALLO, Giampiero M.; PACINI, BarbaraDate:1998Type of Publication:ArticleAbstract:In this paper, we examine the characteristics of market opening news and its impact on the estimated coefficients of the conditional volatility models of the GARCH class. We find that the differences between the opening ...