Measuring the Effects of Unconventional Policies on Stock Market Volatility
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Cited by:
- Giampiero M. Gallo & Demetrio Lacava & Edoardo Otranto, 2020.
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- G.M. Gallo & D. Lacava & E. Otranto, 2020. "On Classifying the Effects of Policy Announcements on Volatility," Working Paper CRENoS 202008, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
- Demetrio Lacava & Luca Scaffidi Domianello, 2021. "The Incidence of Spillover Effects during the Unconventional Monetary Policies Era," JRFM, MDPI, vol. 14(6), pages 1-18, May.
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More about this item
Keywords
Unconventional monetary policy; realized volatility; Multiplicative Error Model; Model Confidence Set; Financial market;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2020-11-02 (Financial Markets)
- NEP-FOR-2020-11-02 (Forecasting)
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