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scopus: 14119317800

Goeij, P. de

(Peter de Goeij)


announcement return model volatility stock effect market covariance shock |pphwulf prgho uhwxuqv uhwxuq bond returns yrodwlolw vwrfn frqglwlrqdo level result fryduldqfh pdunhw fryduldqfhv asset ehwzhhq dvvhw hhfwv table announcement shocks announcement days journal jdufk estimate treasury variance &|n ml | hqjoh level effect vkrfnv strategy index multivariate stock market prghov sruwirolr parameter impact portfolio &p 500 index pxowlyduldwh srvlwlyh lpsdfw investor price 0&| eroohuvohy marquering / journal finance zklfk period study mrxuqdo hvwlpdwhg bond market volatility yduldqfhv estimation vkruw iljxuh non-announcement days xvlqj wlplqj marquering out-of-sample dvvhwv vkrfn uhvxowv qhjdwlyh speci management &p 500 announcement effects




3 Most Recent Publications

Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application (Article)
Goeij, P. de Marquering, W.A.
2009-03-01
Do Macroeconomic Announcements Cause Asymetric Volatility? (Research Paper)
Goeij, P. de Marquering, W.A.
2002-11-19
Modeling the Conditional Covariance between Stock and Bond Returns (Research Paper)
Goeij, P. de Marquering, W.A.
2002-01-24