The aim of this thesis is finding whether or not company news and announcements have any conseguence on trading volumes. It is used an econometric model for high-frequency data (a multiplicative error model) in which conditional mean of trading volumes is allowed to include the amount and sentiment of news, or the presence of volatility jumps
A Multiplicative Error Model approach for trading volumes including company news and announcements
Zanon, Arianna
2016/2017
Abstract
The aim of this thesis is finding whether or not company news and announcements have any conseguence on trading volumes. It is used an econometric model for high-frequency data (a multiplicative error model) in which conditional mean of trading volumes is allowed to include the amount and sentiment of news, or the presence of volatility jumpsFile in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
Zanon_Arianna.pdf
accesso aperto
Dimensione
3.25 MB
Formato
Adobe PDF
|
3.25 MB | Adobe PDF | Visualizza/Apri |
The text of this website © Università degli studi di Padova. Full Text are published under a non-exclusive license. Metadata are under a CC0 License
Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.12608/25614