10.6 REFERENCES

Abraham A.; Taylor W. (1993) “Pricing currency options with scheduled and unscheduled announcement effects on volatility,” Managerial and Decision Science, 14, 311–326.

Bollerslev T. (1986) “Generalized autoregressive conditional heteroskedasticity,” Journal of Econometrics, 31(3), 307–328.

Brown K.; Harlow W.V.; Tinic S. (1988) “Risk aversion, uncertain information and market efficiency,” Journal of Financial Economics, 22, 355–385.

diBartolomeo D. (2007) “Fat tails, tall tales, puppy dog tails,” Professional Investor, 17, 38–40.

diBartolomeo D.; Warrick S. (2005) “Making covariance based risk models sensitive to the rate at which markets reflect new information,” in S. Satchell and J. Knight (Eds.), Linear Factor Models in Finance, Chapter 12, Butterworth-Heinemann, Oxford.

Easley D.; O'Hara M. (2001) Information and the Cost of Capital, Working Paper, Cornell University.

Ederington L.H.; Lee J.H. (1996) “Creation and resolution of market uncertainty: The importance of information releases,” Journal of Financial and Quantitative Analysis, 31, 513–539.

Engle R.F. (1982) “Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations,” Econometrica, 50(4), 987–1008.

Jones C.; Lamont O.; Lumsdaine R. (1998) “Macroeconomic news and bond market volatiilty,” Journal of Financial Economics, 47, 315–337.

Kwag A.; Shrieves R.; Wansley J. (2000) Partially Anticipated Events: An Application to Dividend Announcements, Working Paper, ...

Get The Handbook of News Analytics in Finance now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.