Title:

A New Approach to Bad News Effects Volatility: The Multiple-Sign-Volume Sensitive Regime EGARCH Model (MSV-EGARCH)

Authors:

José Dias Curto (ISCTE - Instituto Universitário de Lisboa)
João Amaral Tomaz (ISGB, CMVM)
José Castro Pinto (ISCTE - Instituto Universitário de Lisboa)

Journal:

Portuguese Economic Journal

Year:

2009

Volume:

8

Pages:

23-36

JEL codes:

G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies
G15 - International Financial Markets