Julius Schoelkopf

Heidelberg University - Alfred Weber Institute for Economics

Grabengasse 14

Heidelberg, D-69117

Germany

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Scholarly Papers (1)

1.

Long-Term Volatility Shapes the Stock Market's Sensitivity to News

Number of pages: 55 Posted: 28 Nov 2023 Last Revised: 23 May 2024
Christian Conrad, Julius Schoelkopf and Nikoleta Tushteva
Heidelberg University - Alfred Weber Institute for Economics, Heidelberg University - Alfred Weber Institute for Economics and European Central Bank (ECB)
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Abstract:

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Event study, long- and short-term volatility, macroeconomic announcements, stock market response, time-varying risk premia, volatility feedback effect