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Applied Economics Letters Volume 22, 2015 - Issue 9
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Original Articles

A spectral perspective on excess volatility

Giacomo LivanDepartment of Computer Science, University College London, Gower Street, LondonWC1E 6BT, UK;Systemic Risk Centre, London School of Economics and Political Sciences, Houghton Street, LondonWC2A 2AE, UKCorrespondence[email protected]
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,
Simone AlfaranoDepartment of Economics, Universitat Jaume I, Campus del Riu Sec, CastellónE-12071, SpainView further author information
,
Mishael MilakovićDepartment of Economics, University of Bamberg, Feldkirchenstraße 21, BambergD-96052, GermanyView further author information
&
Enrico ScalasDepartment of Mathematics, School of Mathematical and Physical Sciences, University of Sussex, Falmer, BrightonBN1 9QH, UKView further author information
Pages 745-750 | Published online: 04 Nov 2014

References

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  • Patton, A. J. and Verardo, M. (2012) Does beta move with news? Firm-specific information flows and learning about profitability, The Review of Financial Studies, 25, 2789–839. doi:10.1093/rfs/hhs073
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