Time-varying betas and asymmetric effects of news
Subtitle: empirical analysis of blue chip stocks
By: Young-Hye Cho, Robert F. Engle.
Contributors: Engle, R. F.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 7330; Working paper series (National Bureau of Economic Research) -- working paper no. 7330.
Publisher: National Bureau of Economic Research
Published: 1999
Place of publication: Cambridge, MA
Language: eng
Number of pages: 30
Subjects: Stock exchanges and current events -- United States -- Econometric models.; Stocks -- Prices -- United States -- Forecasting.; Blue-chip stocks -- Prices -- United States -- Forecasting.; Risk perception -- United States -- Econometric models.
Other titles: Betas and asymmetric effects of news; Empirical analysis of blue chip stocks
Notes: "September 1999."

JEL no. G14.

Includes bibliographical references (p. 25-30)

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Electronic version available via the Internet at the NBER World Wide Web site.