Effects of intraday weather changes on asset returns and volatilities
Analyzing the intraday dataset on weather and market information with the use of the extended GJR-GARCH framework, this study explores in depth the weather effects on the asset returns and volatilities of the Korean stock and derivatives markets. Our intraday analyses contribute to the existing l...
| Main Authors: | , , |
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| Format: | Article |
| Language: | deu |
| Published: |
Faculty of Economics University of Rijeka
2017-12-01
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| Series: | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
| Subjects: | |
| Online Access: | https://www.efri.uniri.hr/sites/efri.uniri.hr/files/cr-collections/2/10-shim-kim-2017-2-1513970131.pdf |