Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
Steve Y. Yang, Anqi Liu, Jing Chen and Alan Hawkes
| Year of publication: |
February 2018
|
|---|---|
| Authors: | Yang, Steve Y. ; Liu, Anqi ; Chen, Jing ; Hawkes, Alan |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 2, p. 295-310
|
| Subject: | Point process | Hawkes process | Investor sentiment | Return jumps | News sentiment | Kapitaleinkommen | Capital income | Anlageverhalten | Behavioural finance | Prognoseverfahren | Forecasting model | Theorie | Theory | Börsenkurs | Share price | Emotion | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Ankündigungseffekt | Announcement effect |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1403156 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011906342