Big data analysis of volatility spillovers of brands across social media and stock markets
Year of publication: |
2020
|
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Authors: | Dieijen, Myrthe van ; Borah, Abhishek ; Tellis, Gerard J. ; Franses, Philip Hans |
Published in: |
Industrial marketing management : the international journal for industrial and high-tech firms. - New York, NY [u.a.] : Elsevier, ISSN 0019-8501, ZDB-ID 120124-4. - Vol. 88.2020, p. 465-484
|
Subject: | Multivariate GARCH model | Natural language processing | Spillover effects | Stock market performance | User-generated content | Volatility | Volatilität | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Social Web | Social web | Börsenkurs | Share price |
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