Dynamic connectedness between investors' sentiment and asset prices : a comparison between major markets in Europe and USA
Rilwan Sakariyahu, Sofia Johan, Rodiat Lawal, Audrey Paterson, Eleni Chatzivgeri
| Year of publication: |
2023
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|---|---|
| Authors: | Sakariyahu, Rilwan ; Johan, Sofia Atiqah ; Lawal, Rodiat ; Paterson, Audrey ; Chatzivgeri, Eleni |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 89.2023, p. 1-17
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| Subject: | Asset volatility | Forecasting | GARCH-MIDAS | Investor sentiment | TVP- VAR | USA | United States | Anlageverhalten | Behavioural finance | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Europa | Europe | VAR-Modell | VAR model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.intfin.2023.101866 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014490069