How does news sentiment impact asset volatility? : evidence from long memory and regime-switching approaches
Kin-Yip Ho; Yanlin Shi; Zhaoyong Zhang
| Year of publication: |
2013
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|---|---|
| Authors: | Ho, Kin-Yip ; Shi, Yanlin ; Zhang, Zhaoyong |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 436-456
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| Subject: | Public information arrival | Asset volatility | News sentiment | FIGARCH | Markov Regime-Switching GARCH | Volatilität | Volatility | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Börsenkurs | Share price | Schätzung | Estimation | Ankündigungseffekt | Announcement effect | Prognoseverfahren | Forecasting model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010367572