News augmented GARCH(1,1) model for volatility prediction
Zryan A Sadik, Paresh M Date, Gautam Mitra
| Year of publication: |
2019
|
|---|---|
| Authors: | Sadik, Zryan A. ; Date, Paresh M. ; Mitra, Gautam |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 30.2019, 2, p. 165-185
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| Subject: | volatility prediction | GARCH | EGARCH | news sentiment | news impact scores | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Schätzung | Estimation | Ankündigungseffekt | Announcement effect | Zeitreihenanalyse | Time series analysis | Mediale Berichterstattung | Media coverage |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpy004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012057108