The power of news data in forecasting tail risk : evidence from China
Yong Ma, Lu Yan, Dongtao Pan
| Year of publication: |
2024
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|---|---|
| Authors: | Ma, Yong ; Yan, Lu ; Pan, Dongtao |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 67.2024, 6, p. 2607-2642
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| Subject: | Asymmetric GARCH models | Emerging markets | Information volume | Sentiment analysis | Value-at-risk (VaR) | China | ARCH-Modell | ARCH model | Schwellenländer | Emerging economies | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | 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: | 10.1007/s00181-024-02620-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015142108