The relative importance of overnight sentiment versus trading-hour sentiment in volatility forecasting
Xiaojun Chu, Xinmin Wan, Jianying Qiu
| Year of publication: |
2023
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|---|---|
| Authors: | Chu, Xiaojun ; Wan, Xinmin ; Qiu, Jianying |
| Published in: |
Journal of behavioral and experimental finance. - Amsterdam : Elsevier, ISSN 2214-6350, ZDB-ID 3068041-4. - Vol. 39.2023, p. 1-13
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| Subject: | Volatility forecasting | Trading-hour sentiment | Overnight sentiment | Overnight information | Overnight returns | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Anlageverhalten | Behavioural finance | Emotion | ARCH-Modell | ARCH model | Börsenkurs | Share price | Geldmarkt | Money market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbef.2023.100826 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014457415