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Predicting standardized absolute returns using rolling-sample textual modelling
Understanding how textual information impacts financial market volatility has been one of the growing topics in financial econometric research. In this paper, we aim to examine the relationship between the volatility measure that is extracted from GARCH modelling and textual news information both pu...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8651148/ https://www.ncbi.nlm.nih.gov/pubmed/34874945 http://dx.doi.org/10.1371/journal.pone.0260132 |