Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
Year of publication: |
February 2018
|
---|---|
Authors: | Yang, Steve Y. ; Liu, Anqi ; Chen, Jing ; Hawkes, Alan |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 2, p. 295-310
|
Subject: | Point process | Hawkes process | Investor sentiment | Return jumps | News sentiment | Theorie | Theory | Kapitaleinkommen | Capital income | Anlageverhalten | Behavioural finance | Börsenkurs | Share price |
-
Dong, Hang, (2020)
-
Forecasting the variance of stock index returns using jumps and cojumps
Clements, Ada, (2017)
-
Investor sentiment, portfolio returns, and macroeconomic variables
Banchit, Azilawati, (2020)
- More ...
-
Yang, Steve Y., (2017)
-
Interbank contagion : an agent-based model approach to endogenously formed networks
Liu, Anqi, (2020)
-
News Sentiment to Market Impact and its Feedback Effect
Mo, Sheung Yin, (2015)
- More ...