Information Arrival, News Sentiment, Volatilities and Jumps of Intraday Returns
Year of publication: |
2019
|
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Authors: | Qian, Ya ; Tu, Jun ; Härdle, Wolfgang Karl |
Publisher: |
Berlin : Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series" |
Subject: | information arrival | volatility modeling | jump | sentiment | GARCH |
Series: | IRTG 1792 Discussion Paper ; 2019-002 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/230778 [Handle] RePEc:zbw:irtgdp:2019002 [RePEc] |
Classification: | C52 - Model Evaluation and Testing ; c55 ; c58 ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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