Media coverage and decomposition of stock market volatility : based on the generalized dynamic factor model
Year of publication: |
2020
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Authors: | Qiao, Haishu ; Su, Yaya |
Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 56.2020, 3, p. 613-625
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Subject: | Baidu Media Index | dynamic factor models | media coverage | volatility | Volatilität | Volatility | Mediale Berichterstattung | Media coverage | Kommunikationsmedien | Communication media | Aktienmarkt | Stock market | Faktorenanalyse | Factor analysis | Schätzung | Estimation | Aktienindex | Stock index | Börsenkurs | Share price | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
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