The dynamic relationship between investor attention and stock market volatility : international evidence
Year of publication: |
2022
|
---|---|
Authors: | Ben El Hadj Said, Imene ; Slim, Skander |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 15.2022, 2, Art.-No. 66, p. 1-25
|
Subject: | realized volatility | heterogeneous autoregressive model | investor attention | empirical similarity | Volatilität | Volatility | Anlageverhalten | Behavioural finance | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Schätzung | Estimation | Börsenkurs | Share price | Welt | World | Autokorrelation | Autocorrelation |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm15020066 [DOI] hdl:10419/258789 [Handle] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; G17 - Financial Forecasting ; g41 |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A., (2020)
-
Ben El Hadj Said, Imene, (2022)
-
Muguto, Hilary Tinotenda, (2022)
- More ...
-
Ben El Hadj Said, Imene, (2022)
-
Value-at-risk under market shifts through highly flexible models
BenSaïda, Ahmed, (2018)
-
On portfolio selection under extreme risk measure : the heavy-tailed ICA model
Clémençon, Stéphan, (2007)
- More ...