Which sentiment index is more informative to forecast stock market volatility? : evidence from China
Year of publication: |
2020
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Authors: | Liang, Chao ; Tang, Linchun ; Li, Yan ; Wei, Yu |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 71.2020, p. 1-11
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Subject: | Chinese stock market | Sentiment index | Realized volatility | Forecasting | Volatilität | Volatility | China | Prognoseverfahren | Forecasting model | Aktienmarkt | Stock market | Anlageverhalten | Behavioural finance | ARCH-Modell | ARCH model | Prognose | Forecast | Kapitaleinkommen | Capital income | Aktienindex | Stock index |
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