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Search: subject:"overnight returns"
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Forecasting model
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31
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Overnight returns
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overnight returns
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ECONIS (ZBW)
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The relative importance of overnight sentiment versus trading-hour sentiment in volatility forecasting
Chu, Xiaojun
;
Wan, Xinmin
;
Qiu, Jianying
- In:
Journal of behavioral and experimental finance
39
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014457415
Saved in:
2
Do
overnight
returns
explain firm-specific investor sentiment in China?
Zhou, Xuemei
;
Liu, Qiang
;
Guo, Shuxin
- In:
International review of economics & finance : IREF
76
(
2021
),
pp. 451-477
Persistent link: https://www.econbiz.de/10013175837
Saved in:
3
Incorporating overnight and intraday returns into multivariate GARCH volatility models
Dhaene, Geert
;
Wu, Jianbin
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 471-495
Persistent link: https://www.econbiz.de/10012482817
Saved in:
4
Mixed-frequency multivariate GARCH
Dhaene, Geert
;
Wu, Jianbin
-
2016
Persistent link: https://www.econbiz.de/10011707062
Saved in:
5
The impact of trading volume, number of trades and
overnight
returns
on forecasting the daily realized range
Todorova, Neda
;
Souček, Michael
- In:
Economic modelling
36
(
2014
),
pp. 332-340
Persistent link: https://www.econbiz.de/10010415483
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