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Can internet search queries help to predict stock market volatility?

Dimpfl, Thomas; Jank, Stephan - 2011 - First draft: October 10, 2011, This draft: October 25, 2011

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...

Persistent link: https://www.econbiz.de/10009357284

Volatility forecasting and microstructure noise

Ghysels, Eric; Sinko, Arthur - In: Journal of econometrics 160 (2011) 1, pp. 257-271

Persistent link: https://www.econbiz.de/10009242520

Realized volatility forecasting and market microstructure noise

Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-234

Persistent link: https://www.econbiz.de/10009242523

Covariance measurement in the presence of non-synchronous trading and market microstructure noise

Griffin, Jim E.; Oomen, Roel C. A. - In: Journal of econometrics 160 (2011) 1, pp. 58-68

Persistent link: https://www.econbiz.de/10009242550

Econometrics of co-jumps in high-frequency data with noise

Bibinger, Markus; Winkelmann, Lars - In: Journal of econometrics 184 (2015) 2, pp. 361-378

Persistent link: https://www.econbiz.de/10011339314

Estimating spot volatility with high-frequency financial data

Zu, Yang; Boswijk, Herman Peter - In: Journal of econometrics 181 (2014) 2, pp. 117-135

Persistent link: https://www.econbiz.de/10010473332

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010 - This version: November 2010

are positively influenced by news. The proportion of noise-induced variances is highest before announcements and …

Persistent link: https://www.econbiz.de/10008937568

Jumps in equilibrium prices and market microstructure noise

Lee, Suzanne S.; Mykland, Per A. - In: Journal of econometrics 168 (2012) 2, pp. 396-406

Persistent link: https://www.econbiz.de/10009612713

High frequency traders and the price process

Aït-Sahalia, Yacine; Brunetti, Celso - In: Journal of econometrics 217 (2020) 1, pp. 20-45

Persistent link: https://www.econbiz.de/10012482736

Dependent microstructure noise and integrated volatility estimation from high-frequency data

Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel H. - In: Journal of econometrics 215 (2020) 2, pp. 536-558

Persistent link: https://www.econbiz.de/10012439499