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Media attention vs. sentiment as drivers of conditional volatility predictions : an application to Brexit

Guidolin, Massimo; Pedio, Manuela - 2020

Conditional Heteroskedasticity (GARCH) models augmented to include media coverage and especially media tone scores outperforme … traditional GARCH models both in-and-out-of-sample …

Persistent link: https://www.econbiz.de/10012487265

Brexit and the dependence structure among the G7 bank equity markets

Nekhili, Ramzi; Giannopoulos, Kostas - In: Investment management and financial innovations 17 (2020) 2, pp. 231-239

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Media attention vs. sentiment as drivers of conditional volatility predictions : an application to Brexit

Guidolin, Massimo; Pedio, Manuela - In: Finance research letters 42 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10014581427

Brexit referendum : impact on the exchange rate (Pound/INR)

Chadha, Neetu; Jain, Divya - In: International journal of business competition and … 7 (2020) 2, pp. 164-174

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Innovation in return transmission and performance comparison between the five biggest Euro area stock markets

Fonseca, José Soares da - In: International economics and economic policy : IEEP 10 (2013) 3, pp. 393-404

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On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices

Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Global business & economics review 17 (2015) 3, pp. 256-267

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An investigation of return and volatility linkages among equity markets : a study of selected European and emerging countries

Yavas, Burhan F.; Dedi, Lidija - In: Research in international business and finance 37 (2016), pp. 583-596

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Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks

Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: International economics : a journal published by CEPII … 156 (2018), pp. 175-192

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The impact of quantitative easing on stock market : evidence from Greece

Karagiannopoulou, Sofia; Patsis, Paris; Sariannidis, … - In: Business Development and Economic Governance in …, (pp. 297-313). 2022

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Post-Brexit exchange rate volatility and its impact on UK exports to Eurozone countries : a bounds testing approach

Naimy, Viviane; El Khoury, Rim; Montero, José-María; … - In: Oeconomia Copernicana 14 (2023) 1, pp. 135-168

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