News sentiment and the investor fear gauge
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- Apergis, Nicholas, 2015. "Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 54-62.
- repec:bla:irvfin:v:16:y:2016:i:4:p:659-675 is not listed on IDEAS
- Adam Clements & Joanne Fuller & Vasilios Papalexiou, 2015. "Public news flow in intraday component models for trading activity and volatility," NCER Working Paper Series 106, National Centre for Econometric Research.
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- D Aromi & A Clements, 2018. "Media attention and crude oil volatility: Is there any 'new' news in the newspaper?," NCER Working Paper Series 118, National Centre for Econometric Research.
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More about this item
KeywordsNews sentiment; VIX; Implied volatility; Stock market; Investor behaviour;
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- G1 - Financial Economics - - General Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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