Financial returns, sentiment and market volatility. A dynamic assessment
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- G.M. Gallo & C.Ongari & S. Borgioli, 2024. "Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment," Working Paper CRENoS 202415, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
References listed on IDEAS
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More about this item
Keywords
financial market; forecasting; Granger Causality; sentiment analysis; VAR;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G4 - Financial Economics - - Behavioral Finance
NEP fields
This paper has been announced in the following NEP Reports:- NEP-PKE-2024-12-02 (Post Keynesian Economics)
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