Equity returns and sentiment

DOI10.1515/demo-2022-0109zbMath1489.62373OpenAlexW4285135820MaRDI QIDQ2148731

Zibin Huang, Rustam Ibragimov

Publication date: 24 June 2022

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2022-0109

zbMATH Keywords

Granger causalityvolatilityGARCH modelsdependenceasset pricesasset returnsautoregressive distributed lag modelssentimentpredictive regressions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Uses Software

• CRAN
• twitteR

Cites Work

• Heavy-tailed distributions and robustness in economics and finance
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• t-Statistic Based Correlation and Heterogeneity Robust Inference
• Empirical properties of asset returns: stylized facts and statistical issues
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