Stock market volatility and public information flow: a non-linear perspective
type: Item
instance of: scholarly article
title: Stock market volatility and public information flow: a non-linear perspective
zbMATH Open document ID: 1467.91170
author: Kristoffer Pons Bertelsen
author: Daniel Borup
author: Johan Stax Jakobsen
published in: Economics Letters
publication date: 2021-06-30T00:00:00Z
Mathematics Subject Classification ID: 91G15
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 7365190
zbMATH Keywords: news analytics
zbMATH Keywords: mixture-distribution hypothesis
zbMATH Keywords: realized GARCH
zbMATH Keywords: smooth transitioning
zbMATH Keywords: stock market volatility
zbMATH Keywords: GARCH-MIDAS
MaRDI profile type: Publication
full work available at URL: j.econlet.2021.109905
OpenAlex ID: W3162652566
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DOI: 10.1016/J.ECONLET.2021.109905
description: scientific article; zbMATH DE number 7365190