The Wiley Finance Series : Handbook of News Analytics in Finance

optimization process that fits forecasts from the risk model to observable analogs among the state variables. For example, we ca ...

10.6 References Abraham A.; Taylor W. (1993) ‘‘Pricing currency options with scheduled and unscheduled announcement effects on v ...

Michal Dzielinski, Marc Oliver Rieger, and To ̃nn Talpsepp ABSTRACT Volatility is typically higher in down markets. Using an int ...

related to the macroeconomy like ‘‘recession’’. It seems plausible that this is caused by private investors getting nervous and ...

to give more stable and reliable estimates for the parameters of interest. With this method we were able to obtain results with ...

rank among the first 10 in all categories and the UK is also in the top of the table. The only emerging market with a relatively ...

leverage effect has been found in our data, similarly no support for the time-varying risk premium as an explanation was found ( ...

Dow Jones 30 index in the period from January 2007 to September 2009. The quantities under consideration are the share of positi ...

We use cross-sectional data about market participation level to capture the share of individual investors in the market. We find ...

way how private investors can impact the stock market and discuss a convenient metric of their behavior. This exercise might be ...

kind of information that Google offers through a service called Google Trends, where weekly time-series (starting January 2004) ...

sacrifice the initial 50 observations, which corresponds to around one year of data. We are therefore left with 250 observations ...

Volatility asymmetry, news, and private investors 265 Figure 11.3.Theme ‘‘recession’’. ...

266 News and risk Figure 11.4.Theme ‘‘oil price’’. ...

Volatility asymmetry, news, and private investors 267 Figure 11.5.Theme ‘‘inflation’’. ...

stable during the whole period although fluctuations are quite noisy around the mean. We clearly observe, however, that the numb ...

coverage and news flow have therefore the highest levels of volatility asymmetry (e.g., the USA, UK, and Japan). Given that, it ...

Arena M.; Howe J. (2008) ‘‘A face can launch a thousand shares (and a 0.80% abnormal return),’’ Journal of Behavioral Finance. 9 ...

The Handbook of News Analytics in Finance Edited by L. Mitra and G. Mitra 2011 John Wiley & Sons Petko S. Kalev and Huu Nhan ...

features and, most importantly, by temporal dependences in the information arrival process, these models provide an explanation ...