The Wiley Finance Series : Handbook of News Analytics in Finance

(Chris Devlin) #1

10.6 References


Abraham A.; Taylor W. (1993) ‘‘Pricing currency options with scheduled and unscheduled
announcement effects on volatility,’’Managerial and Decision Science, 14 , 311–326.
Bollerslev T. (1986) ‘‘Generalized autoregressive conditional heteroskedasticity,’’Journal of
Econometrics, 31 (3), 307–328.
Brown K.; Harlow W.V.; Tinic S. (1988) ‘‘Risk aversion, uncertain information and market
efficiency,’’Journal of Financial Economics, 22 , 355–385.
diBartolomeo D. (2007) ‘‘Fat tails, tall tales, puppy dog tails,’’Professional Investor, 17 , 38–40.
diBartolomeo D.; Warrick S. (2005) ‘‘Making covariance based risk models sensitive to the rate at
which markets reflect new information,’’ in S. Satchell and J. Knight (Eds.),Linear Factor
Models in Finance, Chapter 12, Butterworth-Heinemann, Oxford.
Easley D.; O’Hara M. (2001)Information and the Cost of Capital, Working Paper, Cornell
University.
Ederington L.H.; Lee J.H. (1996) ‘‘Creation and resolution of market uncertainty: The
importance of information releases,’’Journal of Financial and Quantitative Analysis, 31 , 513–
539.
Engle R.F. (1982) ‘‘Autoregressive conditional heteroscedasticity with estimates of the variance of
United Kingdom inflations,’’Econometrica, 50 (4), 987–1008.
Jones C.; Lamont O.; Lumsdaine R. (1998) ‘‘Macroeconomic news and bond market volatiilty,’’
Journal of Financial Economics, 47 , 315–337.
Kwag A.; Shrieves R.; Wansley J. (2000)Partially Anticipated Events: An Application to Dividend
Announcements, Working Paper, University of Tennessee.
Levy H.; Markowitz H.M. (1979) ‘‘Approximating expected utility by a function of mean and
variance,’’American Economic Review, 69 (3), 308–317.
Lo A.; Getmansky M.; Makarov I. (2003)An Econometric Model of Serial Correlation and
Illiquidity in Hedge Fund Returns, National Bureau of Economic Research.
Mitra L.; Mitra G.; diBartolomeo D. (2009) ‘‘Equity portfolio risk estimation using market
information and sentiment,’’Quantitative Finance, 9 (8), 887–895.
Rosenberg B.; Reid K.; Lanstein R. (1985) ‘‘Persuasive evidence of market inefficiency,’’Journal
of Portfolio Management, 11 (3), 9–17.
Sfridis J. (2005)Incorporating Higher Moments into Financial Data Analysis, Working Paper,
University of Connecticut.
Shah A. (2008) ‘‘Short-term risk from long-term models,’’ paper presented atNorthfield Seminar
Proceedings, October.
Shah A. (2009) ‘‘Short-term risk from long-term models,’’Northfield Newsletter, October
http://www.northinfo.com/documents/312.pdf


254 News and risk

Free download pdf