The Impact of Sentiment and Attention Measures on Stock Market Volatility

Author:

Audrino Francesco,Sigrist Fabio,Ballinari Daniele

Publisher

Elsevier BV

Reference73 articles.

1. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility;T G Andersen;The Review of Economics and Statistics,2007

2. The distribution of realized stock return volatility;T G Andersen;Journal of Financial Economics,2001

3. Modeling and Forecasting Realized Volatility;T G Andersen;Econometrica,2003

4. Jump-robust volatility estimation using nearest neighbour truncation;T G Andersen;Journal of Econometrics,2012

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