Which fear index matters for predicting US stock market volatilities: Text-counts or option based measurement?-Reference-Cited by-同舟云学术

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Which fear index matters for predicting US stock market volatilities: Text-counts or option based measurement?

Published:2019-12 Issue: Volume:536 Page:122567
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Zhu Sha,Liu Qiuhong,Wang Yan,Wei Yu,Wei Guiwu

Funder

National Natural Science Foundation of China

2018 Chongqing graduate student mentor team project: Innovative National Construction and Green Development of the Belt and Road Initiatives

Major project of fundamental research of Yunnan province

Science and technology innovation team of Yunnan provincial universities

Projects for key laboratory of service computing and safety management of Yunnan provincial universities

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference34 articles.

1. Observability of market daily volatility;Petroni;Physica A,2016

2. Forecasting stock market volatility: Do realized skewness and kurtosis help?;Mei;Physica A,2017

3. On fractality and chaos in moroccan family business stock returns and volatility;Lahmiri;Physica A,2017

4. CaN economic policy uncertainty help to forecast the volatility: A multifractal perspective;Liu;Physica A,2017

5. Forecasting stock return volatility: A comparison between the roles of short-term and long-term leverage effects;Pan;Physica A,2018

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