News augmented GARCH(1,1) model for volatility prediction-Reference-Cited by-同舟云学术

News augmented GARCH(1,1) model for volatility prediction

Published:2018-03-12 Issue:2 Volume:30 Page:165-185
ISSN:1471-678X
Container-title:IMA Journal of Management Mathematics
language:en
Short-container-title:

Author:

Sadik Zryan A¹,Date Paresh M²,Mitra Gautam²

Affiliation:

1. Department of Mathematics, Brunel University London, Uxbridge, London, UK

2. OptiRisk Systems, OptiRisk R&D House, Uxbridge, London, UK

Funder

Optirisk Systems Limited

Publisher

Oxford University Press (OUP)

Subject

Applied Mathematics,Management Science and Operations Research,Strategy and Management,General Economics, Econometrics and Finance,Modelling and Simulation,Management Information Systems

Link

http://academic.oup.com/imaman/article-pdf/30/2/165/28226258/dpy004.pdf

Reference42 articles.

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2. Arbex-Valle, C., Erlwein-Sayer, C., Kochendörfer, A., Kübler, B., Mitra, G., Nana, G., Nouwt, B. & Stalknecht, B. (2013) News-Enhanced Market Risk Management. Available at SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2322668.

3. Macroeconomic news effects on conditional volatilities in the bond and stock markets;Arshanapalli;Appl. Financ. Econ.,2006

4. The message in daily exchange rates: a conditional variance tale;Baillie;J. Bus. Econ. Stat.,1989

5. Generalized autoregressive conditional heteroscedasticity;Bollerslev;Rev. Econ. Stat.,1986

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