References
- Antweiler, W. and Frank, M. Z. (2004) Is all that talk just noise? The information content of internet stock message boards, The Journal of Finance, 59, 1259–94. doi:10.1111/j.1540-6261.2004.00662.x
- Bollerslev, T., Engle, R. F. and Wooldridge, J. M. (1988) A capital asset pricing model with time-varying covariances, Journal of Political Economy, 96, 116–31. doi:10.1086/261527
- Chevallier, J. (2012) Time varying correlations in oil, gas and CO2 prices: an application using BEKK, CCC, and DCC-MGARCH models, Applied Economics, 44, 4257–74. doi:10.1080/00036846.2011.589809
- Dzielinski, M., 2011, News sensitivity and the cross-section of stock returns, NCCR Finrisk Working Paper No. 719.
- Groß-Klußmann, A. and Hautsch, N. (2011) When machines read the news: using automated text analytics to quantify high frequency news-implied market reactions, Journal of Empirical Finance, 18, 321–40. doi:10.1016/j.jempfin.2010.11.009
- Sinha, N. R., (2011) Under-reaction to news in the US stock market, Working Paper.
- Smales, L. A. (2013) News sentiment and the investor fear gauge, Finance Research Letters, 10, 1–9.
- Tetlock, P. C. (2007) Giving content to investor sentiment: the role of media in the stock market, The Journal of Finance, 62, 1139–68. doi:10.1111/j.1540-6261.2007.01232.x
- Valadkhani, A., Karunanayake, I. and O'Brien, M., 2009, Modelling Australian stock market volatility: a multivariate GARCH approach, University of Wollongong Working Paper 09-11.
![Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.]({"type":"image" , "src" : "/sda/112446/MPU-L1EB.png"})