2 01 4 Are news important to predict large losses ?

Abstract

In this paper we investigate the impact of news to predict extreme financial returns using high frequency data. We consider several model specifications differing for the dynamic property of the underlying stochastic process as well as for the innovation process. Since news are essentially qualitative measures, they are firstly transformed into quantitative… (More)

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Cite this paper

@inproceedings{Petrella2016204, title={2 01 4 Are news important to predict large losses ?}, author={Lea Petrella}, year={2016} }