Auflistung nach JEL-Klassifizierung "C58"

Anzeige der Dokumente 1-17 von 17

    • A Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets 

      Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-05-06)
      We focus on the role of social media as a high-frequency, unfiltered mass information transmission channel and how its use for government communication affects the aggregate stock markets. To measure this effect, we ...

    • BIC 

      Unbekannter Autor
      Der Bank Identifier Code - BIC ist ein international standardisierter Code für die weltweit eindeutige Identifikation von Banken.

    • Bloomberg 

      Unbekannter Autor
      Bloomberg offers a wide range of data on the world's leading public and private companies. Bloomberg database components includes: Stock price data, CDS and bond data, calculated ratios, financial accounts information; ...

    • Eikon 

      Unbekannter Autor
      Refinitiv Eikon delivers a powerful combination of information, analytics and exclusive news on financial markets. It covers all the major financial markets – equity, fixed income, commodities, foreign exchange – and ...

    • Estimation and Model-Based Combination of Causality Networks 

      Bonaccolto, Giovanni; Caporin, Massimiliano; Panzica, Roberto Calogero (2017-01-31)
      Causality is a widely-used concept in theoretical and empirical economics. The recent financial economics literature has used Granger causality to detect the presence of contemporaneous links between financial institutions ...

    • FRD 

      Unbekannter Autor
      FirstRate Data is a leading provider of high resolution intraday stock market, crypto, futures and FX data. We source our historical stock data directly from major exchanges and fully adjusted for both splits and dividends. ...

    • Kenneth French 

      Unbekannter Autor
      The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy ...

    • Kibot 

      Unbekannter Autor
      We provide instant access to over 58 years of daily data, over 22 years of top-quality, minute-by-minute intraday data and over 11 years of tick-by-tick (including bid/ask) historical market data for Stocks, ETFs, Futures ...

    • Market impact of government communication: The case of presidential tweets 

      Abdi, Farshid; Kormanyos, Emily; Pelizzon, Loriana; Getmansky, Mila; Simon, Zorka (2021-10-06)
      "We propose the ""President reacts to news"" channel of stock returns by studying the financial market impact of the Twitter account of the 45th president of the United States, Donald Trump. We use machine learning algorithms ...

    • Networks in Risk Spillovers: A Multivariate GARCH Perspective 

      Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo; Pelizzon, Loriana (2018-08-01)
      We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity ...

    • Systemic Co-Jumps 

      Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto (2016-10-10)
      The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and ...

    • Systemic risk for financial institutions of major petroleum-based economies: The role of oil 

      Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; Hammoudeh, Shawkat (2017-11-05)
      This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ...

    • TAQ 

      Unbekannter Autor
      NYSE Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National ...

    • The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification 

      Billio, Monica; Caporin, Massimiliano; Panzica, Roberto Calogero; Pelizzon, Loriana (2016-10-01)
      We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ...

    • Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test 

      Caporina, Massimiliano; Costola, Michele (2021-10-14)
      Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for ...

    • TTA 

      Unbekannter Autor
      The Trump Twitter Archive is a comprehensive collection of Donald Trump’s tweets maintained by Brendan Brown.

    • Twitter API 

      Unbekannter Autor
      The Twitter API lets you read and write Twitter data. Thus, you can use it to compose tweets, read profiles, and access your followers' data and a high volume of tweets on particular subjects in specific locations. API stands ...