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Impact of public news sentiment on stock market index return and volatility
(2021-10-11)
Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables ...
Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test
(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 ...