University of Tuebingen - Department of Statistics and Econometrics
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realized volatility, forecasting, investor behavior, limited attention, noise trader, search engine data
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realised volatility, forecasting, investor behaviour, limited attention, noise trader, search engine data
stock return distribution, quantile autoregression, overreaction and underreaction
CDS, entropy, information flow, non-linear dynamics, price discovery
quantile autoregression (QAR), return autocorrelation, investor behavior, momentum, underreaction, financial crisis
Cointegration, Random Walk, International Financial Markets
Nowcasting, Long-memory components, Heterogeneous VAR, Unemployment, Bond yields, Google searches
replication study, Bitcoin, cryptocurrencies
Bitcoin, digital currency, medium of exchange, realized volatility
adverse selection, Bitcoin, liquidity, market microstructure
quantile autoregression (QAR), asymmetric volatility, inter-quantile range
volatility asymmetry; volatility persistence; volatility feedback; GARCH; realized volatility; jumps; quantile regression
Investor Pessimism; Sentiment; Google Search Queries; LASSO; Sparse PCA
gold, volatility, investor attention, google, search queries
event study, news impact, spillover, volatility, price discovery
Spillovers, Index Futures, Realized Volatility, Structural VAR model, HAR-RV model
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