The relationships between sentiment, returns and volatility
Article Abstract:
A study analyzing the volatility in predications brought about by market sentiments is presented. The study also shows that lagged returns result in volatility. According to the study, sentiments are influenced by returns and volatility. The study is important for assessing stock index returns.
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2006
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Predictability of large future changes in major financial indices
Article Abstract:
A study developing an algorithm that proves the presence of a collective organization amongst the agents in social systems, which results in substantial changes in major financial indices like Dow Jones Industrial Average Index and Hong Kong Hang Seng composite index is presented.
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2006
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The longer-horizon predictability of German stock market volatility
Article Abstract:
A new method of predicting the volatility in German stock markets for a period of 1 to 45 days is presented. According to earlier research, volatility of the Deutscher Aktien Index (DAX) is predictable for only 15 trading days.
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2006
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