SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Google Internet search activity and volatility prediction in the market for foreign currency
16 references·16 citing·43 second hopsampled
Google Internet search activity and volatility prediction in the market for foreign currency (2012)Google Internet search activity and volat…Information demand and stock market volatility (2012)Information demand and stock …In Search of Attention (2011)In Search of AttentionForecasting private consumption: survey-based indicators vs. Google trends (2011)Forecasting private consumpti…Handbook of Financial Time Series (2010)Handbook of Financial Time Se…Practical Issues in the Analysis of Univariate GARCH Models (2009)Practical Issues in the Analy…Google Econometrics and Unemployment Forecasting (2009)Google Econometrics and Unemp…Testing for Nonlinear Dependence in Daily Foreign Exchange Rates (1989)Testing for Nonlinear Depende…Modeling Heteroscedasticity in Daily Foreign-Exchange Rates (1989)Modeling Heteroscedasticity i…Transaction Data Tests of the Mixture of Distributions Hypothesis (1987)Transaction Data Tests of the…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Cross-Security Tests of the Mixture of Distributions Hypothesis (1986)Cross-Security Tests of the M…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…On the Distribution of Stock Price Differences (1967)On the Distribution of Stock …Extreme directional spillovers between investor attention and green bond markets (2022)Extreme directional spillover…Investor attention and the response of US stock market sectors to the COVID-19 crisis (2020)Investor attention and the re…Impact of the Asset Purchase Programme on euro area government bond yields using market news (2019)Impact of the Asset Purchase …Google trends and the predictability of precious metals (2019)Google trends and the predict…A deep learning approach for financial market prediction: utilization of Google trends and keywords (2019)A deep learning approach for …Quantifying the cross-correlations between online searches and Bitcoin market (2018)Quantifying the cross-correla…Does Google search index really help predicting stock market volatility? Evidence from a modified mixed data sampling model on volatility (2018)Does Google search index real…Google Trends and tourists' arrivals: Emerging biases and proposed corrections (2017)Google Trends and tourists' a…Google search keywords that best predict energy price volatility (2017)Google search keywords that b…Effects of investor attention on commodity futures markets (2017)Effects of investor attention…Does investor attention matter? The attention-return relationships in FX markets (2017)Does investor attention matte…Short-term forecasting of Japanese tourist inflow to South Korea using Google trends data (2016)Short-term forecasting of Jap…Google's MIDAS Touch: Predicting UK Unemployment with Internet Search Data (2016)Google's MIDAS Touch: Predict…Forecasting unemployment with internet search data: Does it help to improve predictions when job destruction is skyrocketing? (2015)Forecasting unemployment with…Tweets, Google trends, and sovereign spreads in the GIIPS (2014)Tweets, Google trends, and so…Automated Model Selection in Finance: General‐to‐Specific Modelling of the Mean and Volatility Specifications* (2011)Automated Model Selection in …Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Investor attention, index performance, and return predictability (2014)Can Internet Search Queries Help to Predict Stock Market Volatility? (2015)Investor Attention and Global Market Returns during the COVID-19 Crisis (2020)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)The variation of certain speculative prices (1997)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Asset Prices in an Exchange Economy (1978)Nonparametric exchange rate prediction? (1990)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Brownian Motion in the Stock Market (1959)Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis (1990)Multifractality in Asset Returns: Theory and Evidence (2002)Cross-Section Regression with Common Shocks (2005)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Comparing Predictive Accuracy (1994)Testing the equality of prediction mean squared errors (1997)Consumer Confidence and Consumer Spending (2004)Now-Casting and the Real-Time Data Flow (2013)Forecasting Chinese tourist volume with search engine data (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Attention to Global Warming (2019)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 2011In Search of Attention3,088 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 1989Testing for Nonlinear Dependence in Daily Foreign Exchange Rates665 cited
  • 2011Forecasting private consumption: survey-based indicators vs. Google trends560 cited
  • 1967On the Distribution of Stock Price Differences529 cited
  • 2012Information demand and stock market volatility528 cited
  • 1989Modeling Heteroscedasticity in Daily Foreign-Exchange Rates505 cited
  • 2009Google Econometrics and Unemployment Forecasting439 cited
  • 1987Transaction Data Tests of the Mixture of Distributions Hypothesis321 cited
  • 1986Cross-Security Tests of the Mixture of Distributions Hypothesis276 cited
  • 2010Handbook of Financial Time Series

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

234 cited
  • 2009Practical Issues in the Analysis of Univariate GARCH Models198 cited
  • Cited by

    • 2016Short-term forecasting of Japanese tourist inflow to South Korea using Google trends data139 cited
    • 2017Google Trends and tourists' arrivals: Emerging biases and proposed corrections135 cited
    • 2017Google search keywords that best predict energy price volatility119 cited
    • 2022Extreme directional spillovers between investor attention and green bond markets103 cited
    • 2015Forecasting unemployment with internet search data: Does it help to improve predictions when job destruction is skyrocketing?93 cited
    • 2019Impact of the Asset Purchase Programme on euro area government bond yields using market news74 cited
    • 2014Tweets, Google trends, and sovereign spreads in the GIIPS74 cited
    • 2018Quantifying the cross-correlations between online searches and Bitcoin market68 cited
    • 2020Investor attention and the response of US stock market sectors to the COVID-19 crisis59 cited
    • 2018Does Google search index really help predicting stock market volatility? Evidence from a modified mixed data sampling model on volatility58 cited
    • 2016Google's MIDAS Touch: Predicting UK Unemployment with Internet Search Data57 cited
    • 2019A deep learning approach for financial market prediction: utilization of Google trends and keywords52 cited
    • 2017Does investor attention matter? The attention-return relationships in FX markets49 cited
    • 2019Google trends and the predictability of precious metals48 cited
    • 2011Automated Model Selection in Finance: General‐to‐Specific Modelling of the Mean and Volatility Specifications*45 cited
    • 2017Effects of investor attention on commodity futures markets41 cited