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The information content of option-implied information for volatility forecasting with investor sentiment
16 references·16 citing·33 second hopsampled
The information content of option-implied information for volatility forecasting with investor sentiment (2014)The information content of option-implied…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…The short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Good Day Sunshine: Stock Returns and the Weather (2003)Good Day Sunshine: Stock Retu…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …The Limits of Arbitrage (1995)The Limits of ArbitrageComparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyInvestor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…On estimating the expected return on the market (1980)On estimating the expected re…A hybrid econometrics and machine learning based modeling of realized volatility of natural gas (2024)A hybrid econometrics and mac…Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market (2022)Investor sentiment based on s…Forecasting crude oil market volatility using variable selection and common factor (2022)Forecasting crude oil market …Realized skewness and the short-term predictability for aggregate stock market volatility (2021)Realized skewness and the sho…Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic? (2021)Have returns and volatilities…VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective (2020)VIX forecasting based on GARC…Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter? (2020)Modeling realized volatility …Quantifying the Cross Sectional Relation of Daily Happiness Sentiment and Stock Return: Evidence From Us (2019)Quantifying the Cross Section…Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets (2019)Improving volatility forecast…Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect (2018)Volatility forecasting of cru…A Forecast Comparison of Volatility Models Using Realized Volatility: Evidence from the Bitcoin Market (2018)A Forecast Comparison of Vola…Modeling and predicting oil VIX: Internet search volume versus traditional mariables (2017)Modeling and predicting oil V…Can economic policy uncertainty help to forecast the volatility: A multifractal perspective (2017)Can economic policy uncertain…“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets (2017)“De-financialization” of comm…Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH (2015)Forecasting realized volatili…Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting (2015)Evolving Fuzzy-GARCH Approach…The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Market Liquidity and Funding Liquidity (2008)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Industry costs of equity (1997)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Prospect theory: An analysis of decision under risk (1988)On Persistence in Mutual Fund Performance (1997)Media Coverage and the Cross‐section of Stock Returns (2009)Who Gambles in the Stock Market? (2009)In Search of Attention (2011)Investor Psychology and Security Market Under‐ and Overreactions (1998)Policy Uncertainty and Corporate Investment (2015)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Deep learning with long short-term memory networks for financial market predictions (2017)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1995Comparing Predictive Accuracy5,214 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 2011The short of it: Investor sentiment and anomalies1,781 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2003Good Day Sunshine: Stock Returns and the Weather1,742 cited

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1991
Investor Sentiment and the Closed-End Fund Puzzle
1,508 cited

Cited by

  • 2017“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets151 cited
  • 2022Forecasting crude oil market volatility using variable selection and common factor113 cited
  • 2018Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect83 cited
  • 2017Can economic policy uncertainty help to forecast the volatility: A multifractal perspective81 cited
  • 2015Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH62 cited
  • 2017Modeling and predicting oil VIX: Internet search volume versus traditional mariables56 cited
  • 2020VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective38 cited
  • 2022Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market37 cited
  • 2019Improving volatility forecasting based on Chinese volatility index information: Evidence from CSI 300 index and futures markets33 cited
  • 2015Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting28 cited
  • 2021Realized skewness and the short-term predictability for aggregate stock market volatility24 cited
  • 2021Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?22 cited
  • 2018A Forecast Comparison of Volatility Models Using Realized Volatility: Evidence from the Bitcoin Market22 cited
  • 2024A hybrid econometrics and machine learning based modeling of realized volatility of natural gas21 cited
  • 2019Quantifying the Cross Sectional Relation of Daily Happiness Sentiment and Stock Return: Evidence From Us21 cited
  • 2020Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?20 cited