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News, Volatility and Jumps: The Case of Natural Gas Futures · Study

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ArticleNews, Volatility and Jumps: The Case of Natural Gas Futures

Svetlana Borovkova2013

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News, Volatility and Jumps: The Case of Natural Gas Futures

Svetlana Borovkova · Diego Mahakena

72 citations·0/0 files stored·Quantitative Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1988Testing for a Unit Root in Time Series Regression 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2011Twitter mood predicts the stock market 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market

Cited by

2020Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin 2021Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain 2022Renewable energy stocks forecast using Twitter investor sentiment and deep learning 2019Sentiment spillover effects for US and European companies 2022Fuzzy Rule-Based Prediction of Gold Prices using News Affect

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Year2013

Typearticle

Published2013-01-01

VenueQuantitative Finance

ISSN-L1469-7688

Languageen

Citations72

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1080/14697688.2014.986513

openalex_workW2129196569

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2017News and social media emotions in the commodity market

2018Exploiting Dependence: Day-Ahead Volatility Forecasting for Crude Oil and Natural Gas Exchange-Traded Funds

2017Building News Measures from Textual Data and an Application to Volatility Forecasting