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News, Volatility and Jumps: The Case of Natural Gas Futures
16 references·12 citing·32 second hop
News, Volatility and Jumps: The Case of Natural Gas Futures (2013)News, Volatility and Jumps: The Case of N…Twitter mood predicts the stock market (2011)Twitter mood predicts the sto…Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Investigating Causal Relation…More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)More Than Words: Quantifying …Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …Event Studies in Economics and Finance (1997)Event Studies in Economics an…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Testing for Unit Roots in Aut…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Renewable energy stocks forecast using Twitter investor sentiment and deep learning (2022)Renewable energy stocks forec…Fuzzy Rule-Based Prediction of Gold Prices using News Affect (2022)Fuzzy Rule-Based Prediction o…Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain (2021)Oil, natural gas and BRICS st…Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty (2021)Forecasting Bitcoin realized …Spillovers in Higher-Order Moments of Crude Oil, Gold, and Bitcoin (2020)Spillovers in Higher-Order Mo…Sentiment spillover effects for US and European companies (2019)Sentiment spillover effects f…News media analytics in finance: a survey (2019)News media analytics in finan…Exploiting Dependence: Day-Ahead Volatility Forecasting for Crude Oil and Natural Gas Exchange-Traded Funds (2018)Exploiting Dependence: Day-Ah…News and social media emotions in the commodity market (2017)News and social media emotion…Forecasting Oil Price Trends with Sentiment of Online News Articles (2017)Forecasting Oil Price Trends …Building News Measures from Textual Data and an Application to Volatility Forecasting (2017)Building News Measures from T…Volatility forecasting of strategically linked commodity ETFs: gold-silver (2016)Volatility forecasting of str…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Causal Ordering and Identifiability (1977)Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site (2009)Testing for Granger non-causality in heterogeneous panels (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The arbitrage theory of capital asset pricing (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Capital markets research in accounting (2001)Introductory Econometrics for Finance (2008)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Personality, Gender, and Age in the Language of Social Media: The Open-Vocabulary Approach (2013)Social media and loneliness: Why an Instagram picture may be worth more than a thousand Twitter words (2016)Text as Data (2019)The General Theory of Employment, Interest and Money. 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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2011Twitter mood predicts the stock market5,204 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 2010Investigating Causal Relations by Econometric Models and Cross-Spectral Methods4,760 cited
  • 1997Event Studies in Economics and Finance4,623 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 2008More Than Words: Quantifying Language to Measure Firms' Fundamentals2,310 cited
  • 2001The distribution of realized stock return volatility

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2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
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    • 2022Renewable energy stocks forecast using Twitter investor sentiment and deep learning69 cited
    • 2019Sentiment spillover effects for US and European companies67 cited
    • 2022Fuzzy Rule-Based Prediction of Gold Prices using News Affect55 cited
    • 2017News and social media emotions in the commodity market42 cited
    • 2017Building News Measures from Textual Data and an Application to Volatility Forecasting39 cited
    • 2018Exploiting Dependence: Day-Ahead Volatility Forecasting for Crude Oil and Natural Gas Exchange-Traded Funds39 cited
    • 2017Forecasting Oil Price Trends with Sentiment of Online News Articles35 cited
    • 2019News media analytics in finance: a survey29 cited
    • 2016Volatility forecasting of strategically linked commodity ETFs: gold-silver27 cited
    • 2021Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty25 cited