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Extreme return, extreme volatility and investor sentiment
16 references·0 citing·44 second hop
Extreme return, extreme volatility and investor sentiment (2016)Extreme return, extreme volatility and in…Investigating the risk-return trade-off for crude oil futures using high-frequency data (2016)Investigating the risk-return…Forecasting the volatility of crude oil futures using HAR-type models with structural breaks (2016)Forecasting the volatility of…The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The Sum of All FEARS Investor…On the Modeling of Financial Time Series (2014)On the Modeling of Financial …Understanding the Puzzling Risk-Return Relationship for Housing (2013)Understanding the Puzzling Ri…The Short of It: Investor Sentiment and Anomalies (2011)The Short of It: Investor Sen…Global, local, and contagious investor sentiment (2011)Global, local, and contagious…Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2009)Rise of the Machines: Algorit…Chinese institutional investors’ sentiment (2007)Chinese institutional investo…Investor Sentiment and Asset Valuation (2005)Investor Sentiment and Asset …Investor sentiment and the near-term stock market (2003)Investor sentiment and the ne…Volatility, Sentiment, and Noise Traders (1999)Volatility, Sentiment, and No…How Useful is the Sentiment Index? (1988)How Useful is the Sentiment I…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)5 Stochastic volatility (1996)Long memory processes and fractional integration in econometrics (1996)Intraday periodicity and volatility persistence in financial markets (1997)Noise Trader Risk in Financial Markets (1990)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Investor Sentiment and Stock Returns (2000)Stock market volatility, excess returns, and the role of investor sentiment (2002)Option Pricing: The American Put (1977)ARCH modeling in finance (1992)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Book Review: 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)On the Failure to Eliminate Hypotheses in a Conceptual Task (1960)On the psychology of prediction. (1973)Judgment Under Uncertainty: Heuristics and Biases. (1984)Investor Sentiment and Asset Valuation (2005)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Modeling and Forecasting Realized Volatility (2003)Forecasting oil price realized volatility using information channels from other asset classes (2017)China's carbon emissions trading and stock returns (2019)Geopolitical risk and oil volatility: A new insight (2019)An Inquiry into the Nature and Causes of the Wealth of Nations (1776)Common risk factors in the returns on stocks and bonds (1993)The short of it: Investor sentiment and anomalies (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Manager sentiment and stock returns (2018)Feverish Stock Price Reactions to COVID-19* (2020)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)The Framing of Decisions and the Psychology of Choice (1981)Advances in prospect theory: Cumulative representation of uncertainty (1992)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)
this work references cited by second hop

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2014The Sum of All FEARS Investor Sentiment and Asset Prices1,399 cited
  • 2003Investor sentiment and the near-term stock market1,390 cited
  • 2011Global, local, and contagious investor sentiment1,061 cited
  • 2014On the Modeling of Financial Time Series403 cited
  • 1999Volatility, Sentiment, and Noise Traders277 cited
  • 2016Forecasting the volatility of crude oil futures using HAR-type models with structural breaks269 cited
  • 1988How Useful is the Sentiment Index?207 cited
  • 2007Chinese institutional investors’ sentiment135 cited
  • 2009Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market106 cited
  • 2011The Short of It: Investor Sentiment and Anomalies91 cited
  • 2013Understanding the Puzzling Risk-Return Relationship for Housing89 cited
  • 2005Investor Sentiment and Asset Valuation85 cited
  • 2016Investigating the risk-return trade-off for crude oil futures using high-frequency data

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