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Information flows and stock market volatility
Chew Lian Chua
, Sarantis Tsiaplias
School of Economics
Research output
:
Journal Publication
›
Article
›
peer-review
11
Citations (Scopus)
Overview
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Keyphrases
Transmission Mechanism
100%
Stock Market Volatility
100%
Information Flow
100%
Leverage Effect
100%
Stock Returns
50%
Volatility
50%
Lognormal
50%
Generalized Autoregressive Conditional Heteroskedasticity Model
50%
Volatility Surface
50%
Expected Volatility
50%
Shock
50%
Multivariate GARCH Models
50%
Shock Transmission
50%
Impact Surface
50%
News Genre
50%
News Components
50%
Poisson Jump Process
50%
GARCH Process
50%
News Impact
50%
Social Sciences
Stock Market
100%
Volatility
100%
Generalized Autoregressive Conditional Heteroskedasticity
66%
News Flow
33%
Crowding Out
33%
Computer Science
Market Volatility
100%
Expected Volatility
100%
Jump Process
100%
Economics, Econometrics and Finance
Volatility
100%
Transmission Mechanism
66%
Generalized Autoregressive Conditional Heteroskedasticity
66%
Capital Market Returns
33%
Engineering
Transmissions
100%
Lognormal
50%
Crowding-Out
50%