Citation
Sakariyahu, R., Johan, S., Lawal, R., Paterson, A., & Chatzivgeri, E. (2023). Dynamic connectedness between investors’ sentiment and asset prices: A comparison between major markets in Europe and USA. Journal of International Financial Markets, Institutions and Money, 89, Article 101866. https://doi.org/10.1016/j.intfin.2023.101866
Authors
Keywords
Investor sentiment, Asset volatility, Forecasting, GARCH-MIDAS, TVP- VAR
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