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Keywords: GARCH-MIDAS model
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Journal Articles
Journal:
China Finance Review International
China Finance Review International (2023) 13 (1): 102–120.
Published: 21 May 2021
.... (2018) demonstrated that overnight returns may be an appropriate proxy for investor sentiment by finding a correlation between overnight return rates and investment sentiment. Investor sentiment Market volatility MIDAS regression model GARCH-MIDAS model Mixed-frequency data Classical...
