Abstract
The test for a structural break in the DGP describing the time series of volatility estimates explained by the arrival of an unexpected news, unites the quantitative information of asset quotes with the qualitative information of text news through the two joint information units, ISIN and time.
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© 2016 Springer Fachmedien Wiesbaden
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Kömm, H. (2016). Algorithmic Text Forecasting. In: Forecasting High-Frequency Volatility Shocks. Springer Gabler, Wiesbaden. https://doi.org/10.1007/978-3-658-12596-7_6
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DOI: https://doi.org/10.1007/978-3-658-12596-7_6
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Publisher Name: Springer Gabler, Wiesbaden
Print ISBN: 978-3-658-12595-0
Online ISBN: 978-3-658-12596-7
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