1 citations · 2 across the 9 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
q-fin.GN2019
Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists
Jozef Barunik, Cathy Yi-Hsuan Chen, Jan Vecer
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers. News arrive at markets random…
q-fin.ST2019
Co-jumping of Treasury Yield Curve Rates
Jozef Barunik, Pavel Fiser
We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely throug…