How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches
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Ho, Kin-Yip
Shi, Yanlin
Zhang, Zhaoyong
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Elsevier
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This paper examines the dynamic relationship between firm-level return volatility and public news sentiment. By using the new RavenPack News Analytics - Dow Jones Edition database that captures over 1200 types of firm-specific and macroeconomic news relea
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North American Journal of Economics and Finance
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2037-12-31
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