Directional news impact curve

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F21%3A00542009" target="_blank" >RIV/00216208:11640/21:00542009 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.1002/for.2708" target="_blank" >https://doi.org/10.1002/for.2708</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1002/for.2708" target="_blank" >10.1002/for.2708</a>

Result language
angličtina
Original language name
Directional news impact curve
Original language description
The directional news impact curve (DNIC) is a relationship between returns and the probability of next period's return exceeding a certain threshold—zero in particular. Using long series of S&P500 index returns and a number of para-metric models suggested in the literature, as well and flexible semiparametric models, we investigate the shape of the DNIC and forecasting abilities of these models. The semiparametric approach reveals that the DNIC has complicated shapes characterized by nonsymmetry with respect to past returns and their signs, heterogeneity across the thresholds, and changes over time. Simple para-metric models often miss some important features of the DNIC, but some nevertheless exhibit superior out-of-sample performance.
Czech name
—
Czech description
—

Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA20-28055S" target="_blank" >GA20-28055S: ECONOMETRICS WITH OVERPARAMETERIZATION AND WEAK IDENTIFICATION</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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