Uncertainty shocks of Trump election in an interval model of stock market

DOI10.1080/14697688.2020.1800070zbMATH Open1479.91383OpenAlexW3083553495MaRDI QIDQ5014221FDOQ5014221

Authors Yuying Sun, Kenan Qiao, Shouyang Wang

Publication date 1 December 2021

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://research.rug.nl/en/publications/uncertainty-shocks-of-trump-election-in-an-interval-model-of-stock-market(cba78e14-1ea1-4c53-8f6e-b0e9968ea920).html

zbMATH Keywords

interval time seriesrange volatilityinterval dummy variablesnonlinear minimum-distance estimatorTrump election

Mathematics Subject Classification ID

History, political science (91F10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 3666088 (Why is no real title available?)
• A multiple indicators model for volatility using intra-daily data
• Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Centre and range method for fitting a linear regression model to symbolic interval data
• Constrained linear regression models for symbolic interval-valued variables
• Estimation of a flexible simple linear model for interval data based on set arithmetic
• Interval-valued time series models: estimation based on order statistics exploring the agriculture marketing service data
• Intervention Analysis with Applications to Economic and Environmental Problems
• Measuring volatility with the realized range
• Modeling interval time series with space-time processes
• Modelling interval data with normal and skew-normal distributions
• On the variance of fuzzy random variables
• The Impact of Uncertainty Shocks
• Threshold autoregressive models for interval-valued time series data
• Uncertainty shocks in a model of effective demand

Cited in

(6)

• Mapping the presidential election cycle in US stock markets
• scientific article; zbMATH DE number 7084710 (Why is no real title available?)
• Model averaging for interval-valued data
• Brexit and its impact on the US stock market
• Forecasting interval-valued crude oil prices using asymmetric interval models
• Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models

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