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14-014/III - Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series

  • Authors
    David E. Allen, University of South Africa; Michael McAleer, National Tsing Hua University, Taiwan, Econometric Institute, Erasmus University Rotterdam, the Netherlands, Complutense University of Madrid, Spain; Abhay K. Singh, Edith Cowan University, Perth, Australia
  • Publication date
    January 23, 2014
  • Keywords
    DJIA, Sentiment Scores, TRNA, Conditional Volatility Models
  • JEL
    C58, G14