RP6: Modelling and Forecasting the Joint Distribution of Asset Returns with News (WP3)
The objective of this project is to improve existing state-of-the-art financial econometric methods by quantifying an important determinant of asset prices, the arrival of economic information such as press-releases and newswire and newspaper items, and by using thus improving estimates of financial risk. First, this RP is based on our earlier joint paper (Engle, Hansen […]