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In this article we analyse the relationship between uncertainty and economic activity. For this purpose, we use a firm-level panel data set from Turkey to form proxies for uncertainty by using expectation errors of firms about their production volumes. The identifying assumption is that the probability of making an expectation error increases when the uncertainty faced increases. An analysis o…
- Tahun Terbit
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We examine whether the information contained in social media (Twitter, Facebook, and Google blogs) and web search intensity (Google) influences financial markets. Using a multivariate system and focussing on Eurozone�s peripheral countries, the GIIPS (Greece, Ireland, Italy, Portugal, and Spain) as well as two of Eurozone�s core countries (France and the Nethelands), we show that soc…
- Tahun Terbit
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This article develops a state space method for estimating the integrated variance under the existence of market microstructure noise (MMN). Our method is based on a state space representation of the noisecontaminated RV (NCRV), namely, the realized variance (RV) calculated with observed prices contaminated by MMNs. The main idea of our method is to filter out the bias component, which we call t…
- Tahun Terbit
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