A tale of two sentiment scales : disentangling short-run and long-run components in multivariate sentiment dynamics
Danilo Vassallo, Giacomo Bormetti and Fabrizio Lillo
| Year of publication: |
2022
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| Authors: | Vassallo, Danilo ; Bormetti, Giacomo ; Lillo, Fabrizio |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 12, p. 2237-2255
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| Subject: | Expectation maximization | Investment analysis | Kalman-filter | Quantile regressions | Sentiment analysis | Theorie | Theory | Emotion | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model | Finanzanalyse | Financial analysis | Anlageverhalten | Behavioural finance | Erwartungsbildung | Expectation formation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2119159 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013490941