Building news measures from textual data and an application to volatility forecasting
Year of publication: |
September 2017
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Authors: | Caporin, Massimiliano ; Poli, Francesco |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 5.2017, 3, p. 1-46
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Subject: | volatility | news | Google Trends | sentiment analysis | big data | lasso | regularization | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Big Data | Big data | Ankündigungseffekt | Announcement effect | Börsenkurs | Share price |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics5030035 [DOI] hdl:10419/195478 [Handle] |
Classification: | c55 ; C52 - Model Evaluation and Testing ; c58 ; C22 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
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