The fluctuation correlation between investor sentiment and stock index using VMD-LSTM : evidence from China stock market
Zhenbin Gao, Jie Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Gao, Zhenbin ; Zhang, Jie |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 66.2023, p. 1-18
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| Subject: | Fluctuation correlation | GARCH model | Investor sentiment | VAR (vector autoregression) model | VMD-LSTM model | VAR-Modell | VAR model | China | ARCH-Modell | ARCH model | Anlageverhalten | Behavioural finance | Volatilität | Volatility | Korrelation | Correlation | Aktienindex | Stock index | Aktienmarkt | Stock market | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis |