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A tale of two sentiment scales : disentangling short-run and long-run components in multivariate sentiment dynamics
Vassallo, Danilo; Bormetti, Giacomo; Lillo, Fabrizio - In: Quantitative finance 22 (2022) 12, pp. 2237-2255
Persistent link: https://www.econbiz.de/10013490941
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Value matters : the long-run behavior of stock index returns
Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; … - In: Review of economics & finance 12 (2018) 2, pp. 16-28
Persistent link: https://www.econbiz.de/10011885380
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A stylized model for long-run index return dynamics
Angelini, Natascia; Bormetti, Giacomo; Marmi, Stefano; … - In: Essays in economic dynamics : theory, simulation …, (pp. 111-122). 2016
Persistent link: https://www.econbiz.de/10011559035