Forecasting financial market volatility using a dynamic topic model
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Cites work
- 10.1162/jmlr.2003.3.4-5.993
- Data-based ranking of realised volatility estimators
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Exploiting the errors: a simple approach for improved volatility forecasting
- Handbook of Volatility Models and Their Applications
- Realized Volatility: A Review
- Robust ranking of multivariate GARCH models by problem dimension
Cited in
(13)- News and narratives in financial systems: exploiting big data for systemic risk assessment
- Term structure models during the global financial crisis: a parsimonious text mining approach
- To what extent can new web-based technology improve forecasts? Assessing the economic value of information derived from virtual globes and its rate of diffusion in a financial market
- A commonsense knowledge-enabled textual analysis approach for financial market surveillance
- Extracting predictive information from heterogeneous data streams using Gaussian processes
- Time series forecasting using functional partial least square regression with stochastic volatility, GARCH, and exponential smoothing
- Research on stock market forecast based on social emotion data mining
- Scheduled macroeconomic news announcements and forex volatility forecasting
- On stock volatility forecasting based on text mining and deep learning under high-frequency data
- Analyzing Firm Reports for Volatility Prediction: A Knowledge-Driven Text-Embedding Approach
- A big data approach to analyzing market volatility
- Forecasting Unemployment Using Internet Search Data via PRISM
- Systemic risk in Indian financial institutions: a probabilistic approach
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