A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics

DOI10.1080/14697688.2022.2119159zbMath1518.91251arXiv1910.01407OpenAlexW3124876852MaRDI QIDQ6158388

Giacomo Bormetti, Fabrizio Lillo, Unnamed Author

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.01407

zbMATH Keywords

investment analysisKalman-filterexpectation maximizationsentiment analysisquantile regressions

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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