A novel (U)MIDAS-SVR model with multi-source market sentiment for forecasting stock returns
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DOI: 10.1007/s00521-019-04063-6
Abstract: From the point view of behavioral finance, market sentiment plays an important role in forecasting stock returns. How to accurately measure the impact of market sentiment is a challenge work. Two issues on nonlinear relationship… read more here.
Keywords: market sentiment; svr model; midas svr;