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Published in 2020 at "International Journal of Forecasting"
DOI: 10.1016/j.ijforecast.2019.05.010
Abstract: We analyze the impact of sentiment and attention variables on volatility by using a novel and extensive dataset that combines social media, news articles, information consumption, and search engine data. Applying a state-of-the-art sentiment classification…
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Keywords:
sentiment attention;
attention;
attention measures;
volatility ... See more keywords