different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will influence volatility as well as volume. This influence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …

based quantile regression in order to determine an active set of portfolio elements with negative non-zero coefficients …Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with …

Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns … Abstract: Motivated by the recurrent Neural Networks, this paper proposes a recurrent Support Vector Regression (SVR) procedure … to forecast nonlinear ARMA model based simulated data and real data of financial returns. The forecasting ability of the …

non-random and a random system. Unlike classical regressions, mean regression functions in the new model contain variance … 2003 to 2004. -- Non-random systems ; Random systems ; Semiparametric regression ; Variance built-in Mean …

) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns … moments of risk for for predict redict ing stock returns. stock returns. stock returns. stock returns. The e The e vidence …