When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on realised or bipower variation are applied. This article instead starts from a continuous time diffusion model and derives a parametric analog at high frequency for it, allowing...

Sentiment analysis is increasingly viewed as a vital task both from an academic and a commercial standpoint. The majority of current approaches, however, attempt to detect the overall polarity of a sentence, paragraph, or text span, regardless of the entities (e.g., laptops, restaurants) and...

Over the last decade, big data have poured into econometrics, demanding new statistical methods for analysing high-dimensional data and complex non-linear relationships. A common approach for addressing dimensionality issues relies on the use of static graphical structures for extracting the...