Caporin, Massimiliano; Poli, Francesco - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46
which to analyze the link between news and asset price dynamics. We detect the sentiment of news stories using a dictionary … of sentiment-related words and negations and propose a set of more than five thousand information-based variables that … information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …