28 citations · 95 across the 25 of their papers we have counts for
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q-fin.GN2019
A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics
Danilo Vassallo, Giacomo Bormetti, Fabrizio Lillo
We propose a novel approach to sentiment data filtering for a portfolio of assets. In our framework, a dynamic factor model drives the evolution of the observed sentiment and allow…
q-fin.GN2012★ 1 cited
Value matters: Predictability of Stock Index Returns
Natascia Angelini, Giacomo Bormetti, Stefano Marmi +1
We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shille…