most citedRealised Volatility Forecasting: Machine Learning via Financial Word Embedding

19 citations · 19 across the 1 of their papers we have counts for

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q-fin.CP2021★ 19 cited

Realised Volatility Forecasting: Machine Learning via Financial Word Embedding

Eghbal Rahimikia, Stefan Zohren, Ser-Huang Poon

We examine whether financial news can improve realised volatility forecasting using a parsimonious NLP-based framework that incorporates specialised financial word embeddings along…