3 papers
cs.CE2022
Forecasting with Economic News
Luca Barbaglia, Sergio Consoli, Sebastiano Manzan
The goal of this paper is to evaluate the informational content of sentiment extracted from news articles about the state of the economy. We propose a fine-grained aspect-based sen…
q-fin.ST2017
Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach
Luca Barbaglia, Christophe Croux, Ines Wilms
Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effe…
stat.AP2016
Multi-class Vector AutoRegressive Models for Multi-store Sales Data
Ines Wilms, Luca Barbaglia, Christophe Croux
Retailers use the Vector AutoRegressive (VAR) model as a standard tool to estimate the effects of prices, promotions and sales in one product category on the sales of another produ…