I am examining how investor sentiment affects the probability of stock market crises. I am using methodology similar to this paper https://ideas.repec.org/p/dij/wpfarg/1110304.html. One of the ...
I am constructing an investor sentiment index to determine the impact of investor sentiment on stock market crises. I am following the methodology in this paper, http://188.8.131.52/repec/upload/...
A common way to select orders parameters (ex: to choose the number of AR terms to be included in the model ) in time series modelling is to rely on some Information Criteria (AIC, BIC, Hannan Quinn..)...
What is the correct methodology to compute constant maturity futures price. I've met in some papers that do the following. To create constant maturity synthetic futures prices with maturity $m = 30, ...