Back to Search
Start Over
Optimal Text-Based Time-Series Indices
- Publication Year :
- 2024
-
Abstract
- We propose an approach to construct text-based time-series indices in an optimal way--typically, indices that maximize the contemporaneous relation or the predictive performance with respect to a target variable, such as inflation. We illustrate our methodology with a corpus of news articles from the Wall Street Journal by optimizing text-based indices focusing on tracking the VIX index and inflation expectations. Our results highlight the superior performance of our approach compared to existing indices.
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2405.10449
- Document Type :
- Working Paper