Myrthe Dieijen

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

SCHOLARLY PAPERS

2

DOWNLOADS

93

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Big Data Analysis of Volatility Spillovers of Brands across Social Media and Stock Market Performance

ERIM Report Series
Number of pages: 54 Posted: 02 Oct 2016 Last Revised: 09 Jan 2019
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), INSEAD, University of Southern California - Marshall School of Business, Department of Marketing and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 78 (312,453)

Abstract:

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user-generated content, stock market performance, volatility, multivariate GARCH model, spillover effects, natural language processing.

2.

What Say They About Their Mandate? A Textual Assessment of Federal Reserve Speeches

Number of pages: 91 Posted: 02 Oct 2019
Myrthe Dieijen and Robin L. Lumsdaine
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and American University - Department of Finance and Real Estate
Downloads 15 (556,146)

Abstract:

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Financial Stability, Dual Mandate, FOMC, Latent Dirichlet Allocation (LDA), Dynamic Topic Model