Zhixin Cai

Independent

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Scholarly Papers (1)

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Enhanced Corporate Bond Yield Modelling Incorporating Macroeconomic News Sentiment

Number of pages: 33 Posted: 03 Jul 2019
Independent, OptiRisk Systems and Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM)
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Abstract:

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Macroeconomic News Sentiment, Firm-specific News Sentiment, Autoregressive–moving-average model with exogenous inputs model (ARIMAX)