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Quantitative Finance
Volume 22, 2022 - Issue 12
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Research Papers
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics
Danilo Vassallo† Classe di Scienze, Scuola Normale Superiore, Piazza dei Cavalieri 7, Pisa, ItalyCorrespondence[email protected] [email protected]
https://orcid.org/0000-0002-8248-877XView further author information
, https://orcid.org/0000-0002-8248-877XView further author information
Giacomo Bormetti‡ Department of Mathematics, University of Bologna, Bologna, Italyhttps://orcid.org/0000-0003-3542-2505View further author information
& Fabrizio Lillo† Classe di Scienze, Scuola Normale Superiore, Piazza dei Cavalieri 7, Pisa, Italy;‡ Department of Mathematics, University of Bologna, Bologna, Italyhttps://orcid.org/0000-0002-4931-4057View further author information
Pages 2237-2255
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Received 25 Nov 2021, Accepted 26 Jul 2022, Published online: 21 Oct 2022
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