Yield curve trading strategies exploiting sentiment data
Author:
Funder
University of St Gallen
Publisher
Elsevier BV
Reference50 articles.
1. The yield curve and the macro-economy across time and frequencies;Aguiar-Conraria;Journal of Economic Dynamics & Control,2012
2. Econometrics meets sentiment: An overview of methodology and applications;Algaba;Journal of Economic Surveys,2020
3. Tree-structured multiple regimes in interest rates;Audrino;Journal of Business & Economic Statistics,2006
4. Modeling and forecasting short-term interest rates: The benefits of smooth regimes, macroeconomic variables, and bagging;Audrino;Journal of Applied Econometrics,2010
5. The impact of macroeconomic news sentiment on interest rates;Audrino;International Review of Financial Analysis,2024
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