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Sentiment-Driven Stochastic Volatility Model

The dataset contains high-frequency news sentiment and volatility of the S&P 500.

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Cite this as

Jozef Barunik, Cathy Yi-Hsuan Chen, Jan Vecer (2024). Dataset: Sentiment-Driven Stochastic Volatility Model. https://doi.org/10.57702/pmtij013

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Additional Info

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Created December 16, 2024
Last update December 16, 2024
Defined In https://doi.org/10.48550/arXiv.1906.00059
Author Jozef Barunik
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Cathy Yi-Hsuan Chen
Jan Vecer
Homepage https://arxiv.org/abs/1906.03447