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Machine Learning with FEARS index: does the inclusion of investor sentiment improve a machine learning model's ability to predict volatility?
The aim of this study is to determine whether the inclusion of investor sentiment allows machine learning methods to produce improved predictions of volatility in equity markets. Specifically, the investor sentiment measure is constructed as an index by using search volume data of different search t...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2025
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