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Testing Investment Forecast Efficiency with Textual Data

Alexander Foltas

出版	Humboldt-Universität zu Berlin, 2020
URL	http://books.google.com.hk/books?id=-HDmzQEACAAJ&hl=&source=gbs_api

註釋

I use textual data to model German professional macroeconomic forecasters' information sets and use machine-learning techniques to analyze the efficiency of forecasts. To this end, I extract information from forecast reports using a combination of topic models and word embeddings. I then use this information and traditional macroeconomic predictors to study the efficiency of investment forecasts.