A time-varying study of Chinese investor sentiment, stock market liquidity and volatility: Based on deep learning BERT model and TVP-VAR model
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- Jouchi Nakajima, 2011.
"Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications,"
Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 29, pages 107-142, November.
- Jouchi Nakajima, 2011. "Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications," IMES Discussion Paper Series 11-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
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This paper has been announced in the following NEP Reports:- NEP-BIG-2022-06-20 (Big Data)
- NEP-CMP-2022-06-20 (Computational Economics)
- NEP-FMK-2022-06-20 (Financial Markets)
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