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Optimal Text-Based Time-Series Indices

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  • David Ardia
  • Keven Bluteau

Abstract

We propose an approach to construct text-based time-series indices in an optimal way--typically, indices that maximize the contemporaneous relation or the predictive performance with respect to a target variable, such as inflation. We illustrate our methodology with a corpus of news articles from the Wall Street Journal by optimizing text-based indices focusing on tracking the VIX index and inflation expectations. Our results highlight the superior performance of our approach compared to existing indices.

Suggested Citation

  • David Ardia & Keven Bluteau, 2024. "Optimal Text-Based Time-Series Indices," Papers 2405.10449, arXiv.org.
    • Handle: RePEc:arx:papers:2405.10449
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