News and narratives in financial systems: exploiting big data for systemic risk assessment
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- Nyman, Rickard & Kapadia, Sujit & Tuckett, David, 2021. "News and narratives in financial systems: Exploiting big data for systemic risk assessment," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
References listed on IDEAS
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More about this item
Keywords
Systemic risk; text mining; big data; sentiment; uncertainty; narratives; forecasting; early warning indicators;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- G01 - Financial Economics - - General - - - Financial Crises
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2018-01-22 (Big Data)
- NEP-CFN-2018-01-22 (Corporate Finance)
- NEP-IFN-2018-01-22 (International Finance)
- NEP-MAC-2018-01-22 (Macroeconomics)
- NEP-RMG-2018-01-22 (Risk Management)
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