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ISTAT
The Italian National Institute of Statistics, a public research organisation, is the main producer of official statistics in the service of citizens and policy-makers. It operates in complete independence and continuous ...
FDIC
The Federal Deposit Insurance Corporation (FDIC) is an independent agency created by Congress to maintain stability and public confidence in the nation's financial system. To accomplish this mission, the FDIC insures ...
OptionMetrics
OptionMetrics is the financial industry's premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main ...
FRB
The Federal Reserve System is the central bank of the United States. It performs five general functions to promote the effective operation of the U.S. economy and, more generally, the public interest.
TAQ
NYSE Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National ...
IBES
I/B/E/S Estimates provide deeper insight and analysis on a product/segment basis. Our estimate data is shown at sector level – screened with the most rigorous quality control methods, across 22,000 active companies in 90 ...
WHO
The World Health Organization (WHO) established a Reference Group on Health Statistics in 2013 to provide advice on population health statistics to WHO with a focus on methodological and data issues related to the measurement ...
Impact of public news sentiment on stock market index return and volatility
(2021-10-11)
Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables ...
Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test
(2021-10-14)
Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for ...
Momentum-managed equity factors
(2019-07-22)
Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios ...