Wasserstein Index Generation Model: Automatic Generation of Time-series Index with Application to Economic Policy Uncertainty

Published 12 Aug 2019 in econ.GN, cs.CL, and q-fin.EC | (1908.04369v4)

Abstract: I propose a novel method, the Wasserstein Index Generation model (WIG), to generate a public sentiment index automatically. To test the model`s effectiveness, an application to generate Economic Policy Uncertainty (EPU) index is showcased.

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Fangzhou Xie

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