stock_data

A simple <code>tibble</code> containing the S&amp;P 500 return and the VIX volatility index from 1992:01 through 2018:11.

datasets

Provides functionalities based on the paper "Time Varying Dictionary and the Predictive Power of FED Minutes" (Lima, 2018) <doi:10.2139/ssrn.3312483>. It selects the most predictive terms, that we call time-varying dictionary using supervised machine learning techniques as lasso and elastic net.

Lucas Godeiro

TextForecast

Regression Analysis and Forecasting Using Textual Data from a
Time-Varying Dictionary

Luiz Renato Lima

stock_data function

A tibble with 3 components.<dl class="dl-horizontal">
<dt>dates</dt><dd>The vector of dates.</dd>
<dt>sp_return</dt><dd>The S&amp;P 500 returns.</dd>
<dt>vix</dt><dd>The volatility index.</dd>
</dl>

Format

Stock Data — stock_data

A tibble with 3 components.<dl class='dl-horizontal'>
<dt>dates</dt><dd>The vector of dates.</dd>
<dt>sp_return</dt><dd>The S&amp;P 500 returns.</dd>
<dt>vix</dt><dd>The volatility index.</dd>
</dl>

stock_data: Stock Data

Description

Usage

Arguments

Format