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

Fangzhou Xie

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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.

Date: 2019-08, Revised 2019-11
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Handle: RePEc:arx:papers:1908.04369