Clayton Campus
Victoria, 3800
Australia
http://www.hfallahgoul.com
Monash University
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Investor Disagreement; News; Jumps; Hawkes Processes
Investor Disagreement, news, Jumps, Hawkes Processes
Deep Learning, Neural Networks, Sieve Estimators, Consistency JEL classification: C1, C5
choice under uncertainty, optimal portfolios, generalized disappointment aversion, L-moments
Lévy jumps, time changes, tempered stable law, time series, option pricing
Sentiment; Jumps; Hawkes Processes; Behaviour Contagion; Herding/dispersing; Information Cascades
Asset Pricing; Risk Premium; Neural Networks; Variable Significant Test
heavy tailed distribution, tempered stable distribution, method of simulated quantiles
Transformer, Interpretability, Complexity, Asset Pricing, Portfolio Optimization
tail risk, stable distribution, tempered stable distribution, Lévy processes
Jumps, Time Changes, Business Time
Social media, News media, Information spillover, Investor Attention, Investor Sentiment, Connectedness
A Semi-Analytic Approach for Specification Testing: Theory and Evidence
model adequacy, non-linear models
neural network, variable significant tests, least square estimation, Rademacher complexity
Neural Networks, Variable Significance Test, Rademacher complexity
Sentiment, Disagreement, Stock Market, COVID-19 Pandemic
Quanto option pricing, L'evy process, stable and tempered stable process, subordinator
