Keven Bluteau

University of Neuchatel, Institute of Financial Analysis, Students

Phd Candidate

Pierre-a-Mazel,7

Neuchatel

Switzerland

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

http://www.vub.ac.be/

Brussels, 1050

Belgium

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 6,315

in Total Papers Downloads

7,135

SSRN CITATIONS
Rank 28,795

SSRN RANKINGS

Top 28,795

in Total Papers Citations

12

CROSSREF CITATIONS

12

Scholarly Papers (10)

1.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Vol. 91, Issue 4, 2019
Number of pages: 38 Posted: 02 Oct 2016 Last Revised: 20 Nov 2019
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 3,904 (2,446)
Citation 17

Abstract:

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GARCH, MSGARCH, Markov-switching, conditional volatility, forecasting, R software

2.

Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study

International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018
Number of pages: 36 Posted: 16 Feb 2017 Last Revised: 28 Mar 2019
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,234 (16,505)
Citation 6

Abstract:

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GARCH, MSGARCH, forecasting performance, large-scale study, Value-at-Risk, Expected Shortfall, risk management

3.

The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment

Number of pages: 40 Posted: 11 Nov 2017 Last Revised: 16 Feb 2020
David Ardia, Keven Bluteau, Samuel Borms and Kris Boudt
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students, University of Neuchâtel - Institute of Financial Analysis and Ghent University
Downloads 670 (39,462)
Citation 6

Abstract:

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Aggregation, Penalized Regression, Prediction, R, sentometrics, Textual Sentiment, Time Series

4.

Regime changes in Bitcoin GARCH volatility dynamics

Finance Research Letters, Volume 29, June 2019, Pages 266-271
Number of pages: 12 Posted: 30 May 2018 Last Revised: 21 Jun 2019
David Ardia, Keven Bluteau and Maxime Rüede
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students and University of Neuchatel - Institute of Financial Analysis
Downloads 415 (72,761)
Citation 6

Abstract:

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Bitcoin, GARCH, MSGARCH, Value-at-Risk, Backtesting, Bayesian

5.

Questioning the News About Economic Growth: Sparse Forecasting Using Thousands of News-Based Sentiment Values

International Journal of Forecasting, Vol 35, Issue 4, pp. 1370-1386, 2019
Number of pages: 31 Posted: 30 May 2017 Last Revised: 27 Sep 2019
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students and Ghent University
Downloads 362 (85,019)
Citation 2

Abstract:

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elastic-net, US industrial production, sentiment analysis, time-series aggregation, topic-sentiment

6.

Econometrics Meets Sentiment: An Overview of Methodology and Applications

Number of pages: 39 Posted: 12 Jan 2016 Last Revised: 06 Feb 2020
Vrije Universiteit Brussel (VUB), HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students, University of Neuchâtel - Institute of Financial Analysis and Ghent University
Downloads 240 (132,942)
Citation 2

Abstract:

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qualitative data, sentiment analysis, sentometrics, survey, textual analysis

7.

Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation

Journal of Time Series Econometrics, Vol. 10, No. 2, pp.1-9, 2018
Number of pages: 14 Posted: 07 Mar 2016 Last Revised: 03 Aug 2018
David Ardia, Keven Bluteau and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students and VU University Amsterdam
Downloads 183 (171,003)
Citation 1

Abstract:

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Bootstrap, GARCH, HAC kernel, numerical standard error (NSE), Monte Carlo, Markov chain Monte Carlo (MCMC), spectral density, Value-at-Risk precision

8.

Media and the Stock Market: Their Relationship and Abnormal Dynamics Around Earnings Announcements

Number of pages: 46 Posted: 21 Jun 2018 Last Revised: 01 Oct 2019
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students and Ghent University
Downloads 110 (257,401)

Abstract:

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abnormal return, abnormal tone, earnings announcements, event study, news media, sentometrics

9.

Stress-Testing with Parametric Models and Fully Flexible Probabilities

Wilmott Magazine, Vol. 87, pp. 52-55, 2017
Number of pages: 7 Posted: 20 Mar 2016 Last Revised: 03 Aug 2018
David Ardia and Keven Bluteau
HEC Montreal - Department of Decision Sciences and University of Neuchatel, Institute of Financial Analysis, Students
Downloads 17 (559,327)

Abstract:

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Fully flexible probabilities, GARCH, Stress-testing

10.

NSE: Computation of Numerical Standard Errors in R

Journal of Open Source Software, Vol. 10, No. 2, 2017
Posted: 06 Aug 2018
David Ardia and Keven Bluteau
HEC Montreal - Department of Decision Sciences and University of Neuchatel, Institute of Financial Analysis, Students

Abstract:

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bootstrap, HAC kernel, numerical standard error (NSE), Monte Carlo, spectral density, R software