Keven Bluteau

HEC Montreal - Department of Decision Sciences

3000 Côte-Sainte-Catherine Road

Montreal, QC H2S1L4

Canada

Ghent University - Department of Economics

Belgium

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 5,703

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Top 5,703

in Total Papers Downloads

8,107

SSRN CITATIONS
Rank 26,950

SSRN RANKINGS

Top 26,950

in Total Papers Citations

17

CROSSREF CITATIONS

13

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, HEC Montreal - Department of Decision Sciences, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 4,246 (2,290)
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, HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,337 (15,545)
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

Journal of Statistical Software, Forthcoming
Number of pages: 40 Posted: 11 Nov 2017 Last Revised: 23 May 2020
David Ardia, Keven Bluteau, Samuel Borms and Kris Boudt
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, University of Neuchâtel and Ghent University
Downloads 847 (30,458)
Citation 8

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, HEC Montreal - Department of Decision Sciences and University of Neuchatel - Institute of Financial Analysis
Downloads 527 (57,244)
Citation 9

Abstract:

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

5.

Econometrics Meets Sentiment: An Overview of Methodology and Applications

Journal of Economic Surveys, Vol. 34, Issue 3, pp. 512-547, 2020
Number of pages: 39 Posted: 12 Jan 2016 Last Revised: 24 Jun 2020
Vrije Universiteit Brussel (VUB), HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, University of Neuchâtel and Ghent University
Downloads 399 (80,311)
Citation 3

Abstract:

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

6.

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, HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 368 (88,201)
Citation 3

Abstract:

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

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, HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 193 (172,283)
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 Abnormal Tone, Earnings Announcements, and the Stock Market

Number of pages: 59 Posted: 21 Jun 2018 Last Revised: 26 May 2020
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 170 (191,976)

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 HEC Montreal - Department of Decision Sciences
Downloads 20 (566,821)

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 HEC Montreal - Department of Decision Sciences

Abstract:

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