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
Rank 6,992

SSRN RANKINGS

Top 6,992

in Total Papers Downloads

6,393

SSRN CITATIONS
Rank 27,502

SSRN RANKINGS

Top 27,502

in Total Papers Citations

13

CROSSREF CITATIONS

11

Scholarly Papers (10)

1.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Forthcoming
Number of pages: 39 Posted: 02 Oct 2016 Last Revised: 14 Apr 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 3,604 (2,687)
Citation 9

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 1,140 (17,957)
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: 34 Posted: 11 Nov 2017 Last Revised: 26 Dec 2018
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 569 (47,602)
Citation 6

Abstract:

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

4.

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 344 (87,295)
Citation 2

Abstract:

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

5.

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 329 (91,741)
Citation 6

Abstract:

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

6.

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 175 (172,571)
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

7.

Econometrics Meets Sentiment: An Overview of Methodology and Applications

Number of pages: 42 Posted: 12 Jan 2016 Last Revised: 11 Aug 2019
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 137 (211,933)

Abstract:

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

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 83 (300,571)

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 12 (573,871)

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