Keven Bluteau

Université de Sherbrooke - Faculty of Administration

Sherbrooke, Québec J1K 2R1

Canada

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 3,996

SSRN RANKINGS

Top 3,996

in Total Papers Downloads

13,971

SSRN CITATIONS
Rank 20,246

SSRN RANKINGS

Top 20,246

in Total Papers Citations

40

CROSSREF CITATIONS

10

Scholarly Papers (14)

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, Université de Sherbrooke - Faculty of Administration, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 5,857 (1,874)
Citation 22

Abstract:

Loading...

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

2.

Climate Change Concerns and the Performance of Green Versus Brown Stocks

Number of pages: 68 Posted: 18 Dec 2020 Last Revised: 09 May 2022
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Ghent University and Ghent University - Department of Economics
Downloads 1,925 (12,087)
Citation 1

Abstract:

Loading...

Asset Pricing, Climate Change, Sustainable Investing, ESG, Greenhouse Gas Emission, Sentometrics, Textual Analysis

3.

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: 15 Posted: 16 Feb 2017 Last Revised: 06 Jun 2021
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,731 (14,266)
Citation 10

Abstract:

Loading...

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

4.

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

Journal of Statistical Software, Vol. 99, Issue 2, pp. 1-40, 2021
Number of pages: 40 Posted: 11 Nov 2017 Last Revised: 19 Aug 2021
David Ardia, Keven Bluteau, Samuel Borms and Kris Boudt
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Vrije Universiteit Brussel and Ghent University
Downloads 1,284 (22,414)
Citation 12

Abstract:

Loading...

aggregation, penalized regression, prediction, R, sentometrics, textual sentiment, time series

5.

Regime Changes in Bitcoin GARCH Volatility Dynamics

Finance Research Letters, Volume 29, June 2019, Pages 266-271
Number of pages: 6 Posted: 30 May 2018 Last Revised: 06 Jun 2021
David Ardia, Keven Bluteau and Maxime Rüede
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and University of Neuchatel - Institute of Financial Analysis
Downloads 869 (39,265)
Citation 14

Abstract:

Loading...

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

6.

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: 18 Aug 2021
Vrije Universiteit Brussel (VUB), HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Vrije Universiteit Brussel and Ghent University
Downloads 552 (71,043)
Citation 9

Abstract:

Loading...

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

7.

Thirty Years of Academic Finance

Number of pages: 60 Posted: 07 Feb 2022 Last Revised: 09 Aug 2022
David Ardia, Keven Bluteau and Mohammad Abbas Meghani
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and HEC Montreal - Department of Decision Sciences
Downloads 514 (77,630)

Abstract:

Loading...

Finance literature, Structural Topic Model (STM), topic modeling, text analysis, scientometrics

8.

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: 17 Posted: 30 May 2017 Last Revised: 06 Jun 2021
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and Ghent University
Downloads 416 (99,658)
Citation 7

Abstract:

Loading...

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

9.

Media Abnormal Tone, Earnings Announcements, and the Stock Market

Journal of Financial Markets, Forthcoming
Number of pages: 41 Posted: 21 Jun 2018 Last Revised: 21 Oct 2021
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and Ghent University
Downloads 305 (140,328)

Abstract:

Loading...

abnormal return, abnormal tone, earnings announcements, event study, news media, sentometrics, Structural Topic Model (STM)

10.

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, Université de Sherbrooke - Faculty of Administration and VU University Amsterdam
Downloads 236 (181,397)
Citation 1

Abstract:

Loading...

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

11.

A Century of Economic Policy Uncertainty Through the French-Canadian Lens

Economics Letters, Volume 205, August 2021, 109938
Number of pages: 9 Posted: 17 Mar 2021 Last Revised: 12 Oct 2021
David Ardia, Keven Bluteau and Alaa Kassem
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and HEC Montreal - Department of Decision Sciences
Downloads 172 (241,446)

Abstract:

Loading...

Economic uncertainty, Policy uncertainty, Canada, Quebec, token-distance-based triple, issues, nowcasting, Sentometrics

12.

How Easy is it for Investment Managers to Deploy their Talent in Green and Brown Stocks?

Finance Research Letters, Forthcoming
Number of pages: 10 Posted: 17 Jan 2022 Last Revised: 18 May 2022
David Ardia, Keven Bluteau and Thien Duy Tran
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and HEC Montreal
Downloads 73 (437,698)

Abstract:

Loading...

Greenhouse gas emissions (GHG), climate finance, carbon finance, peer performance

13.

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 Université de Sherbrooke - Faculty of Administration
Downloads 37 (589,175)

Abstract:

Loading...

Fully flexible probabilities, GARCH, Stress-testing

14.

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 Université de Sherbrooke - Faculty of Administration

Abstract:

Loading...

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