Andres Algaba

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

http://www.vub.be

Brussels, 1050

Belgium

SCHOLARLY PAPERS

3

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SSRN CITATIONS
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Top 124,489

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CROSSREF CITATIONS

1

Ideas:
“  Sentometrics!  ”

Scholarly Papers (3)

1.

Generalized Financial Ratios to Predict the Equity Premium

Economic Modelling, 66, 244-257, 2017
Number of pages: 40 Posted: 08 Sep 2016 Last Revised: 17 May 2019
Andres Algaba and Kris Boudt
Vrije Universiteit Brussel (VUB) and Ghent University
Downloads 394 (75,816)

Abstract:

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Equity premium, ERP, Forecast combination, Price-dividend ratio, Financial ratios, Time-varying parameters

2.

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 Neuch√Ętel - Institute of Financial Analysis and Ghent University
Downloads 173 (177,022)
Citation 1

Abstract:

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

3.

The Variance Implied Conditional Correlation

The European Journal of Finance, forthcoming, 2019
Number of pages: 30 Posted: 27 Feb 2018 Last Revised: 20 May 2019
Andres Algaba, Kris Boudt and Steven Vanduffel
Vrije Universiteit Brussel (VUB), Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 147 (203,174)

Abstract:

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conditional correlation, cross hedging, Dynamic Conditional Correlation (DCC), GARCH, hedge ratio, regularization