Andres Algaba

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

http://www.vub.be

Brussels, 1050

Belgium

SCHOLARLY PAPERS

5

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Top 43,248

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1,558

SSRN CITATIONS
Rank 57,243

SSRN RANKINGS

Top 57,243

in Total Papers Citations

8

CROSSREF CITATIONS

2

Ideas:
“  Fairness in machine learning, and the detection and mitigation of unethical biases in algorithmic decision making.  ”

Scholarly Papers (5)

1.

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 (71,022)
Citation 9

Abstract:

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

2.

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 410 (101,359)
Citation 1

Abstract:

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

3.

The Economic Policy Uncertainty Index for Flanders, Wallonia and Belgium

BFW digitaal / RBF numérique 2020/6
Number of pages: 16 Posted: 21 Apr 2020 Last Revised: 28 Jan 2021
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel, Ghent University and Vrije Universiteit Brussel
Downloads 312 (136,907)
Citation 3

Abstract:

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Belgium, COVID-19, EPU index, news data, sentometrics, textual analysis, uncertainty

4.

The Variance Implied Conditional Correlation

The European Journal of Finance, 26 (2-3), 200-220, 2020.
Number of pages: 30 Posted: 27 Feb 2018 Last Revised: 18 Jan 2020
Andres Algaba, Kris Boudt and Steven Vanduffel
Vrije Universiteit Brussel (VUB), Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 173 (240,188)

Abstract:

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

5.

Daily News Sentiment and Monthly Surveys: A Mixed-Frequency Dynamic Factor Model for Nowcasting Consumer Confidence

Number of pages: 30 Posted: 26 May 2020 Last Revised: 16 Oct 2021
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 111 (338,464)

Abstract:

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dynamic factor model, mixed-frequency, nowcasting, sentometrics, state space, Toeplitz matrix