Andres Algaba

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

http://www.vub.be

Brussels, 1050

Belgium

Ghent University - Department of Economics

Belgium

SCHOLARLY PAPERS

5

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1,143

SSRN CITATIONS
Rank 113,315

SSRN RANKINGS

Top 113,315

in Total Papers Citations

1

CROSSREF CITATIONS

1

Ideas:
“  Sentometrics!  ”

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: 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 428 (75,625)
Citation 2

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 398 (82,312)

Abstract:

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

3.

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 159 (207,405)

Abstract:

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

4.

The Economic Policy Uncertainty Index for Flanders, Wallonia and Belgium

Number of pages: 16 Posted: 21 Apr 2020 Last Revised: 04 Aug 2020
Vrije Universiteit Brussel (VUB), University of Neuchâtel, Ghent University and Vrije Universiteit Brussel
Downloads 119 (260,880)

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

5.

Constructing a Real-time Consumer Confidence Index using Media News Articles

Number of pages: 37 Posted: 26 May 2020 Last Revised: 13 Aug 2020
Vrije Universiteit Brussel (VUB), University of Neuchâtel, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 39 (474,398)

Abstract:

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dynamic factor model, mixed-frequency, nowcasting, sentiment, sentometrics, state space