2 papers
econ.EM2019
High-Dimensional Granger Causality Tests with an Application to VIX and News
Andrii Babii, Eric Ghysels, Jonas Striaukas
We study Granger causality testing for high-dimensional time series using regularized regressions. To perform proper inference, we rely on heteroskedasticity and autocorrelation co…
q-fin.PM2019
Artificial Intelligence Alter Egos: Who benefits from Robo-investing?
Catherine D'Hondt, Rudy De Winne, Eric Ghysels +1
Artificial intelligence, or AI, enhancements are increasingly shaping our daily lives. Financial decision-making is no exception to this. We introduce the notion of AI Alter Egos,…