77 citations · 213 across the 7 of their papers we have counts for
7 papers
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
Nabil Bouamara, Kris Boudt, Sébastien Laurent +1
Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle…
Generating drawdown-realistic financial price paths using path signatures
Emiel Lemahieu, Kris Boudt, Maarten Wyns
A novel generative machine learning approach for the simulation of sequences of financial price data with drawdowns quantifiably close to empirical data is introduced. Applications…
The R package sentometrics to compute, aggregate and predict with textual sentiment
David Ardia, Keven Bluteau, Samuel Borms +1
We provide a hands-on introduction to optimized textual sentiment indexation using the R package sentometrics. Textual sentiment analysis is increasingly used to unlock the potenti…
Media abnormal tone, earnings announcements, and the stock market
David Ardia, Keven Bluteau, Kris Boudt
We conduct a tone-based event study to examine the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they convey incremental informa…
The Minimum Regularized Covariance Determinant estimator
Kris Boudt, Peter J. Rousseeuw, Steven Vanduffel +1
The Minimum Covariance Determinant (MCD) approach robustly estimates the location and scatter matrix using the subset of given size with lowest sample covariance determinant. Its m…
Value-at-Risk Prediction in R with the GAS Package
David Ardia, Kris Boudt, Leopoldo Catania
GAS models have been recently proposed in time-series econometrics as valuable tools for signal extraction and prediction. This paper details how financial risk managers can use GA…
Generalized Autoregressive Score Models in R: The GAS Package
David Ardia, Kris Boudt, Leopoldo Catania
This paper presents the R package GAS for the analysis of time series under the Generalized Autoregressive Score (GAS) framework of Creal et al. (2013) and Harvey (2013). The disti…