Keven Bluteau

HEC Montreal - Department of Decision Sciences

3000 Côte-Sainte-Catherine Road

Montreal, QC H2S1L4

Canada

Ghent University - Department of Economics

Belgium

SCHOLARLY PAPERS

12

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Top 4,834

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10,662

SSRN CITATIONS
Rank 19,221

SSRN RANKINGS

Top 19,221

in Total Papers Citations

44

CROSSREF CITATIONS

11

Scholarly Papers (12)

1.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Vol. 91, Issue 4, 2019
Number of pages: 38 Posted: 02 Oct 2016 Last Revised: 20 Nov 2019
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 5,151 (1,910)
Citation 20

Abstract:

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GARCH, MSGARCH, Markov-switching, conditional volatility, forecasting, R software

2.

Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study

International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018
Number of pages: 15 Posted: 16 Feb 2017 Last Revised: 06 Jun 2021
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,622 (13,342)
Citation 9

Abstract:

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GARCH, MSGARCH, forecasting performance, large-scale study, Value-at-Risk, Expected Shortfall, risk management

3.

The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment

Journal of Statistical Software, Forthcoming
Number of pages: 40 Posted: 11 Nov 2017 Last Revised: 23 May 2020
David Ardia, Keven Bluteau, Samuel Borms and Kris Boudt
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Vrije Universiteit Brussel and Ghent University
Downloads 1,099 (24,186)
Citation 13

Abstract:

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Aggregation, Penalized Regression, Prediction, R, sentometrics, Textual Sentiment, Time Series

4.

Regime Changes in Bitcoin GARCH Volatility Dynamics

Finance Research Letters, Volume 29, June 2019, Pages 266-271
Number of pages: 6 Posted: 30 May 2018 Last Revised: 06 Jun 2021
David Ardia, Keven Bluteau and Maxime Rüede
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and University of Neuchatel - Institute of Financial Analysis
Downloads 865 (33,990)
Citation 14

Abstract:

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Bitcoin, GARCH, MSGARCH, Value-at-Risk, Backtesting, Bayesian

5.

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: 03 Feb 2021
Vrije Universiteit Brussel (VUB), HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Vrije Universiteit Brussel and Ghent University
Downloads 485 (72,386)
Citation 8

Abstract:

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

6.

Climate Change Concerns and the Performance of Green Versus Brown Stocks

National Bank of Belgium, Working Paper Research, October 2020 No 395
Number of pages: 46 Posted: 18 Dec 2020 Last Revised: 27 Feb 2021
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University and Ghent University - Department of Economics
Downloads 418 (86,652)
Citation 1

Abstract:

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Asset Pricing, Climate Change, Sustainable Investing, ESG, Greenhouse Gas Emission, Sentometrics, Textual Analysis

7.

Questioning the News About Economic Growth: Sparse Forecasting Using Thousands of News-Based Sentiment Values

International Journal of Forecasting, Vol 35, Issue 4, pp. 1370-1386, 2019
Number of pages: 17 Posted: 30 May 2017 Last Revised: 06 Jun 2021
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 388 (94,174)
Citation 7

Abstract:

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elastic-net, US industrial production, sentiment analysis, time-series aggregation, topic-sentiment

8.

Media Abnormal Tone, Earnings Announcements, and the Stock Market

Number of pages: 56 Posted: 21 Jun 2018 Last Revised: 23 Jun 2021
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 237 (159,648)

Abstract:

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abnormal return, abnormal tone, earnings announcements, event study, news media, sentometrics

9.

Methods for Computing Numerical Standard Errors: Review and Application to Value-at-Risk Estimation

Journal of Time Series Econometrics, Vol. 10, No. 2, pp.1-9, 2018
Number of pages: 14 Posted: 07 Mar 2016 Last Revised: 03 Aug 2018
David Ardia, Keven Bluteau and Lennart F. Hoogerheide
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and VU University Amsterdam
Downloads 215 (174,562)
Citation 1

Abstract:

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Bootstrap, GARCH, HAC kernel, numerical standard error (NSE), Monte Carlo, Markov chain Monte Carlo (MCMC), spectral density, Value-at-Risk precision

10.

A Century of Economic Policy Uncertainty Through the French-Canadian Lens

Economics Letters, Forthcoming
Number of pages: 9 Posted: 17 Mar 2021 Last Revised: 07 Jun 2021
David Ardia, Keven Bluteau and Alaa Kassem
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and HEC Montreal - Department of Decision Sciences
Downloads 154 (234,175)

Abstract:

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Economic uncertainty, Policy uncertainty, Canada, Quebec, token-distance-based triple, issues, nowcasting, Sentometrics

11.

Stress-Testing with Parametric Models and Fully Flexible Probabilities

Wilmott Magazine, Vol. 87, pp. 52-55, 2017
Number of pages: 7 Posted: 20 Mar 2016 Last Revised: 03 Aug 2018
David Ardia and Keven Bluteau
HEC Montreal - Department of Decision Sciences and HEC Montreal - Department of Decision Sciences
Downloads 28 (575,935)

Abstract:

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Fully flexible probabilities, GARCH, Stress-testing

12.

NSE: Computation of Numerical Standard Errors in R

Journal of Open Source Software, Vol. 10, No. 2, 2017
Posted: 06 Aug 2018
David Ardia and Keven Bluteau
HEC Montreal - Department of Decision Sciences and HEC Montreal - Department of Decision Sciences

Abstract:

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bootstrap, HAC kernel, numerical standard error (NSE), Monte Carlo, spectral density, R software