Publications

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. Econometrics Meets Sentiment: An Overview of Methodology and Applications. Forthcoming in Journal of Economic Surveys, 2020.

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. Questioning the News About Economic Growth: Sparse Forecasting Using Thousands of News-Based Sentiment Values. International Journal of Forecasting 35 (4), 1370-1386, 2019.

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. Regime Changes in Bitcoin GARCH Volatility Dynamics. Finance Research Letters 29, 266-271, 2019.

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. Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study. In International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018.

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. 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.

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. Media Abnormal Tone, Earnings Announcements, and the Stock Market. Working Paper, 2018.

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. Markov-Switching GARCH Models in R: The MSGARCH Package. Journal of Statistical Software, 91(4), 1-38, 2018.

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. The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment. Forthcoming in Journal of Statistical Software, 2018.

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. NSE: Computation of Numerical Standard Errors in R. Journal of Open Source Software, Vol. 10, No. 2, 2017.

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. Stress-Testing with Parametric Models and Fully Flexible Probabilities. Wilmott Magazine, Vol. 87, pp. 52-55, 2017.

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