Publications

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. Media Abnormal Tone, Earnings Announcements, and the Stock Market. Journal of Financial Markets, Forthcoming, 2021.

SSRN

. A Century of Economic Policy Uncertainty Through the French-Canadian Lens. Economics Letters, Vol. 205, 2021.

PDF DOI arxiv

. Climate Change Concerns and the Performance of ''Green'' Versus ''Brown'' Stocks. Working Paper, 2020.

DOI SSRN

. Econometrics Meets Sentiment: An Overview of Methodology and Applications. Journal of Economic Surveys, Vol. 34, Issue 3, pp. 512-547, 2020.

PDF DOI SSRN

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

PDF DOI SSRN

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

PDF DOI SSRN

. 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.

PDF DOI SSRN

. 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.

PDF DOI SSRN

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

PDF DOI SSRN CRAN Github

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

PDF DOI SSRN CRAN Github

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

PDF DOI SSRN CRAN Github

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

PDF DOI SSRN