The advent of massive amounts of textual, audio, and visual data has spurred the development
of econometric methodology to transform qualitative sentiment data into quantitative …

… With our corpus, we find that K = 30 is the optimal number of topics and that topics can be
grouped into four themes. In Table 3, we report for each theme the labeled topics together with …

… With our corpus, we find that K 30 is the optimal number of topics and that topics can be
grouped into four themes. In Table 3, we report for each theme the labeled topics together with …

… is also the evolutionary optimization strategy used in the package PortfolioAnalytics (Boudt
et al.… Kris Boudt gratefully acknowledges financial support from the National Bank of Belgium. …

… We simulate K = 500 series of 500 days with 10 observations per 5-min interval. Each day …
We generate K = 500 series of 500 days of 5-min returns from a process that is the same as in …

… We further assume that h k , 1 ≡ h ̄ k ( k = 1 , … , K ) , where h ̄ k is a fixed initial variance
level for regime k that we set equal to the unconditional variance in regime k . We obtain …

… The variable N j , k , t denotes the number of stocks that manager k of firm j has in his … of
year t and V Opt , j , k , t is the value of the option portfolio for manager k of firm j at the end of year …

… to the distribution conditional on regime k. In this case, we have θk = (α0,k,α1,k,α2,k,βk) .
This … Covariance-stationarity in each regime is obtained by requiring that α1,k + α2,kE[η2 …

Modied Value at Risk (VaR) is an estimator of VaR based on the Cornish-Fisher expansion.
It is fast to compute and reliable for non-normal returns. In this paper, we introduce modified …

… Kris Boudt was instrumental in our research on component risk for portfolios with non-normal
distributions, and is responsible for much of the code for multivariate moments and co-…