[HTML][HTML] Regime changes in Bitcoin GARCH volatility dynamics
We test the presence of regime changes in the GARCH volatility dynamics of Bitcoin log–returns
using Markov–switching GARCH (MSGARCH) models. We also compare MSGARCH to …
using Markov–switching GARCH (MSGARCH) models. We also compare MSGARCH to …
DEoptim: An R package for global optimization by differential evolution
K Mullen, D Ardia, DL Gil, D Windover… - Journal of Statistical …, 2011 - papers.ssrn.com
This article describes the R package DEoptim, which implements the Differential Evolution
algorithm for global optimization of a real-valued function of a real-valued parameter vector. …
algorithm for global optimization of a real-valued function of a real-valued parameter vector. …
[HTML][HTML] Forecasting risk with Markov-switching GARCH models: A large-scale performance study
We perform a large-scale empirical study in order to compare the forecasting performances
of single-regime and Markov-switching GARCH ( MSGARCH ) models from a risk …
of single-regime and Markov-switching GARCH ( MSGARCH ) models from a risk …
[BOOK][B] Financial Risk Management with Bayesian Estimation of GARCH Models Theory and Applications
D Ardia - 2008 - Springer
This book presents in detail methodologies for the Bayesian estimation of singleregime and
regime-switching GARCH models. These models are widespread and essential tools in …
regime-switching GARCH models. These models are widespread and essential tools in …
[HTML][HTML] Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values
The modern calculation of textual sentiment involves a myriad of choices as to the actual
calibration. We introduce a general sentiment engineering framework that optimizes the design …
calibration. We introduce a general sentiment engineering framework that optimizes the design …
Markov-switching GARCH models in R: The MSGARCH package
We describe the package MSGARCH, which implements Markov-switching GARCH models
in R with efficient C++ object-oriented programming. Markov-switching GARCH models …
in R with efficient C++ object-oriented programming. Markov-switching GARCH models …
Differential evolution with DEoptim: an application to non-convex portfolio optimization
The R package DEoptim implements the differential evolution algorithm. This algorithm is an
evolutionary technique similar to genetic algorithms that is useful for the solution of global …
evolutionary technique similar to genetic algorithms that is useful for the solution of global …
[PDF][PDF] COVID-19 data hub
E Guidotti, D Ardia - Journal of Open Source Software, 2020 - joss.theoj.org
… Emanuele Guidotti1 and David Ardia2 … Guidotti and Ardia, (2020). COVID-19 Data Hub.
Journal of Open Source Software, 5(51), 2376. … Guidotti and Ardia, (2020). COVID-19 …
Journal of Open Source Software, 5(51), 2376. … Guidotti and Ardia, (2020). COVID-19 …
Econometrics meets sentiment: An overview of methodology and applications
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 …
of econometric methodology to transform qualitative sentiment data into quantitative …
Climate change concerns and the performance of green vs. brown stocks
We empirically test the prediction of Pástor et al. (2021) that green firms outperform brown
firms when concerns about climate change increase unexpectedly, using data for S&P 500 …
firms when concerns about climate change increase unexpectedly, using data for S&P 500 …