Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric models can lead to biased results or even underestimation...

Open-ended responses are widely used in market research studies. Processing of such responses requires labor-intensive human coding. This paper focuses on unsupervised topic models and tests their ability to automate the analysis of open-ended responses. Since state-of-the-art topic models...

Financial statement fraud is an area of significant consternation for potential investors, auditing companies, and state regulators. Intelligent systems facilitate detecting financial statement fraud and assist the decision-making of relevant stakeholders. Previous research detected instances in...

We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH(r, s) (generalized autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH process with constant parameters against an alternative...

This work aims to investigate the (inter)relations of information arrival, news sentiment, volatilities and jump dynamics of intraday returns. Two parametric GARCH-type jump models which explicitly incorporate both news arrival and news sentiment variables are proposed, among which one assumes...