The fast-growing literature on the news and social media analysis provide empirical evidence that the financial markets are often driven by information rather than facts. However, the direct effects of sentiments on the returns are of main interest. In this paper, we propose to study the...

A considerable amount of current research in financial business addresses the influence of news and social media on stock returns and volatility. Although news data are used in many applications, the mutual relationship among public announcements remains unclear. Moreover, the majority of...

We propose a heterogeneous autoregressive (HAR) model with time-varying parameters in the form of a local linear random forest. In contrast to conventional random forests that approximate the volatility nonparametrically using local averaging, the building blocks of our forest are HAR panel...

This paper investigates the phenomenon of hidden negative capital (HNC) associated with bank failures and introduces a product mismatch hypothesis to explain the formation of HNC. Given that troubled banks tend to hide negative capital in financial statements from regulators to keep their...

Under the Basel II accord, improving probability of default models is a key risk-management priority. There are four main aspects of this research: suggesting the bank default classification; using a wide time horizon (quarterly Russian banking statistics from 1998 to 2011); investigating the...

This paper investigates the phenomenon of hidden negative capital (HNC) associated with bank failures and introduces a product mismatch hypothesis to explain the formation of HNC. Given that troubled banks tend to hide negative capital in financial statements from regulators to keep their...