Details about Jeroen VK Rombouts

Access statistics for papers by Jeroen VK Rombouts.

Last updated 2013-05-14. Update your information in the RePEc Author Service.

Short-id: pro399

Working Papers

2012

1. The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options
   CIRANO Working Papers, CIRANO
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2012)

2011

2. A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (3)
   Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (1)
   Cahiers de recherche, CIRPEE (2011) View citations (2)
   CIRANO Working Papers, CIRANO (2011) View citations (3)
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (1)
3. Marginal Likelihood for Markov-Switching and Change-Point Garch Models
   CIRANO Working Papers, CIRANO
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2011)
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011)
4. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
   Working Paper Series, The Rimini Centre for Economic Analysis View citations (1)

2010

5. Multivariate Option Pricing With Time Varying Volatility and Correlations
   CIRANO Working Papers, CIRANO View citations (1)
   Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2010) View citations (1)
   Cahiers de recherche, CIRPEE (2010)
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010)
   See also Journal Article in Journal of Banking & Finance (2011)
6. On the Forecasting Accuracy of Multivariate GARCH Models
   Cahiers de recherche, CIRPEE View citations (5)
   Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) View citations (5)
7. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
   CIRANO Working Papers, CIRANO View citations (3)
   Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) View citations (1)
   CREATES Research Papers, School of Economics and Management, University of Aarhus (2010) View citations (2)

2009

8. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
   CIRANO Working Papers, CIRANO View citations (1)
   Also in Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid
   CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009)
   Cahiers de recherche, CIRPEE (2009)
   Economics Working Papers, Universidad Carlos III, Departamento de Economía (2009)
9. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
   Cahiers de recherche, CIRPEE View citations (2)
   Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) View citations (2)
   CREATES Research Papers, School of Economics and Management, University of Aarhus (2009) View citations (2)
   CIRANO Working Papers, CIRANO (2009) View citations (5)
10. Consistent ranking of multivariate volatility models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
11. Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models
    Research Paper, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. View citations (1)
    Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (1)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2004) View citations (1)
    See also Journal Article in Quantitative Finance (2009)
12. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
    CIRANO Working Papers, CIRANO
    Also in Cahiers de recherche, CIRPEE (2009) View citations (1)
    See also Journal Article in Journal of Econometrics (2013)
13. On Marginal Likelihood Computation in Change-point Models
    Cahiers de recherche, CIRPEE
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009)
    See also Journal Article in Computational Statistics & Data Analysis (2012)

2008

14. Asymptotic properties of the Bernstein density copula for dependent data
    Economics Working Papers, Universidad Carlos III, Departamento de Economía
    Also in Open Access publications from Universidad Carlos III de Madrid, Universidad Carlos III de Madrid
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2008)
15. Style rotation and performance persistence of mutual funds
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2007

16. MIXED EXPONENTIAL POWER ASYMMETRIC CONDITIONAL HETEROSKEDASTICITY
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée
    Also in Cahiers de recherche, CIRPEE (2007)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (3)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2009)
17. Nonparametric Density Estimation for Multivariate Bounded Data
    Cahiers de recherche, CIRPEE
    Also in Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007)
18. Semiparametric Multivariate Density Estimation for Positive Data Using Copulas
    Cahiers de recherche, CIRPEE
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007)
    See also Journal Article in Computational Statistics & Data Analysis (2009)
19. Theory and Inference for a Markov-Switching GARCH Model
    Cahiers de recherche, CIRPEE View citations (3)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) View citations (2)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007) View citations (3)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (2)
    See also Journal Article in Econometrics Journal (2010)

2006

20. Bayesian inference for the mixed conditional heteroskedasticity model
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) View citations (3)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) View citations (3)
    See also Journal Article in Econometrics Journal (2007)
21. Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006)
22. Multivariate mixed normal conditional heteroskedasticity
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques View citations (2)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2007)
23. Nonparametric Density Estimation for Positive Time Series
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée View citations (7)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2010)
24. Regime switching GARCH models
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques View citations (13)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (10)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2006) View citations (12)

2004

25. BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS
    Econometric Society 2004 North American Winter Meetings, Econometric Society
26. Dynamic Optimal Portfolio Selection in a VaR Framework
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée View citations (2)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) View citations (1)
27. Econometrics
    Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) View citations (29)
28. Estimation of temporally aggregated multivariate GARCH models
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations (1)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (3)
29. Semiparametric multivariate volatility models
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations (2)
    Also in Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) (2004) View citations (3)
    See also Journal Article in Econometric Theory (2007)

2003

30. Bayesian clustering of many GARCH models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    See also Journal Article in Econometric Reviews (2007)
31. Clustered panel data models: an efficient approach for nowcasting from poor data
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article in International Journal of Forecasting (2005)
32. Multivariate GARCH models: a survey
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (32)
    See also Journal Article in Journal of Applied Econometrics (2006)
33. Semiparametric multivariate GARCH models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)

2002

34. Multivariate GARCH models and their Estimation
    Computing in Economics and Finance 2002, Society for Computational Economics

Journal Articles

2013

1. On loss functions and ranking forecasting performances of multivariate volatility models
   Journal of Econometrics, 2013, 173, (1), 1-10
   See also Working Paper (2009)

2012

2. On marginal likelihood computation in change-point models
   Computational Statistics & Data Analysis, 2012, 56, (11), 3415-3429
   See also Working Paper (2009)

2011

3. Multivariate option pricing with time varying volatility and correlations
   Journal of Banking & Finance, 2011, 35, (9), 2267-2281 View citations (4)
   See also Working Paper (2010)

2010

4. Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data
   Journal of Multivariate Analysis, 2010, 101, (1), 1-10 View citations (4)
5. Nonparametric density estimation for positive time series
   Computational Statistics & Data Analysis, 2010, 54, (2), 245-261
   See also Working Paper (2006)
6. Theory and inference for a Markov switching GARCH model
   Econometrics Journal, 2010, 13, (2), 218-244 View citations (3)
   See also Working Paper (2007)

2009

7. Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
   Quantitative Finance, 2009, 9, (6), 737-745
   See also Working Paper (2009)
8. Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
   Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (3), 3 View citations (1)
   See also Working Paper (2007)
9. Semiparametric multivariate density estimation for positive data using copulas
   Computational Statistics & Data Analysis, 2009, 53, (6), 2040-2054 View citations (1)
   See also Working Paper (2007)

2007

10. Bayesian Clustering of Many Garch Models
    Econometric Reviews, 2007, 26, (2-4), 365-386 View citations (6)
    See also Working Paper (2003)
11. Bayesian inference for the mixed conditional heteroskedasticity model
    Econometrics Journal, 2007, 10, (2), 408-425 View citations (5)
    See also Working Paper (2006)
12. Multivariate mixed normal conditional heteroskedasticity
    Computational Statistics & Data Analysis, 2007, 51, (7), 3551-3566 View citations (10)
    See also Working Paper (2006)
13. SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
    Econometric Theory, 2007, 23, (02), 251-280 View citations (13)
    See also Working Paper (2004)

2006

14. Multivariate GARCH models: a survey
    Journal of Applied Econometrics, 2006, 21, (1), 79-109 View citations (258)
    See also Working Paper (2003)

2005

15. Clustered panel data models: an efficient approach for nowcasting from poor data
    International Journal of Forecasting, 2005, 21, (3), 577-594 View citations (1)
    See also Working Paper (2003)