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Details about Jeroen VK Rombouts

E-mail:
Homepage:http://neumann.hec.ca/pages/jeroen.rombouts/
Workplace:HEC Montréal (École des Hautes Études Commerciales) (HEC Montreal Business School), (more information at EDIRC)
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain (Economics School of Louvain), Université Catholique de Louvain (Catholic University of Louvain-la-Neuve), (more information at EDIRC)
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (Center for Interuniversity Research and Analysis on Organizations), (more information at EDIRC)
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) (Interuniversity Center on Risk, Economic Policy and Employment), (more information at EDIRC)

Access statistics for papers by Jeroen VK Rombouts.

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

Short-id: pro399


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Working Papers

2012

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

2011

  1. A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (5)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (2)
    Cahiers de recherche, CIRPEE (2011) Downloads View citations (4)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (1)
    CIRANO Working Papers, CIRANO (2011) Downloads View citations (4)
  2. Marginal Likelihood for Markov-Switching and Change-Point Garch Models
    CIRANO Working Papers, CIRANO Downloads View citations (3)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2011) Downloads View citations (3)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (8)
  3. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (2)

2010

  1. Multivariate Option Pricing With Time Varying Volatility and Correlations
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2010) Downloads View citations (1)
    Cahiers de recherche, CIRPEE (2010) Downloads
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) Downloads

    See also Journal Article in Journal of Banking & Finance (2011)
  2. On the Forecasting Accuracy of Multivariate GARCH Models
    Cahiers de recherche, CIRPEE Downloads View citations (7)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) Downloads View citations (15)
  3. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
    CIRANO Working Papers, CIRANO Downloads View citations (4)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) Downloads View citations (2)
    CREATES Research Papers, School of Economics and Management, University of Aarhus (2010) Downloads View citations (3)

2009

  1. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) Downloads
    Cahiers de recherche, CIRPEE (2009) Downloads
    Economics Working Papers, Universidad Carlos III, Departamento de Economía (2009) Downloads
  2. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
    Cahiers de recherche, CIRPEE Downloads View citations (2)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) Downloads View citations (2)
    CREATES Research Papers, School of Economics and Management, University of Aarhus (2009) Downloads View citations (2)
    CIRANO Working Papers, CIRANO (2009) Downloads View citations (5)
  3. Consistent ranking of multivariate volatility models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (5)
  4. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
    CIRANO Working Papers, CIRANO Downloads View citations (2)
    Also in Cahiers de recherche, CIRPEE (2009) Downloads View citations (5)

    See also Journal Article in Journal of Econometrics (2013)
  5. On Marginal Likelihood Computation in Change-point Models
    Cahiers de recherche, CIRPEE Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2012)

2008

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

2007

  1. MIXED EXPONENTIAL POWER ASYMMETRIC CONDITIONAL HETEROSKEDASTICITY
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée Downloads
    Also in Cahiers de recherche, CIRPEE (2007) Downloads
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads View citations (3)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2009)
  2. Nonparametric Density Estimation for Multivariate Bounded Data
    Cahiers de recherche, CIRPEE Downloads
    Also in Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007) Downloads
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads
  3. Semiparametric Multivariate Density Estimation for Positive Data Using Copulas
    Cahiers de recherche, CIRPEE Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2009)
  4. Theory and Inference for a Markov-Switching GARCH Model
    Cahiers de recherche, CIRPEE Downloads View citations (4)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) Downloads View citations (2)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads View citations (2)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007) Downloads View citations (2)

    See also Journal Article in Econometrics Journal (2010)

2006

  1. Bayesian inference for the mixed conditional heteroskedasticity model
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée Downloads
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) Downloads View citations (3)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) Downloads View citations (3)

    See also Journal Article in Econometrics Journal (2007)
  2. Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads
  3. Multivariate mixed normal conditional heteroskedasticity
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques Downloads View citations (2)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (1)

    See also Journal Article in Computational Statistics & Data Analysis (2007)
  4. Nonparametric Density Estimation for Positive Time Series
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée Downloads View citations (7)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (3)

    See also Journal Article in Computational Statistics & Data Analysis (2010)
  5. Regime switching GARCH models
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques Downloads View citations (14)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (11)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2006) Downloads View citations (13)

2005

  1. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (1)
    Also in Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2004) Downloads View citations (1)

    See also Journal Article in Quantitative Finance (2009)

2004

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

2003

  1. Bayesian clustering of many GARCH models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)
    See also Journal Article in Econometric Reviews (2007)
  2. 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) Downloads
    See also Journal Article in International Journal of Forecasting (2005)
  3. Estimation of temporally aggregated multivariate GARCH models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
  4. Multivariate GARCH models: a survey
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (39)
    See also Journal Article in Journal of Applied Econometrics (2006)
  5. Semiparametric multivariate GARCH models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)

2002

  1. 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 Downloads View citations (18)
    See also Working Paper (2009)

2012

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

2011

  1. Multivariate option pricing with time varying volatility and correlations
    Journal of Banking & Finance, 2011, 35, (9), 2267-2281 Downloads View citations (10)
    See also Working Paper (2010)

2010

  1. Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data
    Journal of Multivariate Analysis, 2010, 101, (1), 1-10 Downloads View citations (5)
  2. Nonparametric density estimation for positive time series
    Computational Statistics & Data Analysis, 2010, 54, (2), 245-261 Downloads View citations (3)
    See also Working Paper (2006)
  3. Theory and inference for a Markov switching GARCH model
    Econometrics Journal, 2010, 13, (2), 218-244 Downloads View citations (16)
    See also Working Paper (2007)

2009

  1. Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
    Quantitative Finance, 2009, 9, (6), 737-745 Downloads View citations (2)
    See also Working Paper (2005)
  2. Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (3), 1-32 Downloads View citations (2)
    See also Working Paper (2007)
  3. Semiparametric multivariate density estimation for positive data using copulas
    Computational Statistics & Data Analysis, 2009, 53, (6), 2040-2054 Downloads View citations (2)
    See also Working Paper (2007)

2007

  1. Bayesian Clustering of Many Garch Models
    Econometric Reviews, 2007, 26, (2-4), 365-386 Downloads View citations (10)
    See also Working Paper (2003)
  2. Bayesian inference for the mixed conditional heteroskedasticity model
    Econometrics Journal, 2007, 10, (2), 408-425 Downloads View citations (9)
    See also Working Paper (2006)
  3. Multivariate mixed normal conditional heteroskedasticity
    Computational Statistics & Data Analysis, 2007, 51, (7), 3551-3566 Downloads View citations (20)
    See also Working Paper (2006)
  4. SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
    Econometric Theory, 2007, 23, (02), 251-280 Downloads View citations (14)
    See also Working Paper (2004)

2006

  1. Multivariate GARCH models: a survey
    Journal of Applied Econometrics, 2006, 21, (1), 79-109 Downloads View citations (419)
    See also Working Paper (2003)

2005

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