Details about Kris Boudt

Access statistics for papers by Kris Boudt.

Last updated 2022-12-06. Update your information in the RePEc Author Service.

Short-id: pbo300

Working Papers

2022

1. Household Heterogeneity and Policy Relevance
   Working Paper Research, National Bank of Belgium

2021

2. Beta-Adjusted Covariance Estimation
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration
3. Climate change concerns and the performance of green versus brown stocks
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration View citations (5)
   Also in Working Paper Research, National Bank of Belgium (2020) View citations (7)
4. Daily news sentiment and monthly surveys: A mixed–frequency dynamic factor model for nowcasting consumer confidence
   Working Paper Research, National Bank of Belgium View citations (2)
5. Media abnormal tone, earnings announcements, and the stock market
   Papers, arXiv.org

2019

6. NEAREST COMOMENT ESTIMATION WITH UNOBSERVED FACTORS
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration View citations (2)
   See also Journal Article in Journal of Econometrics (2020)
7. The variance implied conditional correlation
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
   See also Journal Article in The European Journal of Finance (2020)

2018

8. Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
   See also Journal Article in Quantitative Finance (2018)
9. When does the tone of earnings press releases matter?
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (10)
   See also Journal Article in International Review of Financial Analysis (2018)

2017

10. The response of multinationals’ foreign exchange rate exposure to macroeconomic news
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article in Journal of International Money and Finance (2019)

2016

11. Generalized Autoregressive Score Models in R: The GAS Package
    Papers, arXiv.org View citations (10)
12. Value-at-Risk Prediction in R with the GAS Package
    Papers, arXiv.org View citations (3)

2015

13. Analysts' forecast error: a robust prediction model and its short-term trading profitability
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (4)
    See also Journal Article in Accounting and Finance (2015)

2014

14. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (40)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) View citations (37)
    See also Journal Article in Journal of Financial Markets (2014)

2013

15. Funding liquidity, market liquidity and TED spread: A two-regime model
    Working Paper Research, National Bank of Belgium View citations (7)
    See also Journal Article in Journal of Empirical Finance (2017)
16. Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy
    Cahiers de recherche, CIRPEE View citations (1)
17. The Peer Performance of Hedge Funds
    Cahiers de recherche, CIRPEE

2012

18. Regime switches in the volatility and correlation of financial institutions
    Working Paper Research, National Bank of Belgium View citations (5)
19. The short term prediction of analysts' forecast error
    Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management

2011

20. Outlyingness weighted covariation
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (16)
21. Robust estimation of intraweek periodicity in volatility and jump detection
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (80)
    See also Journal Article in Journal of Empirical Finance (2011)

2010

22. Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization
    MPRA Paper, University Library of Munich, Germany View citations (7)

2008

23. Hedge fund portfolio selection with modified expected shortfall
    MPRA Paper, University Library of Munich, Germany

Journal Articles

2022

1. Estimation and decomposition of food price inflation risk
   Statistical Methods & Applications, 2022, 31, (2), 295-319
2. Interpretability of Composite Indicators Based on Principal Components
   Journal of Probability and Statistics, 2022, 2022, 1-12
3. Properties of the Margrabe Best-of-two strategy to tactical asset allocation
   International Review of Financial Analysis, 2022, 81, (C)
4. The optimal payoff for a Yaari investor
   Quantitative Finance, 2022, 22, (10), 1839-1852

2021

5. Performance-sharing optimization by risk-constrained equity investors
   Finance Research Letters, 2021, 38, (C)

2020

6. ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS
   Journal of Economic Surveys, 2020, 34, (3), 512-547 View citations (20)
7. Machine Learning for Asset Managers
   Quantitative Finance, 2020, 20, (11), 1761-1762
8. Nearest comoment estimation with unobserved factors
   Journal of Econometrics, 2020, 217, (2), 381-397 View citations (1)
   See also Working Paper (2019)
9. Robust Distribution-Based Winsorization in Composite Indicators Construction
   Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, 2020, 149, (2), 375-397 View citations (3)
10. The variance implied conditional correlation
    The European Journal of Finance, 2020, 26, (2-3), 200-222
    See also Working Paper (2019)

2019

11. Evaluating the Shariah-compliance of equity portfolios: The weighting method matters
    International Review of Financial Analysis, 2019, 63, (C), 406-417 View citations (4)
12. Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics
    Financial Management, 2019, 48, (1), 77-115 View citations (12)
13. Macro-financial regimes and performance of Shariah-compliant equity portfolios
    Journal of International Financial Markets, Institutions and Money, 2019, 60, (C), 252-266 View citations (7)
14. Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values
    International Journal of Forecasting, 2019, 35, (4), 1370-1386 View citations (38)
15. The response of multinationals’ foreign exchange rate exposure to macroeconomic news
    Journal of International Money and Finance, 2019, 94, (C), 32-47 View citations (6)
    See also Working Paper (2017)

2018

16. Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
    Quantitative Finance, 2018, 18, (8), 1249-1259 View citations (3)
    See also Working Paper (2018)
17. Block rearranging elements within matrix columns to minimize the variability of the row sums
    4OR, 2018, 16, (1), 31-50 View citations (3)
18. Forecasting risk with Markov-switching GARCH models:A large-scale performance study
    International Journal of Forecasting, 2018, 34, (4), 733-747 View citations (36)
19. The peer performance ratios of hedge funds
    Journal of Banking & Finance, 2018, 87, (C), 351-368 View citations (10)
20. When does the tone of earnings press releases matter?
    International Review of Financial Analysis, 2018, 57, (C), 231-245 View citations (9)
    See also Working Paper (2018)

2017

21. Funding liquidity, market liquidity and TED spread: A two-regime model
    Journal of Empirical Finance, 2017, 43, (C), 143-158 View citations (17)
    See also Working Paper (2013)
22. Generalized financial ratios to predict the equity premium
    Economic Modelling, 2017, 66, (C), 244-257 View citations (3)
23. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
    Journal of Econometrics, 2017, 196, (2), 347-367 View citations (13)
24. The impact of covariance misspecification in risk-based portfolios
    Annals of Operations Research, 2017, 254, (1), 1-16 View citations (18)

2016

25. Exporters’ Exposures to Currencies: Beyond the Loglinear Model
    Review of Finance, 2016, 20, (4), 1631-1657 View citations (1)
26. Managers set the tone: Equity incentives and the tone of earnings press releases
    Journal of Banking & Finance, 2016, 72, (S), S132-S147 View citations (33)
27. Smart beta and CPPI performance
    Finance, 2016, 37, (3), 31-65 View citations (2)
28. The economic benefits of market timing the style allocation of characteristic-based portfolios
    The North American Journal of Economics and Finance, 2016, 37, (C), 38-62 View citations (4)

2015

29. Analysts' forecast error: a robust prediction model and its short-term trading profitability
    Accounting and Finance, 2015, 55, (3), 683-715 View citations (4)
    See also Working Paper (2015)
30. Higher order comoments of multifactor models and asset allocation
    Finance Research Letters, 2015, 13, (C), 225-233 View citations (11)
31. Jump robust two time scale covariance estimation and realized volatility budgets
    Quantitative Finance, 2015, 15, (6), 1041-1054 View citations (9)
32. Testing equality of modified Sharpe ratios
    Finance Research Letters, 2015, 13, (C), 97-104 View citations (11)

2014

33. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
    Journal of Financial Markets, 2014, 17, (C), 121-149 View citations (46)
    See also Working Paper (2014)

2013

34. Robust forecasting of dynamic conditional correlation GARCH models
    International Journal of Forecasting, 2013, 29, (2), 244-257 View citations (43)
35. The impact of a sustainability constraint on the mean-tracking error efficient frontier
    Economics Letters, 2013, 119, (3), 255-260 View citations (5)

2012

36. Jump robust daily covariance estimation by disentangling variance and correlation components
    Computational Statistics & Data Analysis, 2012, 56, (11), 2993-3005 View citations (8)

2011

37. Robust estimation of intraweek periodicity in volatility and jump detection
    Journal of Empirical Finance, 2011, 18, (2), 353-367 View citations (85)
    See also Working Paper (2011)
38. Robust explicit estimators of Weibull parameters
    Metrika: International Journal for Theoretical and Applied Statistics, 2011, 73, (2), 187-209 View citations (8)

2010

39. Robust M-estimation of multivariate GARCH models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2459-2469 View citations (16)

Chapters

2021

1. Cardinality-Constrained Higher-Order Moment Portfolios Using Particle Swarm Optimization
   Springer