Details about Kris Boudt

Access statistics for papers by Kris Boudt.

Last updated 2025-05-15. Update your information in the RePEc Author Service.

Short-id: pbo300

Working Papers

2024

1. Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration
2. Pro-Debtor Bias, Court Shopping, and Bankruptcy Outcomes
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration
3. Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
   Working Papers, Federal Reserve Bank of St. Louis
   Also in Papers, arXiv.org (2023)
4. Trac(k)ing the trajectory: Mapping Sustainable Development Goal 8 in EU-funded research projects
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration

2023

5. Generating drawdown-realistic financial price paths using path signatures
   Papers, arXiv.org View citations (1)
6. Taming the Zoo of Consumption Responses to Labour Income Changes
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration

2022

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

2021

8. Beta-Adjusted Covariance Estimation
   Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration
9. 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 (7)
   Also in Working Paper Research, National Bank of Belgium (2020) View citations (22)
10. 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 (7)
    See also Journal Article Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence, International Journal of Forecasting, Elsevier (2023) View citations (4) (2023)
11. Media abnormal tone, earnings announcements, and the stock market
    Papers, arXiv.org View citations (1)
    See also Journal Article Media abnormal tone, earnings announcements, and the stock market, Journal of Financial Markets, Elsevier (2022) View citations (2) (2022)

2019

12. 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 Nearest comoment estimation with unobserved factors, Journal of Econometrics, Elsevier (2020) View citations (2) (2020)
13. The variance implied conditional correlation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    See also Journal Article The variance implied conditional correlation, The European Journal of Finance, Taylor & Francis Journals (2020) (2020)

2018

14. Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
    See also Journal Article Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation, Quantitative Finance, Taylor & Francis Journals (2018) View citations (4) (2018)
15. 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 When does the tone of earnings press releases matter?, International Review of Financial Analysis, Elsevier (2018) View citations (10) (2018)

2017

16. 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 The response of multinationals’ foreign exchange rate exposure to macroeconomic news, Journal of International Money and Finance, Elsevier (2019) View citations (7) (2019)

2016

17. Generalized Autoregressive Score Models in R: The GAS Package
    Papers, arXiv.org View citations (10)
18. Value-at-Risk Prediction in R with the GAS Package
    Papers, arXiv.org View citations (4)

2015

19. 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 (5)
    See also Journal Article Analysts' forecast error: a robust prediction model and its short-term trading profitability, Accounting and Finance, Accounting and Finance Association of Australia and New Zealand (2015) View citations (5) (2015)

2014

20. 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 (48)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) View citations (45)
    See also Journal Article Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks, Journal of Financial Markets, Elsevier (2014) View citations (51) (2014)

2013

21. 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 Funding liquidity, market liquidity and TED spread: A two-regime model, Journal of Empirical Finance, Elsevier (2017) View citations (27) (2017)
22. Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy
    Cahiers de recherche, CIRPEE View citations (1)
23. The Peer Performance of Hedge Funds
    Cahiers de recherche, CIRPEE

2012

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

2011

26. Outlyingness weighted covariation
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (21)
27. 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 (100)
    See also Journal Article Robust estimation of intraweek periodicity in volatility and jump detection, Journal of Empirical Finance, Elsevier (2011) View citations (104) (2011)

2010

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

2008

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

Journal Articles

2025

1. Mapping Economic Growth and Employment in EU-Funded Research Projects: Trac(k)ing the SDG 8 Trajectory
   De Economist, 2025, 173, (1), 245-275

2024

2. Robust interactive fixed effects
   Econometrics and Statistics, 2024, 29, (C), 206-223

2023

3. Climate Change Concerns and the Performance of Green vs. Brown Stocks
   Management Science, 2023, 69, (12), 7607-7632 View citations (10)
4. Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence
   International Journal of Forecasting, 2023, 39, (1), 266-278 View citations (4)
   See also Working Paper Daily news sentiment and monthly surveys: A mixed–frequency dynamic factor model for nowcasting consumer confidence, Working Paper Research (2021) View citations (7) (2021)
5. Dynamic core-satellite investing using higher order moments: an explicit solution
   Quantitative Finance, 2023, 23, (12), 1815-1831 View citations (1)
6. ETF Basket-Adjusted Covariance estimation
   Journal of Econometrics, 2023, 235, (2), 1144-1171
7. Predictability of Belgian residential real estate rents using tree-based ML models and IML techniques
   International Journal of Housing Markets and Analysis, 2023, 17, (1), 96-113 View citations (1)

2022

8. Estimation and decomposition of food price inflation risk
   Statistical Methods & Applications, 2022, 31, (2), 295-319
9. Interpretability of Composite Indicators Based on Principal Components
   Journal of Probability and Statistics, 2022, 2022, 1-12 View citations (2)
10. Media abnormal tone, earnings announcements, and the stock market
    Journal of Financial Markets, 2022, 61, (C) View citations (2)
    See also Working Paper Media abnormal tone, earnings announcements, and the stock market, Papers (2021) View citations (1) (2021)
11. Properties of the Margrabe Best-of-two strategy to tactical asset allocation
    International Review of Financial Analysis, 2022, 81, (C)
12. The optimal payoff for a Yaari investor
    Quantitative Finance, 2022, 22, (10), 1839-1852 View citations (2)

2021

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

2020

14. ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS
    Journal of Economic Surveys, 2020, 34, (3), 512-547 View citations (54)
15. Machine Learning for Asset Managers
    Quantitative Finance, 2020, 20, (11), 1761-1762
16. Nearest comoment estimation with unobserved factors
    Journal of Econometrics, 2020, 217, (2), 381-397 View citations (2)
    See also Working Paper NEAREST COMOMENT ESTIMATION WITH UNOBSERVED FACTORS, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2019) View citations (2) (2019)
17. 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 (4)
18. The variance implied conditional correlation
    The European Journal of Finance, 2020, 26, (2-3), 200-222
    See also Working Paper The variance implied conditional correlation, ULB Institutional Repository (2019) (2019)

2019

19. Evaluating the Shariah-compliance of equity portfolios: The weighting method matters
    International Review of Financial Analysis, 2019, 63, (C), 406-417 View citations (5)
20. Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics
    Financial Management, 2019, 48, (1), 77-115 View citations (19)
21. 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 (6)
22. 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 (56)
23. The response of multinationals’ foreign exchange rate exposure to macroeconomic news
    Journal of International Money and Finance, 2019, 94, (C), 32-47 View citations (7)
    See also Working Paper The response of multinationals’ foreign exchange rate exposure to macroeconomic news, Working Papers (2017) View citations (2) (2017)

2018

24. Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
    Quantitative Finance, 2018, 18, (8), 1249-1259 View citations (4)
    See also Working Paper Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation, ULB Institutional Repository (2018) View citations (4) (2018)
25. Block rearranging elements within matrix columns to minimize the variability of the row sums
    4OR, 2018, 16, (1), 31-50 View citations (5)
26. Forecasting risk with Markov-switching GARCH models:A large-scale performance study
    International Journal of Forecasting, 2018, 34, (4), 733-747 View citations (57)
27. The peer performance ratios of hedge funds
    Journal of Banking & Finance, 2018, 87, (C), 351-368 View citations (17)
28. When does the tone of earnings press releases matter?
    International Review of Financial Analysis, 2018, 57, (C), 231-245 View citations (10)
    See also Working Paper When does the tone of earnings press releases matter?, LIDAM Reprints LFIN (2018) View citations (10) (2018)

2017

29. Funding liquidity, market liquidity and TED spread: A two-regime model
    Journal of Empirical Finance, 2017, 43, (C), 143-158 View citations (27)
    See also Working Paper Funding liquidity, market liquidity and TED spread: A two-regime model, Working Paper Research (2013) View citations (7) (2013)
30. Generalized financial ratios to predict the equity premium
    Economic Modelling, 2017, 66, (C), 244-257 View citations (3)
31. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
    Journal of Econometrics, 2017, 196, (2), 347-367 View citations (22)
32. The impact of covariance misspecification in risk-based portfolios
    Annals of Operations Research, 2017, 254, (1), 1-16 View citations (22)

2016

33. Exporters’ Exposures to Currencies: Beyond the Loglinear Model
    Review of Finance, 2016, 20, (4), 1631-1657 View citations (1)
34. Managers set the tone: Equity incentives and the tone of earnings press releases
    Journal of Banking & Finance, 2016, 72, (S), S132-S147 View citations (50)
35. Smart beta and CPPI performance
    Finance, 2016, 37, (3), 31-65 View citations (2)
36. 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

37. Analysts' forecast error: a robust prediction model and its short-term trading profitability
    Accounting and Finance, 2015, 55, (3), 683-715 View citations (5)
    See also Working Paper Analysts' forecast error: a robust prediction model and its short-term trading profitability, LIDAM Reprints LFIN (2015) View citations (5) (2015)
38. Higher order comoments of multifactor models and asset allocation
    Finance Research Letters, 2015, 13, (C), 225-233 View citations (15)
39. Jump robust two time scale covariance estimation and realized volatility budgets
    Quantitative Finance, 2015, 15, (6), 1041-1054 View citations (11)
40. Testing equality of modified Sharpe ratios
    Finance Research Letters, 2015, 13, (C), 97-104 View citations (19)

2014

41. 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 (51)
    See also Working Paper Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks, LIDAM Reprints LFIN (2014) View citations (48) (2014)

2013

42. Robust forecasting of dynamic conditional correlation GARCH models
    International Journal of Forecasting, 2013, 29, (2), 244-257 View citations (49)
43. The impact of a sustainability constraint on the mean-tracking error efficient frontier
    Economics Letters, 2013, 119, (3), 255-260 View citations (5)

2012

44. Jump robust daily covariance estimation by disentangling variance and correlation components
    Computational Statistics & Data Analysis, 2012, 56, (11), 2993-3005 View citations (10)

2011

45. Robust estimation of intraweek periodicity in volatility and jump detection
    Journal of Empirical Finance, 2011, 18, (2), 353-367 View citations (104)
    See also Working Paper Robust estimation of intraweek periodicity in volatility and jump detection, LIDAM Reprints CORE (2011) View citations (100) (2011)
46. Robust explicit estimators of Weibull parameters
    Metrika: International Journal for Theoretical and Applied Statistics, 2011, 73, (2), 187-209 View citations (8)

2010

47. Robust M-estimation of multivariate GARCH models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2459-2469 View citations (17)

Undated

48. Asset allocation with conditional value-at-risk budgets
    Journal of Risk
49. Estimation and decomposition of downside risk for portfolios with non-normal returns
    Journal of Risk

Chapters

2021

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