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Details about Kris Boudt

Workplace:Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business Administration), Universiteit Gent (University of Ghent), (more information at EDIRC)

Access statistics for papers by Kris Boudt.

Last updated 2019-10-29. Update your information in the RePEc Author Service.

Short-id: pbo300


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Working Papers

2019

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

2018

  1. Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    See also Journal Article in Quantitative Finance (2018)

2016

  1. Generalized Autoregressive Score Models in R: The GAS Package
    Papers, arXiv.org Downloads
  2. Value-at-Risk Prediction in R with the GAS Package
    Papers, arXiv.org Downloads View citations (1)

2013

  1. Funding liquidity, market liquidity and TED spread: A two-regime model
    Working Paper Research, National Bank of Belgium Downloads View citations (5)
    See also Journal Article in Journal of Empirical Finance (2017)
  2. Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy
    Cahiers de recherche, CIRPEE Downloads View citations (1)
  3. The Peer Performance of Hedge Funds
    Cahiers de recherche, CIRPEE Downloads

2012

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

2011

  1. Outlyingness weighted covariation
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (8)
  2. Robust estimation of intraweek periodicity in volatility and jump detection
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (7)
    See also Journal Article in Journal of Empirical Finance (2011)

2010

  1. Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)

2008

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

Journal Articles

2019

  1. Evaluating the Shariah-compliance of equity portfolios: The weighting method matters
    International Review of Financial Analysis, 2019, 63, (C), 406-417 Downloads
  2. Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics
    Financial Management, 2019, 48, (1), 77-115 Downloads
  3. Macro-financial regimes and performance of Shariah-compliant equity portfolios
    Journal of International Financial Markets, Institutions and Money, 2019, 60, (C), 252-266 Downloads View citations (1)
  4. The response of multinationals’ foreign exchange rate exposure to macroeconomic news
    Journal of International Money and Finance, 2019, 94, (C), 32-47 Downloads
    See also Working Paper (2019)

2018

  1. Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
    Quantitative Finance, 2018, 18, (8), 1249-1259 Downloads
    See also Working Paper (2018)
  2. Block rearranging elements within matrix columns to minimize the variability of the row sums
    4OR, 2018, 16, (1), 31-50 Downloads
  3. Forecasting risk with Markov-switching GARCH models:A large-scale performance study
    International Journal of Forecasting, 2018, 34, (4), 733-747 Downloads View citations (6)
  4. The peer performance ratios of hedge funds
    Journal of Banking & Finance, 2018, 87, (C), 351-368 Downloads View citations (1)
  5. When does the tone of earnings press releases matter?
    International Review of Financial Analysis, 2018, 57, (C), 231-245 Downloads

2017

  1. Funding liquidity, market liquidity and TED spread: A two-regime model
    Journal of Empirical Finance, 2017, 43, (C), 143-158 Downloads View citations (6)
    See also Working Paper (2013)
  2. Generalized financial ratios to predict the equity premium
    Economic Modelling, 2017, 66, (C), 244-257 Downloads View citations (2)
  3. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
    Journal of Econometrics, 2017, 196, (2), 347-367 Downloads View citations (7)
  4. The impact of covariance misspecification in risk-based portfolios
    Annals of Operations Research, 2017, 254, (1), 1-16 Downloads View citations (6)

2016

  1. Exporters’ Exposures to Currencies: Beyond the Loglinear Model
    Review of Finance, 2016, 20, (4), 1631-1657 Downloads View citations (1)
  2. Managers set the tone: Equity incentives and the tone of earnings press releases
    Journal of Banking & Finance, 2016, 72, (S), S132-S147 Downloads View citations (7)
  3. Smart beta and CPPI performance
    Finance, 2016, 37, (3), 31-65 Downloads
  4. 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 Downloads View citations (2)

2015

  1. Analysts' forecast error: a robust prediction model and its short-term trading profitability
    Accounting and Finance, 2015, 55, (3), 683-715 Downloads View citations (1)
  2. Higher order comoments of multifactor models and asset allocation
    Finance Research Letters, 2015, 13, (C), 225-233 Downloads View citations (1)
  3. Jump robust two time scale covariance estimation and realized volatility budgets
    Quantitative Finance, 2015, 15, (6), 1041-1054 Downloads View citations (4)
  4. Testing equality of modified Sharpe ratios
    Finance Research Letters, 2015, 13, (C), 97-104 Downloads View citations (2)

2014

  1. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
    Journal of Financial Markets, 2014, 17, (C), 121-149 Downloads View citations (16)

2013

  1. Robust forecasting of dynamic conditional correlation GARCH models
    International Journal of Forecasting, 2013, 29, (2), 244-257 Downloads View citations (30)
  2. The impact of a sustainability constraint on the mean-tracking error efficient frontier
    Economics Letters, 2013, 119, (3), 255-260 Downloads View citations (2)

2012

  1. Jump robust daily covariance estimation by disentangling variance and correlation components
    Computational Statistics & Data Analysis, 2012, 56, (11), 2993-3005 Downloads View citations (5)

2011

  1. Robust estimation of intraweek periodicity in volatility and jump detection
    Journal of Empirical Finance, 2011, 18, (2), 353-367 Downloads View citations (50)
    See also Working Paper (2011)
  2. Robust explicit estimators of Weibull parameters
    Metrika: International Journal for Theoretical and Applied Statistics, 2011, 73, (2), 187-209 Downloads View citations (4)

2010

  1. Robust M-estimation of multivariate GARCH models
    Computational Statistics & Data Analysis, 2010, 54, (11), 2459-2469 Downloads View citations (15)
 
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