Details about Kris Boudt
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Last updated 2022-12-06. Update your information in the RePEc Author Service.
Short-id: pbo300
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Working Papers
2022
- Household Heterogeneity and Policy Relevance
Working Paper Research, National Bank of Belgium
2021
- Beta-Adjusted Covariance Estimation
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration
- 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)
- 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)
- Media abnormal tone, earnings announcements, and the stock market
Papers, arXiv.org
2019
- 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)
- 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
- 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)
- 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
- 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
- Generalized Autoregressive Score Models in R: The GAS Package
Papers, arXiv.org View citations (10)
- Value-at-Risk Prediction in R with the GAS Package
Papers, arXiv.org View citations (3)
2015
- 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
- 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
- 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)
- Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy
Cahiers de recherche, CIRPEE View citations (1)
- The Peer Performance of Hedge Funds
Cahiers de recherche, CIRPEE
2012
- Regime switches in the volatility and correlation of financial institutions
Working Paper Research, National Bank of Belgium View citations (5)
- The short term prediction of analysts' forecast error
Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management
2011
- Outlyingness weighted covariation
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (16)
- 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
- Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization
MPRA Paper, University Library of Munich, Germany View citations (7)
2008
- Hedge fund portfolio selection with modified expected shortfall
MPRA Paper, University Library of Munich, Germany
Journal Articles
2022
- Estimation and decomposition of food price inflation risk
Statistical Methods & Applications, 2022, 31, (2), 295-319
- Interpretability of Composite Indicators Based on Principal Components
Journal of Probability and Statistics, 2022, 2022, 1-12
- Properties of the Margrabe Best-of-two strategy to tactical asset allocation
International Review of Financial Analysis, 2022, 81, (C)
- The optimal payoff for a Yaari investor
Quantitative Finance, 2022, 22, (10), 1839-1852
2021
- Performance-sharing optimization by risk-constrained equity investors
Finance Research Letters, 2021, 38, (C)
2020
- ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS
Journal of Economic Surveys, 2020, 34, (3), 512-547 View citations (20)
- Machine Learning for Asset Managers
Quantitative Finance, 2020, 20, (11), 1761-1762
- Nearest comoment estimation with unobserved factors
Journal of Econometrics, 2020, 217, (2), 381-397 View citations (1)
See also Working Paper (2019)
- 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)
- The variance implied conditional correlation
The European Journal of Finance, 2020, 26, (2-3), 200-222 
See also Working Paper (2019)
2019
- Evaluating the Shariah-compliance of equity portfolios: The weighting method matters
International Review of Financial Analysis, 2019, 63, (C), 406-417 View citations (4)
- Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics
Financial Management, 2019, 48, (1), 77-115 View citations (12)
- 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)
- 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)
- 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
- 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)
- Block rearranging elements within matrix columns to minimize the variability of the row sums
4OR, 2018, 16, (1), 31-50 View citations (3)
- Forecasting risk with Markov-switching GARCH models:A large-scale performance study
International Journal of Forecasting, 2018, 34, (4), 733-747 View citations (36)
- The peer performance ratios of hedge funds
Journal of Banking & Finance, 2018, 87, (C), 351-368 View citations (10)
- 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
- 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)
- Generalized financial ratios to predict the equity premium
Economic Modelling, 2017, 66, (C), 244-257 View citations (3)
- Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Journal of Econometrics, 2017, 196, (2), 347-367 View citations (13)
- The impact of covariance misspecification in risk-based portfolios
Annals of Operations Research, 2017, 254, (1), 1-16 View citations (18)
2016
- Exporters’ Exposures to Currencies: Beyond the Loglinear Model
Review of Finance, 2016, 20, (4), 1631-1657 View citations (1)
- 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)
- Smart beta and CPPI performance
Finance, 2016, 37, (3), 31-65 View citations (2)
- 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
- 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)
- Higher order comoments of multifactor models and asset allocation
Finance Research Letters, 2015, 13, (C), 225-233 View citations (11)
- Jump robust two time scale covariance estimation and realized volatility budgets
Quantitative Finance, 2015, 15, (6), 1041-1054 View citations (9)
- Testing equality of modified Sharpe ratios
Finance Research Letters, 2015, 13, (C), 97-104 View citations (11)
2014
- 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
- Robust forecasting of dynamic conditional correlation GARCH models
International Journal of Forecasting, 2013, 29, (2), 244-257 View citations (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
- Jump robust daily covariance estimation by disentangling variance and correlation components
Computational Statistics & Data Analysis, 2012, 56, (11), 2993-3005 View citations (8)
2011
- 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)
- Robust explicit estimators of Weibull parameters
Metrika: International Journal for Theoretical and Applied Statistics, 2011, 73, (2), 187-209 View citations (8)
2010
- Robust M-estimation of multivariate GARCH models
Computational Statistics & Data Analysis, 2010, 54, (11), 2459-2469 View citations (16)
Chapters
2021
- Cardinality-Constrained Higher-Order Moment Portfolios Using Particle Swarm Optimization
Springer
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