Details about Jeroen VK Rombouts

Access statistics for papers by Jeroen VK Rombouts.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pro399

Working Papers

2012

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

2011

2. A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models
   CIRANO Working Papers, CIRANO View citations (11)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (11)
   Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (11)
   Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (4)
   Cahiers de recherche, CIRPEE (2011) View citations (13)
3. Marginal Likelihood for Markov-Switching and Change-Point Garch Models
   CIRANO Working Papers, CIRANO View citations (8)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (17)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (6)

2010

4. Multivariate Option Pricing With Time Varying Volatility and Correlations
   CIRANO Working Papers, CIRANO View citations (1)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010)
   Cahiers de recherche, CIRPEE (2010)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (1)
   See also Journal Article Multivariate option pricing with time varying volatility and correlations, Journal of Banking & Finance, Elsevier (2011) View citations (26) (2011)
5. On the Forecasting Accuracy of Multivariate GARCH Models
   Cahiers de recherche, CIRPEE View citations (10)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) View citations (22)
6. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) View citations (8)
   CIRANO Working Papers, CIRANO (2010) View citations (9)

2009

7. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
   Cahiers de recherche, CIRPEE View citations (4)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) View citations (4)
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009) View citations (4)
   CIRANO Working Papers, CIRANO (2009) View citations (4)
8. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) View citations (3)
   Cahiers de recherche, CIRPEE (2009) View citations (4)
   CIRANO Working Papers, CIRANO (2009) View citations (6)
9. Consistent ranking of multivariate volatility models
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
10. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
    CIRANO Working Papers, CIRANO View citations (13)
    Also in Cahiers de recherche, CIRPEE (2009) View citations (22)
    See also Journal Article On loss functions and ranking forecasting performances of multivariate volatility models, Journal of Econometrics, Elsevier (2013) View citations (97) (2013)
11. On Marginal Likelihood Computation in Change-point Models
    Cahiers de recherche, CIRPEE
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009)
    See also Journal Article On marginal likelihood computation in change-point models, Computational Statistics & Data Analysis, Elsevier (2012) View citations (18) (2012)

2008

12. Asymptotic properties of the Bernstein density copula for dependent data
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) View citations (1)
13. Style rotation and performance persistence of mutual funds
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2007

14. MIXED EXPONENTIAL POWER ASYMMETRIC CONDITIONAL HETEROSKEDASTICITY
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (3)
    Cahiers de recherche, CIRPEE (2007)
    See also Journal Article Mixed Exponential Power Asymmetric Conditional Heteroskedasticity, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2009) View citations (8) (2009)
15. Nonparametric Density Estimation for Multivariate Bounded Data
    Cahiers de recherche, CIRPEE
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007)
16. Semiparametric Multivariate Density Estimation for Positive Data Using Copulas
    Cahiers de recherche, CIRPEE
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007)
    See also Journal Article Semiparametric multivariate density estimation for positive data using copulas, Computational Statistics & Data Analysis, Elsevier (2009) View citations (6) (2009)
17. Theory and Inference for a Markov-Switching GARCH Model
    Cahiers de recherche, CIRPEE View citations (8)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (8)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007) View citations (8)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) View citations (8)
    See also Journal Article Theory and inference for a Markov switching GARCH model, Econometrics Journal, Royal Economic Society (2010) View citations (85) (2010)

2006

18. Bayesian inference for the mixed conditional heteroskedasticity model
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) View citations (3)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) View citations (3)
    See also Journal Article Bayesian inference for the mixed conditional heteroskedasticity model, Econometrics Journal, Royal Economic Society (2007) View citations (13) (2007)
19. Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée View citations (1)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (1)
20. Multivariate mixed normal conditional heteroskedasticity
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (4)
    See also Journal Article Multivariate mixed normal conditional heteroskedasticity, Computational Statistics & Data Analysis, Elsevier (2007) View citations (36) (2007)
21. Nonparametric Density Estimation for Positive Time Series
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée View citations (8)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (4)
    See also Journal Article Nonparametric density estimation for positive time series, Computational Statistics & Data Analysis, Elsevier (2010) View citations (11) (2010)
22. Regime switching GARCH models
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée View citations (23)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (24)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (22)

2005

23. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (1)
    Also in Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2004) View citations (2)
    See also Journal Article Evaluating portfolio Value-at-Risk using semi-parametric GARCH models, Quantitative Finance, Taylor & Francis Journals (2009) View citations (9) (2009)

2004

24. BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS
    Econometric Society 2004 North American Winter Meetings, Econometric Society
25. Dynamic Optimal Portfolio Selection in a VaR Framework
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée View citations (3)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) View citations (3)
26. Econometrics
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) View citations (29)
27. Semiparametric multivariate volatility models
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) View citations (4)
    See also Journal Article SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS, Econometric Theory, Cambridge University Press (2007) View citations (36) (2007)

2003

28. Bayesian clustering of many GARCH models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    See also Journal Article Bayesian Clustering of Many Garch Models, Econometric Reviews, Taylor & Francis Journals (2007) View citations (20) (2007)
29. Clustered panel data models: an efficient approach for nowcasting from poor data
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article Clustered panel data models: an efficient approach for nowcasting from poor data, International Journal of Forecasting, Elsevier (2005) View citations (4) (2005)
30. Estimation of temporally aggregated multivariate GARCH models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
31. Multivariate GARCH models: a survey
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (66)
    See also Journal Article Multivariate GARCH models: a survey, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (1088) (2006)
32. Semiparametric multivariate GARCH models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)

2002

33. 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 View citations (97)
   See also Working Paper On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models, CIRANO Working Papers (2009) View citations (13) (2009)

2012

2. On marginal likelihood computation in change-point models
   Computational Statistics & Data Analysis, 2012, 56, (11), 3415-3429 View citations (18)
   See also Working Paper On Marginal Likelihood Computation in Change-point Models, Cahiers de recherche (2009) (2009)

2011

3. Multivariate option pricing with time varying volatility and correlations
   Journal of Banking & Finance, 2011, 35, (9), 2267-2281 View citations (26)
   See also Working Paper Multivariate Option Pricing With Time Varying Volatility and Correlations, CIRANO Working Papers (2010) View citations (1) (2010)

2010

4. Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data
   Journal of Multivariate Analysis, 2010, 101, (1), 1-10 View citations (20)
5. Nonparametric density estimation for positive time series
   Computational Statistics & Data Analysis, 2010, 54, (2), 245-261 View citations (11)
   See also Working Paper Nonparametric Density Estimation for Positive Time Series, Cahiers de recherche (2006) View citations (8) (2006)
6. Theory and inference for a Markov switching GARCH model
   Econometrics Journal, 2010, 13, (2), 218-244 View citations (85)
   See also Working Paper Theory and Inference for a Markov-Switching GARCH Model, Cahiers de recherche (2007) View citations (8) (2007)

2009

7. Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
   Quantitative Finance, 2009, 9, (6), 737-745 View citations (9)
   See also Working Paper Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models, Computing in Economics and Finance 2005 (2005) View citations (1) (2005)
8. Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
   Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (3), 32 View citations (8)
   See also Working Paper MIXED EXPONENTIAL POWER ASYMMETRIC CONDITIONAL HETEROSKEDASTICITY, Cahiers de recherche (2007) (2007)
9. Semiparametric multivariate density estimation for positive data using copulas
   Computational Statistics & Data Analysis, 2009, 53, (6), 2040-2054 View citations (6)
   See also Working Paper Semiparametric Multivariate Density Estimation for Positive Data Using Copulas, Cahiers de recherche (2007) (2007)

2007

10. Bayesian Clustering of Many Garch Models
    Econometric Reviews, 2007, 26, (2-4), 365-386 View citations (20)
    See also Working Paper Bayesian clustering of many GARCH models, LIDAM Discussion Papers CORE (2003) View citations (2) (2003)
11. Bayesian inference for the mixed conditional heteroskedasticity model
    Econometrics Journal, 2007, 10, (2), 408-425 View citations (13)
    See also Working Paper Bayesian inference for the mixed conditional heteroskedasticity model, Cahiers de recherche (2006) (2006)
12. Multivariate mixed normal conditional heteroskedasticity
    Computational Statistics & Data Analysis, 2007, 51, (7), 3551-3566 View citations (36)
    See also Working Paper Multivariate mixed normal conditional heteroskedasticity, LIDAM Discussion Papers CORE (2006) View citations (3) (2006)
13. SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
    Econometric Theory, 2007, 23, (2), 251-280 View citations (36)
    See also Working Paper Semiparametric multivariate volatility models, Papers (2004) View citations (4) (2004)

2006

14. Multivariate GARCH models: a survey
    Journal of Applied Econometrics, 2006, 21, (1), 79-109 View citations (1088)
    See also Working Paper Multivariate GARCH models: a survey, LIDAM Discussion Papers CORE (2003) View citations (66) (2003)

2005

15. Clustered panel data models: an efficient approach for nowcasting from poor data
    International Journal of Forecasting, 2005, 21, (3), 577-594 View citations (4)
    See also Working Paper Clustered panel data models: an efficient approach for nowcasting from poor data, LIDAM Discussion Papers CORE (2003) (2003)