Publications

2016

Delaigle, Aurore; Meister, Alexander; Rombouts, Jeroen V K

Root-T consistent density estimation in GARCH models Journal Article

Forthcoming in the Journal of Econometrics, Volume 192, Issue 1 , pp. 55-63, 2016.

Abstract | Links | BibTeX | Tags: Garch

2014

Bauwens, Luc; Koop, G; Korobilis, D; Rombouts, Jeroen V K

A Comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models Journal Article

Forthcoming in the Journal of Applied Econometrics, 2014.

Abstract | Links | BibTeX | Tags: Forecasting

Rombouts, Jeroen V K; Stentoft, Lars

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models Journal Article

Computational Statistics & Data Analysis, Volume 76 , pp. 588–605, 2014.

Abstract | Links | BibTeX | Tags: Bayesian

Rombouts, Jeroen V K; Stentoft, Lars; Violante, Francesco

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options Journal Article

International Journal of Forecasting , January–March 2014, Pages , Volume 30, Issue 1 , pp. 78–98, 2014.

Abstract | Links | BibTeX | Tags: Forecasting

Bauwens, Luc; Arnaud, Dufays; Rombouts, Jeroen V K

Marginal Likelihood Computation for Markov Switching and Change-point GARCH Models Journal Article

Journal of Econometrics, Volume 178, Issue P3 , pp. 508-522, 2014.

Abstract | Links | BibTeX | Tags: Garch

2013

Laurent, Sébastien; Rombouts, Jeroen V K; Violante, Francesco

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models Journal Article

Journal of Econometrics, Volume 173, Issue 1 , pp. 1–10, 2013.

Abstract | Links | BibTeX | Tags: Forecasting

2012

Bauwens, Luc; Rombouts, Jeroen V K

On Marginal Likelihood Computation in Change-Point Models Journal Article

Computational Statistics & Data Analysis, Volume 56, Issue 11 , pp. 3415–3429, 2012.

Abstract | Links | BibTeX | Tags: Forecasting

Laurent, Sébastien; Rombouts, Jeroen V K; Violante, Francesco

On the Forecasting Accuracy of Multivariate GARCH Models Journal Article

Journal of Applied Econometrics, Volume 27, Issue 6 , pp. 934–955, 2012.

Abstract | Links | BibTeX | Tags: Forecasting , Garch

2011

Bauwens, Luc; Rombouts, Jeroen V K

Econometrics, Handbook of Computational Statistics Journal Article

Handbook of Computational Statistics , pp. 1061-1094, 2011.

Abstract | Links | BibTeX | Tags: Econometrics , Statistics

Bouezmarni, Taoufik; Rombouts, Jeroen V K; Taamouti, Abderrahim

A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality Journal Article

Journal of Business & Economic Statistics, Volume 30, Issue 2 , 2011.

Abstract | Links | BibTeX | Tags: Forecasting

Rombouts, Jeroen V K; Stentoft, Lars

Multivariate Option Pricing with Time Varying Volatility and Correlations Journal Article

Journal of Banking & Finance, Volume 35, Issue 9 , pp. 2267–2281, 2011.

Abstract | Links | BibTeX | Tags: Econometrics

2010

Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V K

Theory and Inference for a Markov Switching GARCH Model Journal Article

The Econometrics Journal , pages, July 2010, Volume 13, Issue 2 , pp. 218–244, 2010.

Abstract | Links | BibTeX | Tags: Garch

Bouezmarni, Taoufik; Rombouts, Jeroen V K

Nonparametric density estimation for positive time series Journal Article

Computational Statistics & Data Analysis, Volume 54, Issue 2 , pp. Pages 245–261, 2010.

Abstract | Links | BibTeX | Tags: Forecasting

Bouezmarni, Taoufik; Rombouts, Jeroen V K

Nonparametric Density Estimation for Multivariate Bounded Data Journal Article

Journal of Statistical Planning and Inference, Volume 140, Issue 1, , pp. 139–152, 2010.

Abstract | Links | BibTeX | Tags: Econometrics

2009

Rombouts, Jeroen V K; Verbeek, Marno

Evaluating Portfolio Value-at-Risk using Semi-parametric GARCH Models Journal Article

Quantitative Finance , Volume 9, Issue 6 , 2009.

Abstract | Links | BibTeX | Tags: Garch

Bouezmarni, Taoufik; Rombouts, Jeroen V K

Semiparametric Multivariate Density Estimation for Positive Data Using Copulas Journal Article

Computational Statistics & Data Analysis , Volume 53, Issue 6 , pp. Pages 2040–2054, 2009.

Abstract | Links | BibTeX | Tags: Forecasting

Bouezmarni, Taoufik; Rombouts, Jeroen V K; Taamouti, Abderrahim

Asymptotic properties of the Bernstein density copula estimator for α-mixing data Journal Article

Computational Statistics & Data Analysis, Volume 53, Issue 6 , pp. 2040–2054, 2009.

Abstract | Links | BibTeX | Tags: Forecasting

2008

Bouezmarni, Taoufik; Rombouts, Jeroen V K

Density and hazard rate estimation for censored and α-mixing data using gamma kernels Journal Article

Journal of Nonparametric Statistics , Volume 20, Issue 7 , 2008.

Abstract | Links | BibTeX | Tags: Forecasting

2007

Rombouts, Jeroen V K; Bouaddi, Mohammed

Mixed Exponential Power Asymmetric Conditional Heteroskedasticity Journal Article

Studies in Nonlinear Dynamics & Econometrics, Volume 13, Issue 3 , 2007, ISSN: 1558-3708.

Abstract | Links | BibTeX | Tags: Econometrics

Hafner, Christian M; Rombouts, Jeroen V K

Estimation of temporally aggregated multivariate GARCH models Journal Article

Journal of Statistical Computation and Simulation, 77, Issue 8 , 2007.

Abstract | Links | BibTeX | Tags: Statistics

Bauwens, Luc; Rombouts, Jeroen V K

Bayesian Inference for the Mixed Conditional Heteroskedasticity Model Journal Article

The Econometrics Journal , Volume 10, Issue 2 , pp. Pages 408–425, 2007.

Abstract | Links | BibTeX | Tags: Bayesian

Hafner, Christian M; Rombouts, Jeroen V K

Semiparametric Multivariate Volatility Models Journal Article

Econometric Theory, Volume, Issue 02 , pp. Pages 251-280, 2007.

Abstract | Links | BibTeX | Tags: Forecasting

Bauwens, Luc; Hafner, Christian M; Rombouts, Jeroen V K

Mixed Normal Multivariate Conditional Heteroskedasticity Journal Article

Computational Statistics & Data Analysis , Volume 51, Issue 7 , pp. Pages 3551–3566, 2007.

Abstract | Links | BibTeX | Tags: Econometrics

Bauwens, Luc; Rombouts, Jeroen V K

Bayesian Clustering of Many Garch Models Journal Article

Econometric Reviews , Volume 26, Issue 2-4 , 2007.

Abstract | Links | BibTeX | Tags: Bayesian

2006

Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V K

Multivariate GARCH models: a survey Journal Article

Journal of Applied Econometrics, 21, Issue 1 , pp. Pages 79-109, 2006.

Abstract | Links | BibTeX | Tags: Econometrics

2005

Mouchart, Michel; Rombouts, Jeroen V K

Clustered panel data models: an efficient approach for nowcasting from poor data Journal Article

International Journal of Forecasting, 21, Issue 3 , pp. Pages 577–594, 2005.

Abstract | Links | BibTeX | Tags: Data , Forecasting

 

 

 

 

 

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