Publications

2016

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

Root-T consistent density estimation in GARCH models Journal Article

In: Forthcoming in the Journal of Econometrics, vol. 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

In: 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

In: Computational Statistics & Data Analysis, vol. 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

In: International Journal of Forecasting , January–March 2014, Pages , vol. 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

In: Journal of Econometrics, vol. 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

In: Journal of Econometrics, vol. 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

In: Computational Statistics & Data Analysis, vol. 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

In: Journal of Applied Econometrics, vol. 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

In: 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

In: Journal of Business & Economic Statistics, vol. 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

In: Journal of Banking & Finance, vol. 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

In: The Econometrics Journal , pages, July 2010, vol. 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

In: Computational Statistics & Data Analysis, vol. 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

In: Journal of Statistical Planning and Inference, vol. 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

In: Quantitative Finance , vol. Volume 9, Issue 6, 2009.

Abstract | Links | BibTeX | Tags: Garch

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

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

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

Abstract | Links | BibTeX | Tags: Forecasting

Bouezmarni, Taoufik; Rombouts, Jeroen V. K.

Semiparametric Multivariate Density Estimation for Positive Data Using Copulas Journal Article

In: Computational Statistics & Data Analysis , vol. Volume 53, Issue 6, pp. Pages 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

In: Journal of Nonparametric Statistics , vol. 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

In: Studies in Nonlinear Dynamics & Econometrics, vol. 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

In: Journal of Statistical Computation and Simulation, vol. 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

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

Abstract | Links | BibTeX | Tags: Bayesian

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

Mixed Normal Multivariate Conditional Heteroskedasticity Journal Article

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

Abstract | Links | BibTeX | Tags: Econometrics

Hafner, Christian M.; Rombouts, Jeroen V. K.

Semiparametric Multivariate Volatility Models Journal Article

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

Abstract | Links | BibTeX | Tags: Forecasting

Bauwens, Luc; Rombouts, Jeroen V. K.

Bayesian Clustering of Many Garch Models Journal Article

In: Econometric Reviews , vol. 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

In: Journal of Applied Econometrics, vol. 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

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

Abstract | Links | BibTeX | Tags: Data , Forecasting

 

 

 

 

 

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