Publications

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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; 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

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

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

2010

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

2009

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

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

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

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

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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