11
H index
11
i10 index
317
Citations
Universiteit Gent | 11 H index 11 i10 index 317 Citations RESEARCH PRODUCTION: 34 Articles 15 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Kris Boudt. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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MPRA Paper / University Library of Munich, Germany | 2 |
Papers / arXiv.org | 2 |
Year | Title of citing document |
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2020 | Robust portfolio selection using sparse estimation of comoment tensors. (2020). Vrins, Frédéric ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020003. Full description at Econpapers || Download paper |
2020 | A tale of two sentiment scales: Disentangling short-run and long-run components in multivariate sentiment dynamics. (2019). Lillo, Fabrizio ; Bormetti, Giacomo ; Vassallo, Danilo. In: Papers. RePEc:arx:papers:1910.01407. Full description at Econpapers || Download paper |
2020 | Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849. Full description at Econpapers || Download paper |
2020 | RM-CVaR: Regularized Multiple $\beta$-CVaR Portfolio. (2020). Abe, Masaya ; Noma, Shuhei ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2004.13347. Full description at Econpapers || Download paper |
2020 | Convolution Bounds on Quantile Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Lam, Henry ; Blanchet, Jose. In: Papers. RePEc:arx:papers:2007.09320. Full description at Econpapers || Download paper |
2020 | XVA Valuation under Market Illiquidity. (2020). Sturm, Stephan ; Pang, Weijie . In: Papers. RePEc:arx:papers:2011.03543. Full description at Econpapers || Download paper |
2021 | Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939. Full description at Econpapers || Download paper |
2020 | TailCoR. (2020). Ley, Christophe ; Babi, Sladjana ; Veredas, David ; Ricci, Lorenzo. In: Papers. RePEc:arx:papers:2011.14817. Full description at Econpapers || Download paper |
2021 | Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802. Full description at Econpapers || Download paper |
2020 | Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146. Full description at Econpapers || Download paper |
2020 | JUMPS, NEWS, AND SUBSEQUENT RETURN DYNAMICS: AN INTRADAY STUDY. (2020). Yin, Xiangkang ; Zhao, Jing ; Xiao, Yuewen. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:3:p:705-731. Full description at Econpapers || Download paper |
2020 | News media vs. FRED-MD for macroeconomic forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: Working Papers. RePEc:bny:wpaper:0091. Full description at Econpapers || Download paper |
2020 | News Media vs. FRED-MD for Macroeconomic Forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8639. Full description at Econpapers || Download paper |
2020 | Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983. Full description at Econpapers || Download paper |
2020 | A test on the location of the tangency portfolio on the set of feasible portfolios. (2020). Lindholm, Mathias ; Bodnar, Taras ; Muhinyuza, Stanislas. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:386:y:2020:i:c:s009630032030477x. Full description at Econpapers || Download paper |
2020 | A novel hybrid model for forecasting crude oil price based on time series decomposition. (2020). Abdollahi, Hooman. In: Applied Energy. RePEc:eee:appene:v:267:y:2020:i:c:s030626192030547x. Full description at Econpapers || Download paper |
2020 | The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233. Full description at Econpapers || Download paper |
2020 | Economic forecasting with evolved confidence indicators. (2020). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:576-585. Full description at Econpapers || Download paper |
2020 | Forex interventions and exchange rate exposure: Evidence from emerging market firms. (2020). Sikarwar, Ekta. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:69-81. Full description at Econpapers || Download paper |
2021 | Is Textual Tone Informative or Inflated for Firm’s Future Value? Evidence from Chinese Listed Firms. (2021). Guo, Jian Luan ; Yao, Xiao ; Wu, Dong Xiao. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:513-525. Full description at Econpapers || Download paper |
2021 | Words and deeds in managing expectations: Empirical evidence from an inflation targeting economy. (2021). Stanisławska, Ewa ; Łyziak, Tomasz ; Stanisawska, Ewa ; Dory, Wirginia ; Baranowski, Pawe. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:49-67. Full description at Econpapers || Download paper |
2020 | Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). RodrÃÂguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607. Full description at Econpapers || Download paper |
2020 | Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates. (2020). Yi, Chae-Deug. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300814. Full description at Econpapers || Download paper |
2020 | Volatility estimation and jump detection for drift–diffusion processes. (2020). Shi, Shuping ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:259-290. Full description at Econpapers || Download paper |
2020 | Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:356-380. Full description at Econpapers || Download paper |
2020 | What is the best proxy for liquidity in the presence of extreme illiquidity?. (2020). Będowska-Sójka, Barbara ; Echaust, Krzysztof ; Bdowska-Sojka, Barbara. In: Emerging Markets Review. RePEc:eee:ememar:v:43:y:2020:i:c:s1566014119302080. Full description at Econpapers || Download paper |
2020 | Forecasting volatility in the petroleum futures markets: A re-examination and extension. (2020). Shaiban, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Al-Freedi, Ajab. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304232. Full description at Econpapers || Download paper |
2020 | Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642. Full description at Econpapers || Download paper |
2020 | Beyond narrative disclosure tone: The upper echelons theory perspective. (2020). Tao, Lei ; Abdelfattah, Tarek ; Bassyouny, Hesham. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301435. Full description at Econpapers || Download paper |
2020 | Managerial career concerns and the content of corporate disclosures: An analysis of the tone of earnings press releases. (2020). Bishara, Norman ; Arslan-Ayaydin, Ozgur ; Torsin, Wouter ; Thewissen, James. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302416. Full description at Econpapers || Download paper |
2020 | Non-linearities, cyber attacks and cryptocurrencies. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Kang, Woo-Young. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319309377. Full description at Econpapers || Download paper |
2021 | Performance-sharing optimization by risk-constrained equity investors. (2021). Khokhar, Mulazim-Ali ; Boudt, Kris. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320301793. Full description at Econpapers || Download paper |
2020 | Tales of tails: Jumps in currency markets. (2020). Wang, Minho ; Lee, Suzanne S. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830243x. Full description at Econpapers || Download paper |
2020 | Range Value-at-Risk bounds for unimodal distributions under partial information. (2020). Vanduffel, Steven ; Kazzi, Rodrigue ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:9-24. Full description at Econpapers || Download paper |
2020 | Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. (2020). Onwuka, Kevin O ; Urom, Christian ; Yuni, Denis N ; Uma, Kalu E. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:10-29. Full description at Econpapers || Download paper |
2020 | Examining stress in Asian currencies: A perspective offered by high frequency financial market data. (2020). Treepongkaruna, Sirimon ; Matei, Marius ; Dungey, Mardi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300846. Full description at Econpapers || Download paper |
2020 | The M4 Competition: 100,000 time series and 61 forecasting methods. (2020). Assimakopoulos, Vassilios ; Spiliotis, Evangelos ; Makridakis, Spyros. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:1:p:54-74. Full description at Econpapers || Download paper |
2020 | Evidence of strategic information uncertainty around opportunistic insider purchases. (2020). faff, robert ; Oliver, Barry ; Rahman, Dewan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s0378426620300881. Full description at Econpapers || Download paper |
2020 | Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369. Full description at Econpapers || Download paper |
2020 | Understanding risk of bubbles in cryptocurrencies. (2020). Molnár, Peter ; Molnar, P ; Luivjanska, K ; Landsnes, Ch J ; Enoksen, F A. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:129-144. Full description at Econpapers || Download paper |
2020 | CEO characteristics and tone at the top inconsistency. (2020). Nguyen, Hazel T ; Liu, PU. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519301833. Full description at Econpapers || Download paper |
2020 | Do Islamic stocks outperform conventional stock sectors during normal and crisis periods? Extreme co-movements and portfolio management analysis. (2020). Vo, Xuan Vinh ; Ur, Mobeen ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20300718. Full description at Econpapers || Download paper |
2020 | Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets. (2020). Gao, Yang ; Sun, Bianxia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318539. Full description at Econpapers || Download paper |
2020 | Risks in emerging markets equities: Time-varying versus spatial risk analysis. (2020). Owusu Junior, Peterson ; Alagidede, Imhotep. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319405. Full description at Econpapers || Download paper |
2020 | Regression-based finite element machines for reliability modeling of downhole safety valves. (2020). Papa, Joo P ; Pereira, Danillo Roberto ; Alves, Gilson Brito ; Colombo, Danilo. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:198:y:2020:i:c:s0951832018310287. Full description at Econpapers || Download paper |
2020 | Intraday price jumps, market liquidity, and the magnet effect of circuit breakers. (2020). Zhou, Jie ; Jian, Zhi Hong ; Wu, Shuai ; Zhu, Zhican. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:168-186. Full description at Econpapers || Download paper |
2020 | Seeking causality between liquidity risk and credit risk: TED-OIS spreads and CDS indexes. (2020). Gunay, Samet. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919306282. Full description at Econpapers || Download paper |
2020 | Do aggressive orders affect liquidity? An evidence from an emerging market. (2020). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920303780. Full description at Econpapers || Download paper |
2021 | Risk, resilience, and Shariah-compliance. (2021). , Calvin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531918307591. Full description at Econpapers || Download paper |
2020 | Contagion risk between the shipping freight and stock markets: Evidence from the recent US-China trade war. (2020). Li, Kevin X ; Gong, Yuting ; Shi, Wenming ; Chen, Shu-Ling. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:136:y:2020:i:c:s1366554519310609. Full description at Econpapers || Download paper |
2020 | Central Bank Tone and the Dispersion of Views within Monetary Policy Committees. (2020). Labondance, Fabien ; Hubert, Paul. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:2002. Full description at Econpapers || Download paper |
2020 | Intraday Jumps, Liquidity, and U.S. Macroeconomic News: Evidence from Exchange Traded Funds. (2020). Jurdi, Doureige J. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:118-:d:367863. Full description at Econpapers || Download paper |
2021 | Impact of COVID-19 on Performance Evaluation Large Market Capitalization Stocks and Open Innovation. (2021). Muniroh, Leny ; Aminda, Renea Shinta ; Endri, Endri ; Nurhayati, Immas. In: Journal of Open Innovation: Technology, Market, and Complexity. RePEc:gam:joitmc:v:7:y:2021:i:1:p:56-:d:493125. Full description at Econpapers || Download paper |
2020 | Sustainable Financial Risk Modelling Fitting the SDGs: Some Reflections. (2020). Walter, Christian. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:18:p:7789-:d:416749. Full description at Econpapers || Download paper |
2021 | Financial Performance of Renewable and Fossil Power Sources in India. (2021). Shrimali, Gireesh. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:5:p:2573-:d:507254. Full description at Econpapers || Download paper |
2020 | On the Pernicious Effects of Oil Price Uncertainty on U.S. Real Economic Activities. (2020). Suardi, Sandy ; Darne, Olivier ; Chew, Lian ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-03040689. Full description at Econpapers || Download paper |
2021 | Nowcasting and forecasting GDP growth with machine-learning sentiment indicators.. (2021). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: IREA Working Papers. RePEc:ira:wpaper:202103. Full description at Econpapers || Download paper |
2020 | A daily fever curve for the Swiss economy. (2020). Kaufmann, Daniel ; Burri, Marc. In: IRENE Working Papers. RePEc:irn:wpaper:20-05. Full description at Econpapers || Download paper |
2020 | A robust framework for risk parity portfolios. (2020). Kwon, Roy ; Costa, Giorgio. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:5:d:10.1057_s41260-020-00179-w. Full description at Econpapers || Download paper |
2020 | Is the market surprised by the surprise?. (2020). Petracci, Barbara ; Olugbode, Mojisola ; Kyaw, Khine. In: International Journal of Disclosure and Governance. RePEc:pal:ijodag:v:17:y:2020:i:1:d:10.1057_s41310-020-00071-4. Full description at Econpapers || Download paper |
2020 | Textual tone in corporate financial disclosures: a survey of the literature. (2020). Luo, Yan ; Zhou, Linying. In: International Journal of Disclosure and Governance. RePEc:pal:ijodag:v:17:y:2020:i:2:d:10.1057_s41310-020-00077-y. Full description at Econpapers || Download paper |
2021 | Network Based Evidence of the Financial Impact of Covid-19 Pandemic. (2021). Ahelegbey, Daniel Felix ; Cerchiello, Paola ; Scaramozzino, Roberta. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0198. Full description at Econpapers || Download paper |
2021 | Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengecti, Suleyman. In: MPRA Paper. RePEc:pra:mprapa:105162. Full description at Econpapers || Download paper |
2021 | Beta-Adjusted Covariance Estimation. (2021). Vanduffel, Steven ; Sauri, Orimar ; Boudt, Kris ; Dragun, Kirill. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:21/1010. Full description at Econpapers || Download paper |
2020 | A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices. (2020). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela. In: Working Papers. RePEc:sep:wpaper:3_234. Full description at Econpapers || Download paper |
2020 | Central Bank Tone and the Dispersion of Views within Monetary Policy Committees. (2020). Labondance, Fabien ; Hubert, Paul. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/7v8fvu0bf08jcoi4epn8cutjm8. Full description at Econpapers || Download paper |
2021 | Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange. (2021). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03849-5. Full description at Econpapers || Download paper |
2020 | On the pernicious effects of oil price uncertainty on US real economic activities. (2020). Suardi, Sandy ; Darné, Olivier ; Chua, Chew Lian ; Charles, Amelie ; Darne, Olivier. In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:6:d:10.1007_s00181-019-01801-6. Full description at Econpapers || Download paper |
2020 | A daily fever curve for the Swiss economy. (2020). Burri, Marc ; Kaufmann, Daniel. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:156:y:2020:i:1:d:10.1186_s41937-020-00051-z. Full description at Econpapers || Download paper |
2020 | Uncertainty in Firm Valuation and a Cross-Sectional Misvaluation Measure. (2020). Bottazzi, Giulio ; Marmi, Stefano ; Livieri, Giulia ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2020/15. Full description at Econpapers || Download paper |
2020 | Stock Recommendations from Stochastic Discounted Cash Flows. (2020). Bottazzi, Giulio ; Marmi, Stefano ; Livieri, Giulia ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2020/17. Full description at Econpapers || Download paper |
2020 | Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models. (2020). Umlandt, Dennis. In: Working Paper Series. RePEc:trr:qfrawp:202006. Full description at Econpapers || Download paper |
2020 | Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments. (2020). Wang, Bin ; Park, Joon ; Kim, Jihyun. In: TSE Working Papers. RePEc:tse:wpaper:124234. Full description at Econpapers || Download paper |
2020 | Are Corn Futures Prices Getting “Jumpy�. (2020). Couleau, Anabelle ; Garcia, Philip ; Serra, Teresa. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:102:y:2020:i:2:p:569-588. Full description at Econpapers || Download paper |
2021 | Heterogeneous investment horizons, risk regimes, and realized jumps. (2021). Gradojevic, Nikola ; Erdemlioglu, Deniz. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:617-643. Full description at Econpapers || Download paper |
2021 | Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2021). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:3:p:416-438. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2016 | Generalized Autoregressive Score Models in R: The GAS Package In: Papers. [Full Text][Citation analysis] | paper | 3 |
2016 | Value-at-Risk Prediction in R with the GAS Package In: Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Analysts forecast error: a robust prediction model and its short-term trading profitability In: Accounting and Finance. [Full Text][Citation analysis] | article | 0 |
2019 | Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics In: Financial Management. [Full Text][Citation analysis] | article | 2 |
2020 | ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 3 |
2016 | Smart beta and CPPI performance In: Finance. [Full Text][Citation analysis] | article | 1 |
2011 | Robust estimation of intraweek periodicity in volatility and jump detection In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 66 |
2011 | Robust estimation of intraweek periodicity in volatility and jump detection.(2011) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 66 | article | |
2011 | Outlyingness weighted covariation In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 22 |
2010 | Robust M-estimation of multivariate GARCH models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 13 |
2012 | Jump robust daily covariance estimation by disentangling variance and correlation components In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 6 |
2017 | Generalized financial ratios to predict the equity premium In: Economic Modelling. [Full Text][Citation analysis] | article | 2 |
2016 | The economic benefits of market timing the style allocation of characteristic-based portfolios In: The North American Journal of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2013 | The impact of a sustainability constraint on the mean-tracking error efficient frontier In: Economics Letters. [Full Text][Citation analysis] | article | 4 |
2017 | Positive semidefinite integrated covariance estimation, factorizations and asynchronicity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
2020 | Nearest comoment estimation with unobserved factors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
2019 | NEAREST COMOMENT ESTIMATION WITH UNOBSERVED FACTORS.(2019) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2017 | Funding liquidity, market liquidity and TED spread: A two-regime model In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 14 |
2013 | Funding liquidity, market liquidity and TED spread : A two-regime model.(2013) In: Working Paper Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2018 | When does the tone of earnings press releases matter? In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 3 |
2019 | Evaluating the Shariah-compliance of equity portfolios: The weighting method matters In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 1 |
2015 | Higher order comoments of multifactor models and asset allocation In: Finance Research Letters. [Full Text][Citation analysis] | article | 5 |
2015 | Testing equality of modified Sharpe ratios In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
2014 | Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 33 |
2019 | Macro-financial regimes and performance of Shariah-compliant equity portfolios In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 3 |
2013 | Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 37 |
2018 | Forecasting risk with Markov-switching GARCH models:A large-scale performance study In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 18 |
2019 | Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 12 |
2016 | Managers set the tone: Equity incentives and the tone of earnings press releases In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 13 |
2018 | The peer performance ratios of hedge funds In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
2019 | The response of multinationals’ foreign exchange rate exposure to macroeconomic news In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 1 |
2017 | The response of multinationals’ foreign exchange rate exposure to macroeconomic news.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2012 | The short term prediction of analysts forecast error In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 0 |
2013 | The Peer Performance of Hedge Funds In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 0 |
2012 | Regime switches in the volatility and correlation of financial institutions In: Working Paper Research. [Full Text][Citation analysis] | paper | 5 |
2020 | Climate change concerns and the performance of green versus brown stocks In: Working Paper Research. [Full Text][Citation analysis] | paper | 0 |
2016 | Exporters’ Exposures to Currencies: Beyond the Loglinear Model In: Review of Finance. [Full Text][Citation analysis] | article | 0 |
2010 | Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization In: MPRA Paper. [Full Text][Citation analysis] | paper | 5 |
2008 | Hedge fund portfolio selection with modified expected shortfall In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2017 | The impact of covariance misspecification in risk-based portfolios In: Annals of Operations Research. [Full Text][Citation analysis] | article | 11 |
2018 | Block rearranging elements within matrix columns to minimize the variability of the row sums In: 4OR. [Full Text][Citation analysis] | article | 2 |
2011 | Robust explicit estimators of Weibull parameters In: Metrika: International Journal for Theoretical and Applied Statistics. [Full Text][Citation analysis] | article | 5 |
2020 | Robust Distribution-Based Winsorization in Composite Indicators Construction In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. [Full Text][Citation analysis] | article | 0 |
2020 | The variance implied conditional correlation In: The European Journal of Finance. [Full Text][Citation analysis] | article | 0 |
2015 | Jump robust two time scale covariance estimation and realized volatility budgets In: Quantitative Finance. [Full Text][Citation analysis] | article | 6 |
2018 | Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
2018 | Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation.(2018) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2020 | Machine Learning for Asset Managers In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
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