Kris Boudt : Citation Profile

Are you Kris Boudt?

Universiteit Gent

8

H index

7

i10 index

211

Citations

RESEARCH PRODUCTION:

28

Articles

14

Papers

RESEARCH ACTIVITY:

   11 years (2008 - 2019). See details.
   Cites by year: 19
   Journals where Kris Boudt has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 11 (4.95 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbo300
   Updated: 2020-02-22    RAS profile: 2019-10-29    
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Relations with other researchers

Works with:

Ardia, David (10)

Catania, Leopoldo (2)

Neely, Christopher (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Kris Boudt.

Is cited by:

Laurent, Sébastien (17)

Hotta, Luiz (10)

Caporin, Massimiliano (7)

Francq, Christian (7)

Ruiz, Esther (7)

McAleer, Michael (6)

Bauwens, Luc (6)

Neely, Christopher (5)

Darné, Olivier (5)

Urga, Giovanni (5)

darolles, serge (4)

Cites to:

Bollerslev, Tim (20)

Laurent, Sébastien (20)

Engle, Robert (18)

Bauwens, Luc (16)

Diebold, Francis (16)

Andersen, Torben (15)

Ledoit, Olivier (12)

Shephard, Neil (12)

Wolf, Michael (12)

Andrews, Donald (11)

Ardia, David (11)

Main data

Where Kris Boudt has published?

Journals with more than one article published# docs
Journal of Empirical Finance2
Finance Research Letters2
Computational Statistics & Data Analysis2
Quantitative Finance2
International Journal of Forecasting2
International Review of Financial Analysis2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany2
Papers / arXiv.org2

Recent works citing Kris Boudt (2019 and 2018)

YearTitle of citing document
2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: Papers. RePEc:arx:papers:1909.04661.

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2019Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2018Funding Constraints and Market Illiquidity in the European Treasury Bond Market. (2018). Moinas, Sophie ; Valente, Giorgio ; Nguyen, Minh. In: EconPol Working Paper. RePEc:ces:econwp:_13.

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2019Economic policy uncertainty in the US and China and their impact on the global markets. (2019). Zhang, Dayong ; Ji, Qiang ; Lei, Lei ; Kutan, Ali M. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:47-56.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2019A Harris process to model stochastic volatility. (2019). Mena, Ramses H ; Anzarut, Michelle. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:151-169.

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2018Selection of Value at Risk Models for Energy Commodities. (2018). Laporta, Alessandro G ; Petrella, Lea ; Merlo, Luca. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:628-643.

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2018Credit and market risks measurement in carbon financing for Chinese banks. (2018). Zhang, XI ; Li, Jian. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:549-557.

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2019Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model. (2019). Xu, Jianjun ; Chen, Rongda. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:379-391.

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2019Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

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2018Clean energy investing in public capital markets: Portfolio benefits of yieldcos. (2018). la Monaca, Sarah ; Byrne, Julie ; Assereto, Martina. In: Energy Policy. RePEc:eee:enepol:v:121:y:2018:i:c:p:383-393.

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2018The coherence of liquidity measures. The evidence from the emerging market. (2018). Bdowska-Sojka, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:118-123.

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2019Regime changes in Bitcoin GARCH volatility dynamics. (2019). Ardia, David ; Ruede, Maxime ; Bluteau, Keven. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:266-271.

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2019The causality between liquidity and volatility in the Polish stock market. (2019). Kliber, Agata ; Bdowska-Sojka, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:110-115.

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2018Intraday momentum in FX markets: Disentangling informed trading from liquidity provision. (2018). Frömmel, Michael ; Lampaert, Kevin ; Frommel, Michael ; Elaut, Gert. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:35-51.

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2018Do co-jumps impact correlations in currency markets?. (2018). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:97-119.

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2019Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market. (2019). Skiadopoulos, George ; Neumann, Michael ; Konstantinidi, Eirini ; Kapetanios, George. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118300168.

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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2019Tales from tails: On the empirical distributions of forecasting errors and their implication to risk. (2019). Assimakopoulos, Vassilios ; Nikolopoulos, Konstantinos ; Spiliotis, Evangelos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:687-698.

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2019Forecasting Bitcoin risk measures: A robust approach. (2019). Trucíos, Carlos ; Trucios, Carlos. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:3:p:836-847.

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2019Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values. (2019). Boudt, Kris ; Bluteau, Keven ; Ardia, David. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1370-1386.

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2020The 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.

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2018Jumps, cojumps, and efficiency in the spot foreign exchange market. (2018). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:49-67.

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2018The impact of oil-market shocks on stock returns in major oil-exporting countries. (2018). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:264-280.

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2019Modeling volatility of precious metals markets by using regime-switching GARCH models. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Mubashra, Sana ; Naeem, Muhammad. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719303022.

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2018Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks. (2018). Ghadhab, Imen. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:46:y:2018:i:c:p:1-10.

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2019Liquidity and realized range-based volatility forecasting: Evidence from China. (2019). Ma, Feng ; Huang, Dengshi ; Xu, Yanyan ; Qiao, Gaoxiu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1102-1113.

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2019A dynamic factor model with stylized facts to forecast volatility for an optimal portfolio. (2019). Belkacem, Lotfi ; Boubaker, Heni ; Karmous, Aida. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:534:y:2019:i:c:s0378437119312695.

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2019Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?. (2019). McAleer, Michael ; Chang, Chia-Lin ; Caporin, Massimiliano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:50-70.

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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2019Stock return predictability: Using the cyclical component of the price ratio. (2019). McMillan, David G. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:228-242.

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2018Estimating spot volatility in the presence of infinite variation jumps. (2018). Liu, Qiang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:6:p:1958-1987.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2018Study of the Importance of National Identity in the Development of Corporate Social Responsibility Practices: A Multivariate Vision. (2018). Amor-Esteban, Victor ; David, Fatima ; Galindo-Villardon, M-Purificacion. In: Administrative Sciences. RePEc:gam:jadmsc:v:8:y:2018:i:3:p:50-:d:166234.

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2019Covariance Prediction in Large Portfolio Allocation. (2019). , Andre ; Hotta, Luiz K ; Zevallos, Mauricio ; Trucios, Carlos . In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:2:p:19-:d:229754.

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2018Risk-Based Portfolios with Large Dynamic Covariance Matrices. (2018). Nakagawa, Kei ; Yoshida, Kenichi ; Imamura, Mitsuyoshi. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:52-:d:146287.

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2018Target Matrix Estimators in Risk-Based Portfolios. (2018). Neffelli, Marco. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:125-:d:180674.

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2019Can Machine Learning-Based Portfolios Outperform Traditional Risk-Based Portfolios? The Need to Account for Covariance Misspecification. (2019). Jain, Shashi. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:74-:d:245327.

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2019Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach. (2019). He, Ling-Yun ; Wang, Zi-Jie ; Liu, Li-Na ; Zhao, Lu-Tao. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:14:p:3892-:d:249220.

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2019Sector Portfolio Performance Comparison between Islamic and Conventional Stock Markets. (2019). Jareño, Francisco ; el Haddouti, Camalea ; Jareo, Francisco ; De, Maria. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:17:p:4618-:d:260794.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Post-Print. RePEc:hal:journl:hal-01980815.

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2018On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01710398.

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2018Conditional Risk-Based Portfolio. (2018). Onori, Daria ; Caille, Olessia. In: Working Papers. RePEc:hal:wpaper:hal-01973115.

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2018Volatility Estimation and Jump Detection for drift-diffusion Processes. (2018). Shi, Shuping ; Laurent, Sébastien. In: Working Papers. RePEc:hal:wpaper:halshs-01944449.

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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Working Papers. RePEc:hal:wpaper:halshs-01944656.

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2019An Agent-Based Model of a Pricing Process with Power Law, Volatility Clustering, and Jumps. (2019). Luo, Qixuan ; Shi, YU ; Li, Han Dong . In: Complexity. RePEc:hin:complx:3429412.

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2018Intraday realised volatility forecasting and announcements. (2018). Vortelinos, Dimitrios I. In: International Journal of Banking, Accounting and Finance. RePEc:ids:injbaf:v:9:y:2018:i:1:p:88-118.

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2019Hear Me Write: Does CEO Narcissism Affect Disclosure?. (2019). Zhou, Linying ; Zebedee, Allan A ; Marquez-Illescas, Gilberto . In: Journal of Business Ethics. RePEc:kap:jbuset:v:159:y:2019:i:2:d:10.1007_s10551-018-3796-3.

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2018Conditional Risk-Based Portfolio. (2018). Onori, Daria ; Caille, Olessia. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2629.

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2019Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences. (2019). Ferrara, Laurent ; Marsilli, Clement ; Banulescu-Radu, Denisa. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2710.

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2018Volume, Volatility, and Public News Announcements. (2018). Bollerslev, Tim ; Xue, Yuan ; Li, Jia. In: Review of Economic Studies. RePEc:oup:restud:v:85:y:2018:i:4:p:2005-2041..

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: MPRA Paper. RePEc:pra:mprapa:83988.

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2018The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis. (2018). Camilleri, Silvio ; Farrugia, Ritienne. In: MPRA Paper. RePEc:pra:mprapa:87070.

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2018Effective energy commodities’ risk management: Econometric modeling of price volatility. (2018). HALKOS, GEORGE ; Tzirivis, Apostolos. In: MPRA Paper. RePEc:pra:mprapa:90781.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: MPRA Paper. RePEc:pra:mprapa:95965.

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2019Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:97353.

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2019Multi-period portfolio selection with drawdown control. (2019). Lindstrom, Erik ; Boyd, Stephen ; Nystrup, Peter ; Madsen, Henrik. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2947-3.

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2018The Hidden Information Content: Evidence from the Tone of Independent Director Reports. (2018). Talavera, Oleksandr ; Ji, Jiao ; Yin, Shuxing. In: Working Papers. RePEc:swn:wpaper:2018-28.

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2018Reviews of Books and Teaching Materials. (2018). Editors, The. In: The American Statistician. RePEc:taf:amstat:v:72:y:2018:i:2:p:206-212.

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2018The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity. (2018). Zhou, Jie ; Wu, Shuai ; Zhu, Zhican ; Jian, Zhihong. In: Departmental Working Papers. RePEc:win:winwop:2018-01.

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2019Forecasting the Realized Variance in the Presence of Intraday Periodicity. (2019). Hizmeri, Rodrigo ; DUMITRU, ANA-MARIA ; Izzeldin, Marwan. In: EconStor Preprints. RePEc:zbw:esprep:193631.

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2019Delegation in a multi-tier court system: are remands in the U.S. federal courts driven by moral hazard?. (2019). Sarel, Roee ; Demirtas, Melanie. In: ILE Working Paper Series. RePEc:zbw:ilewps:28.

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Works by Kris Boudt:

YearTitleTypeCited
2016Generalized Autoregressive Score Models in R: The GAS Package In: Papers.
[Full Text][Citation analysis]		paper1
2016Value-at-Risk Prediction in R with the GAS Package In: Papers.
[Full Text][Citation analysis]		paper1
2015Analysts forecast error: a robust prediction model and its short-term trading profitability In: Accounting and Finance.
[Full Text][Citation analysis]		article0
2019Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics In: Financial Management.
[Full Text][Citation analysis]		article0
2016Smart beta and CPPI performance In: Finance.
[Full Text][Citation analysis]		article0
2011Robust estimation of intraweek periodicity in volatility and jump detection In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper50
2011Robust estimation of intraweek periodicity in volatility and jump detection.(2011) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
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2011Outlyingness weighted covariation In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper20
2010Robust M-estimation of multivariate GARCH models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article13
2012Jump robust daily covariance estimation by disentangling variance and correlation components In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article5
2017Generalized financial ratios to predict the equity premium In: Economic Modelling.
[Full Text][Citation analysis]		article2
2016The 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]		article0
2013The impact of a sustainability constraint on the mean-tracking error efficient frontier In: Economics Letters.
[Full Text][Citation analysis]		article2
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity In: Journal of Econometrics.
[Full Text][Citation analysis]		article10
2017Funding liquidity, market liquidity and TED spread: A two-regime model In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article10
2013Funding 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: 10		paper
2018When does the tone of earnings press releases matter? In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article0
2019Evaluating the Shariah-compliance of equity portfolios: The weighting method matters In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article0
2015Higher order comoments of multifactor models and asset allocation In: Finance Research Letters.
[Full Text][Citation analysis]		article2
2015Testing equality of modified Sharpe ratios In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2014Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks In: Journal of Financial Markets.
[Full Text][Citation analysis]		article21
2019Macro-financial regimes and performance of Shariah-compliant equity portfolios In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article1
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article30
2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study In: International Journal of Forecasting.
[Full Text][Citation analysis]		article8
2016Managers set the tone: Equity incentives and the tone of earnings press releases In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2018The peer performance ratios of hedge funds In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2019The response of multinationals’ foreign exchange rate exposure to macroeconomic news In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article0
2019The response of multinationals’ foreign exchange rate exposure to macroeconomic news.(2019) In: Working Papers.
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2012The short term prediction of analysts forecast error In: Working Papers.
[Full Text][Citation analysis]		paper0
2013Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy In: Cahiers de recherche.
[Full Text][Citation analysis]		paper0
2013The Peer Performance of Hedge Funds In: Cahiers de recherche.
[Full Text][Citation analysis]		paper0
2012Regime switches in the volatility and correlation of financial institutions In: Working Paper Research.
[Full Text][Citation analysis]		paper5
2016Exporters’ Exposures to Currencies: Beyond the Loglinear Model In: Review of Finance.
[Full Text][Citation analysis]		article0
2010Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization In: MPRA Paper.
[Full Text][Citation analysis]		paper5
2008Hedge fund portfolio selection with modified expected shortfall In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2019NEAREST COMOMENT ESTIMATION WITH UNOBSERVED FACTORS In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
[Full Text][Citation analysis]		paper0
2017The impact of covariance misspecification in risk-based portfolios In: Annals of Operations Research.
[Full Text][Citation analysis]		article7
2018Block rearranging elements within matrix columns to minimize the variability of the row sums In: 4OR.
[Full Text][Citation analysis]		article0
2011Robust explicit estimators of Weibull parameters In: Metrika: International Journal for Theoretical and Applied Statistics.
[Full Text][Citation analysis]		article4
2015Jump robust two time scale covariance estimation and realized volatility budgets In: Quantitative Finance.
[Full Text][Citation analysis]		article5
2018Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2018Beyond 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

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