Jeroen VK Rombouts : Citation Profile


Are you Jeroen VK Rombouts?

ESSEC Business School

12

H index

12

i10 index

952

Citations

RESEARCH PRODUCTION:

15

Articles

73

Papers

RESEARCH ACTIVITY:

   11 years (2002 - 2013). See details.
   Cites by year: 86
   Journals where Jeroen VK Rombouts has often published
   Relations with other researchers
   Recent citing documents: 106.    Total self citations: 36 (3.64 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro399
   Updated: 2017-06-10    RAS profile: 2015-08-24    
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Relations with other researchers


Works with:

Stentoft, Lars (2)

Violante, Francesco (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jeroen VK Rombouts.

Is cited by:

McAleer, Michael (82)

Caporin, Massimiliano (63)

Bauwens, Luc (30)

Asai, Manabu (25)

Stentoft, Lars (24)

Hafner, Christian (20)

Maheu, John (17)

Laurent, Sébastien (16)

Haas, Markus (16)

Chang, Chia-Lin (16)

Tansuchat, Roengchai (13)

Cites to:

Bauwens, Luc (20)

Bollerslev, Tim (17)

Engle, Robert (15)

Laurent, Sébastien (14)

Stentoft, Lars (10)

Christoffersen, Peter (10)

gourieroux, christian (10)

Lunde, Asger (9)

Hansen, Peter (8)

Scaillet, Olivier (8)

Haas, Markus (7)

Main data


Where Jeroen VK Rombouts has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis4
Econometrics Journal2

Working Papers Series with more than one paper published# docs
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques4
Papers / Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE)2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economa2

Recent works citing Jeroen VK Rombouts (2017 and 2016)


YearTitle of citing document
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2016). Uzeda, Luis . In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2016-632.

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2016PRICE VOLATILITY TRANSMISSION FROM OIL TO ENERGY AND NON-ENERGY AGRICULTURAL COMMODITIES. (2016). Bittencourt, Mauricio ; Lobo, Mauricio Vaz ; Borges, Leonardo Chaves . In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:181.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199.

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2017Option Pricing in Markets with Unknown Stochastic Dynamics. (2017). Nizami, Elpida ; Gottschalk, Hanno . In: Papers. RePEc:arx:papers:1602.04848.

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2016What does past correlation structure tell us about the future? An answer from network filtering. (2016). di Matteo, Tiziana ; Aste, Tomaso . In: Papers. RePEc:arx:papers:1605.08908.

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2016On the usual misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: Papers. RePEc:arx:papers:1606.02045.

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2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Mauad, Roberto ; Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio . In: Working Papers Series. RePEc:bcb:wpaper:415.

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2016Macroeconomic forecasting and structural changes in steady states. (2016). Louzis, Dimitrios. In: Working Papers. RePEc:bog:wpaper:204.

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2016Structural changes in inflation dynamics: multiple breaks at different dates for different parameters. (2016). Eo, Yunjong. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:3:p:211-231:n:6.

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2016Contagion in International Stock and Currency Markets During Recent Crisis Episodes. (2016). Tuteja, Divya ; Dua, Pami. In: Working papers. RePEc:cde:cdewps:258.

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2016Volatility and a Century of Energy Markets Dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Working Papers. RePEc:clg:wpaper:2016-29.

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2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Bauwens, Luc ; Augustyniak, Maciej ; Dufays, Arnaud . In: CORE Discussion Papers. RePEc:cor:louvco:2016042.

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2016Forecasting Macroeconomic Variables under Model Instability. (2016). Pettenuzzo, Davide ; Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11355.

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2016Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia. (2016). Haque, Mohammad Imdadul ; Afsal, E M. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-03-27.

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2016Forecasting volatility of wind power production. (2016). Ritter, Matthias ; Shen, Zhiwei . In: Applied Energy. RePEc:eee:appene:v:176:y:2016:i:c:p:295-308.

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2016The implications of monetary expansion in China for the US dollar. (2016). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Journal of Asian Economics. RePEc:eee:asieco:v:46:y:2016:i:c:p:71-84.

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2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

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2016On conditional covariance modelling: An approach using state space models. (2016). Hendrych, R ; Cipra, T. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:304-317.

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2016Matrix exponential stochastic volatility with cross leverage. (2016). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350.

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2016Efficient Gibbs sampling for Markov switching GARCH models. (2016). Billio, Monica ; Casarin, Roberto . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:37-57.

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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach. (2016). Palm, Franz ; Laurent, Sébastien ; Lecourt, Christelle . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:383-400.

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2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

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2016A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection. (2016). Galeano, Pedro ; Ausin, Concepcion M ; Virbickait, Audron . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:814-829.

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2016Fast computation of the deviance information criterion for latent variable models. (2016). Grant, Angelia ; Chan, Joshua. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:847-859.

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2016Financial crises and dynamic linkages across international stock and currency markets. (2016). Tuteja, Divya ; Dua, Pami. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:249-261.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2017Do precious metal prices help in forecasting South African inflation?. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Katzke, Nico . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:63-72.

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2016Inference in VARs with conditional heteroskedasticity of unknown form. (2016). Trenkler, Carsten ; Jentsch, Carsten ; Bruggemann, Ralf . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:69-85.

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2016Modeling covariance breakdowns in multivariate GARCH. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:1-23.

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2017Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:55-67.

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2017Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Frontier and emerging government bond markets. (2017). Swinkels, Laurens ; Piljak, Vanja. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:232-255.

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2016Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

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2016The benefits of improved covariance estimation. (2016). Turtle, H J ; Wang, Kainan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:233-246.

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2016Monitoring multivariate variance changes. (2016). Galeano, Pedro ; Pape, Katharina ; Wied, Dominik . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:54-68.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2016Volatility linkages between energy and agricultural commodity prices. (2016). Schulz, Franziska ; López Cabrera, Brenda. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:190-203.

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2016Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. (2016). Basher, Syed ; Sadorsky, Perry . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:235-247.

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2016Volatility and a century of energy markets dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Energy Economics. RePEc:eee:eneeco:v:55:y:2016:i:c:p:1-9.

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2016Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis. (2016). Hasanov, Akram Shavkatovich ; Shaiban, Mohammed Sharaf ; Do, Hung Xuan . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:16-27.

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2016Modeling and forecasting multivariate electricity price spikes. (2016). Eichler, Michael ; Manner, Hans ; Turk, Dennis . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:255-265.

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2016Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis. (2016). Karanasos, Menelaos ; Karoglou, Michail ; Yfanti, Stavroula . In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:332-349.

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2016Stock market risk in the financial crisis. (2016). Grout, Paul ; Zalewska, Anna . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:326-345.

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2016Will the crisis “tear us apart”? Evidence from the EU. (2016). Pappas, Vasileios ; Steele, Gerry ; Izzeldin, Marwan . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:346-360.

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2016Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

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2016On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:7-14.

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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). Cotter, John ; Poti, Valerio ; Eyiah-Donkor, Emmanuel . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:52-66.

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2016Comparing the financial performance of timber REITs and other REITs. (2016). Piao, Xiaorui ; Xue, Yuan ; Mei, Bin . In: Forest Policy and Economics. RePEc:eee:forpol:v:72:y:2016:i:c:p:115-121.

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2016Institutional investment, equity volume and volatility spillover: Causalities and asymmetries. (2016). Chakraborty, Sandip ; Kakani, Ram Kumar . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:44:y:2016:i:c:p:1-20.

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2016Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:1-9.

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2016Multivariate moments expansion density: Application of the dynamic equicorrelation model. (2016). Iguez, Trino-Manuel ; Perote, Javier . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s216-s232.

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2016Between the hammer and the anvil: The impact of economic sanctions and oil prices on Russia’s ruble. (2016). Ulbricht, Dirk ; Kholodilin, Konstantin ; Fidrmuc, Jarko ; Dreger, Christian. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:44:y:2016:i:2:p:295-308.

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2016Commodity returns co-movements: Fundamentals or “style” effect?. (2016). Moussa, Zakaria ; Darné, Olivier ; Darne, Olivier ; Charlot, Philippe . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:68:y:2016:i:c:p:130-160.

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2016Modeling volatility using state space models with heavy tailed distributions. (2016). de Pinho, Frank M ; Franco, Glaura C ; Silva, Ralph S. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:119:y:2016:i:c:p:108-127.

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2016The informative role of trading volume in an expanding spot and futures market. (2016). Bhaumik, Sumon ; Kartsaklas, A ; Karanasos, M. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:35:y:2016:i:c:p:24-40.

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2016A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets. (2016). CHARFEDDINE, Lanouar ; Benlagha, Noureddine . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:37-38:y:2016:i::p:168-189.

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2017Analysis of the efficiency–integration nexus of Japanese stock market. (2017). Aun, Syed ; Arshad, Shaista . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:296-308.

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2017Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach. (2017). Liu, Zhixue ; Gu, Huaying ; Weng, Yingliang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:460-472.

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2016BRIC or CBRI: It just doesn’t sound as sexy, does it?. (2016). Delcoure, Natalya ; Singh, Harmeet . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:230-239.

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2017Volatility Spillovers from Australias major trading partners across the GFC. (2017). Powell, Robert ; McAleer, Michael ; Allen, David ; Singh, Abhay K. In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:159-175.

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2017Dynamic conditional correlations between Chinese sector returns and the S&P 500 index: An interpretation based on investment shocks. (2017). Sun, Lingxia ; Kim, Myeong Hyeon . In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:309-325.

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2016Return and volatility interdependences in up and down markets across developed and emerging countries. (2016). Kundu, Srikanta ; Sarkar, Nityananda . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:297-311.

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2016Does national culture affect the intensity of volatility linkages in international equity markets?. (2016). Wu, Eliza ; Rothonis, Stephanie ; Tran, Duy . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:85-95.

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2016An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries. (2016). Yavas, Burhan F ; Dedi, Lidija . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:583-596.

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2016Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries. (2016). Chkili, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:22-34.

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2017Grain Price and Volatility Transmission from International to Domestic Markets in Developing Countries. (2017). Hernandez, Manuel ; Ceballos, Francisco ; Robles, Miguel ; Minot, Nicholas . In: World Development. RePEc:eee:wdevel:v:94:y:2017:i:c:p:305-320.

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2016Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study. (2016). Eratalay, Mustafa. In: International Econometric Review (IER). RePEc:erh:journl:v:8:y:2016:i:2:p:19-52.

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2017Mapping the stocks in MICEX: Who is central in Moscow Stock Exchange?. (2017). Eratalay, Mustafa ; Vladimirov, Evgenii . In: EUSP Department of Economics Working Paper Series. RePEc:eus:wpaper:ec0117.

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2016Evolutionary Sequential Monte Carlo Samplers for Change-Point Models. (2016). Dufays, Arnaud . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:12-:d:65253.

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2016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992.

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2016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992.

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2016Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios. (2016). Keeci, Neslihan Fidan ; Uryasev, Stan ; Kuzmenko, Viktor . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:4:p:11-:d:79820.

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2016Modeling Financial Market Volatility in Transition Markets: A Multivariate Case. (2016). Oikonomikou, Leoni Eleni. In: Courant Research Centre: Poverty, Equity and Growth - Discussion Papers. RePEc:got:gotcrc:204.

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2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone. (2016). Gatfaoui, Hayette ; Billio, Monica ; de Peretti, Philippe ; Frattarolo, Lorenzo . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01339826.

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2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone. (2016). Billio, Monica ; de Peretti, Philippe ; Gatfaoui, Hayette ; Frattarolo, Lorenzo . In: Post-Print. RePEc:hal:journl:halshs-01339826.

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2017Loss functions for LGD models comparison. (2017). Hurlin, Christophe ; Patin, Antoine ; Leymarie, Jeremy . In: Working Papers. RePEc:hal:wpaper:halshs-01516147.

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2016Assessing the Exchange Rate Volatility as an External Shock to Chinese Economy. (2016). Azimi, Mohammad Naim. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:8:y:2016:i:5:p:277-285.

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2017Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis. (2017). GUPTA, RANGAN ; Segnon, Mawuli ; Ghodsi, Zara ; Hassani, Hossein . In: Computational Economics. RePEc:kap:compec:v:49:y:2017:i:1:d:10.1007_s10614-015-9548-x.

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2016A multivariate analysis of United States and global real estate investment trusts. (2016). Pilbeam, Keith ; Begiazi, Kyriaki ; Asteriou, Dimitrios . In: International Economics and Economic Policy. RePEc:kap:iecepo:v:13:y:2016:i:3:d:10.1007_s10368-016-0349-z.

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2016Further evidence on the explanatory power of spot food and energy commodities market prices for futures prices. (2016). Cartwright, Phillip A ; Riabko, Natalija . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:47:y:2016:i:3:d:10.1007_s11156-015-0513-5.

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2016Sparse Change-point HAR Models for Realized Variance. (2016). Dufays, Arnaud . In: Cahiers de recherche. RePEc:lvl:crrecr:1607.

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2016A new approach to volatility modeling: the High-Dimensional Markov model. (2016). Bauwens, Luc ; Dufays, Arnaud ; Augustyniak, Maciej . In: Cahiers de recherche. RePEc:lvl:crrecr:1609.

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2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone. (2016). Gatfaoui, Hayette ; Billio, Monica ; de Peretti, Philippe ; Frattarolo, Lorenzo . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16046.

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2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone. (2016). Gatfaoui, Hayette ; Billio, Monica ; de Peretti, Philippe ; Frattarolo, Lorenzo . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16046r.

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2017Changing Macroeconomic Dynamics at the Zero Lower Bound. (2017). Zanetti, Francesco ; Theodoridis, Konstantinos ; Liu, Philip . In: Economics Series Working Papers. RePEc:oxf:wpaper:824.

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2016Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models. (2016). Fengler, Matthias ; Herwartz, Helmut . In: MPRA Paper. RePEc:pra:mprapa:72197.

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2016On the choice of covariance specifications for portfolio selection problems. (2016). Santos, Andre ; Ferreira, Alexandre R. In: MPRA Paper. RePEc:pra:mprapa:73259.

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2016Assessing portfolio market risk in the BRICS economies: use of multivariate GARCH models. (2016). Bonga-Bonga, Lumengo ; Nleya, Lebogang . In: MPRA Paper. RePEc:pra:mprapa:75809.

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2017News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets. (2017). Gupta, Rangan ; Wohar, Mark E ; Papadamou, Stephanos ; Kollias, Christos . In: Working Papers. RePEc:pre:wpaper:201730.

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2017Univariate and Bivariate Volatility in Central European Stock Markets. (2017). Claudiu, Booc . In: Prague Economic Papers. RePEc:prg:jnlpep:v:2017:y:2017:i:2:id:598:p:127-141.

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2016Hybrid MSV-MGARCH Models – General Remarks and the GMSF-SBEKK Specification. (2016). Osiewalski, Jacek. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:8:y:2016:i:4:p:241-271.

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2016Volatility Dependent Dynamic Equicorrelation. (2016). Silvennoinen, Annastiina ; Clements, Adam ; Scott, Ayesha . In: NCER Working Paper Series. RePEc:qut:auncer:2016_02.

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2017Semiparametric Estimation of Multivariate GARCH Models. (2017). MORANA, CLAUDIO. In: Working Paper Series. RePEc:rim:rimwps:17-02.

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2016An analysis of price and volatility transmission in butter, palm oil and crude oil markets. (2016). Thummel, Andreas ; Oconnor, Declan ; Bergmann, Dennis . In: Agricultural and Food Economics. RePEc:spr:agfoec:v:4:y:2016:i:1:d:10.1186_s40100-016-0067-4.

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2016Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach. (2016). Chen, Cathy W. S. ; Lee, Sangyeol . In: Computational Statistics. RePEc:spr:compst:v:31:y:2016:i:1:d:10.1007_s00180-015-0624-4.

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2016Comparison of Value-at-Risk models using the MCS approach. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Computational Statistics. RePEc:spr:compst:v:31:y:2016:i:2:d:10.1007_s00180-016-0646-6.

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2016Modified Schwarz and Hannan–Quinn information criteria for weak VARMA models. (2016). Mainassara, Yacouba Boubacar ; Kokonendji, Celestin C. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:19:y:2016:i:2:d:10.1007_s11203-015-9123-z.

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2016Hidden Markov models in time series, with applications in economics. (2016). Kaufmann, Sylvia. In: Working Papers. RePEc:szg:worpap:1606.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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More than 100 citations found, this list is not complete...

Works by Jeroen VK Rombouts:


YearTitleTypeCited
2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models In: CREATES Research Papers.
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2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: CIRANO Working Papers.
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2009Bayesian option pricing using mixed normal heteroskedasticity models.(2009) In: CORE Discussion Papers.
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2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: Cahiers de recherche.
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paper
2010Multivariate Option Pricing with Time Varying Volatility and Correlations In: CREATES Research Papers.
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2010Multivariate Option Pricing With Time Varying Volatility and Correlations.(2010) In: CIRANO Working Papers.
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paper
2010Multivariate option pricing with time varying volatility and correlations.(2010) In: CORE Discussion Papers.
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paper
2011Multivariate option pricing with time varying volatility and correlations.(2011) In: Journal of Banking & Finance.
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2010Multivariate Option Pricing with Time Varying Volatility and Correlations.(2010) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 14
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2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models In: CREATES Research Papers.
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2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models.(2010) In: CIRANO Working Papers.
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paper
2010Option pricing with asymmetric heteroskedastic normal mixture models.(2010) In: CORE Discussion Papers.
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paper
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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paper29
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: CORE Discussion Papers.
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paper
2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers.
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paper2
2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options.(2012) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 2
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2009Mixed Exponential Power Asymmetric Conditional Heteroskedasticity In: Studies in Nonlinear Dynamics & Econometrics.
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2007Mixed exponential power asymmetric conditional heteroskedasticity.(2007) In: CORE Discussion Papers.
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2007MIXED EXPONENTIAL POWER ASYMMETRIC CONDITIONAL HETEROSKEDASTICITY.(2007) In: Cahiers de recherche.
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paper
2007Mixed Exponential Power Asymmetric Conditional Heteroskedasticity.(2007) In: Cahiers de recherche.
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paper
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality In: CIRANO Working Papers.
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paper2
2009A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: CORE Discussion Papers.
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This paper has another version. Agregated cites: 2
paper
2009A nonparametric copula based test for conditional independence with applications to granger causality.(2009) In: UC3M Working papers. Economics.
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paper
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality.(2009) In: Cahiers de recherche.
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paper
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers.
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paper41
2013On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 41
article
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
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paper
2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
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paper26
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: CORE Discussion Papers.
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paper
2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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paper
2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper Series.
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paper
2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
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2003Semiparametric multivariate GARCH models In: CORE Discussion Papers.
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2003Multivariate GARCH models: a survey In: CORE Discussion Papers.
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paper598
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 598
article
2003Estimation of temporally aggregated multivariate GARCH models In: CORE Discussion Papers.
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paper2
2003Bayesian clustering of many GARCH models In: CORE Discussion Papers.
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paper13
2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
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article
2003Clustered panel data models: an efficient approach for nowcasting from poor data In: CORE Discussion Papers.
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paper3
2005Clustered panel data models: an efficient approach for nowcasting from poor data.(2005) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 3
article
2004Dynamic optimal portfolio selection in a VaR framework In: CORE Discussion Papers.
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paper2
2004Dynamic Optimal Portfolio Selection in a VaR Framework.(2004) In: Cahiers de recherche.
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paper
2005Bayesian inference for the mixed conditional heteroskedasticity model In: CORE Discussion Papers.
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paper7
2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
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article
2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
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paper
2006Regime switching GARCH models In: CORE Discussion Papers.
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paper15
2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
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2006Multivariate mixed normal conditional heteroskedasticity In: CORE Discussion Papers.
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2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
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article
2006Nonparametric density estimation for positive time series In: CORE Discussion Papers.
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2010Nonparametric density estimation for positive time series.(2010) In: Computational Statistics & Data Analysis.
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article
2006Nonparametric Density Estimation for Positive Time Series.(2006) In: Cahiers de recherche.
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2006Density and hazard rate estimation for censored and a-mixing data using gamma kernels In: CORE Discussion Papers.
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2006Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels.(2006) In: Cahiers de recherche.
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2007Semiparametric multivariate density estimation for positive data using copulas In: CORE Discussion Papers.
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2009Semiparametric multivariate density estimation for positive data using copulas.(2009) In: Computational Statistics & Data Analysis.
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2007Semiparametric Multivariate Density Estimation for Positive Data Using Copulas..(2007) In: Cahiers de recherche.
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2007Semiparametric Multivariate Density Estimation for Positive Data Using Copulas.(2007) In: Cahiers de recherche.
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2007Theory and inference for a Markov switching GARCH model In: CORE Discussion Papers.
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2007Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2010Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal.
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2007Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche.
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paper
2007Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche.
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paper
2007Nonparametric density estimation for multivariate bounded data In: CORE Discussion Papers.
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2007Nonparametric density estimation for multivariate bounded data..(2007) In: Cahiers de recherche.
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2007Nonparametric Density Estimation for Multivariate Bounded Data.(2007) In: Cahiers de recherche.
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2008Asymptotic properties of the Bernstein density copula for dependent data In: CORE Discussion Papers.
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2008Asymptotic properties of the Bernstein density copula for dependent data.(2008) In: UC3M Working papers. Economics.
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2008Style rotation and performance persistence of mutual funds In: CORE Discussion Papers.
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2009Consistent ranking of multivariate volatility models In: CORE Discussion Papers.
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2009On marginal likelihood computation in change-point models In: CORE Discussion Papers.
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paper6
2012On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis.
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article
2009On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche.
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2010On the forecasting accuracy of multivariate GARCH models In: CORE Discussion Papers.
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paper52
2010On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche.
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2007SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS In: Econometric Theory.
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2004Semiparametric multivariate volatility models.(2004) In: Papers.
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2004BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS In: Econometric Society 2004 North American Winter Meetings.
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paper0
2010Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data In: Journal of Multivariate Analysis.
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article6
2004Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models In: Cahiers de recherche.
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2005Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models.(2005) In: Computing in Economics and Finance 2005.
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2009Evaluating portfolio Value-at-Risk using semi-parametric GARCH models.(2009) In: Quantitative Finance.
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This paper has another version. Agregated cites: 4
article
2002Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002.
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2004Econometrics In: Papers.
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