Jeroen VK Rombouts : Citation Profile


Are you Jeroen VK Rombouts?

ESSEC Business School

12

H index

13

i10 index

1374

Citations

RESEARCH PRODUCTION:

15

Articles

73

Papers

RESEARCH ACTIVITY:

   11 years (2002 - 2013). See details.
   Cites by year: 124
   Journals where Jeroen VK Rombouts has often published
   Relations with other researchers
   Recent citing documents: 136.    Total self citations: 37 (2.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro399
   Updated: 2020-10-24    RAS profile: 2015-08-24    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

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 (90)

Caporin, Massimiliano (65)

Bauwens, Luc (34)

Asai, Manabu (33)

Stentoft, Lars (26)

Francq, Christian (25)

Laurent, Sébastien (25)

Hafner, Christian (23)

Sentana, Enrique (21)

Ruiz, Esther (20)

Fiorentini, Gabriele (20)

Cites to:

Bauwens, Luc (20)

Bollerslev, Tim (17)

Engle, Robert (15)

Laurent, Sébastien (14)

Stentoft, Lars (10)

gourieroux, christian (10)

Christoffersen, Peter (10)

Lunde, Asger (9)

Scaillet, Olivier (8)

Drost, Feike C. (8)

Hansen, Peter (8)

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
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
Papers / Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE)2

Recent works citing Jeroen VK Rombouts (2020 and 2019)


YearTitle of citing document
2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

Full description at Econpapers || Download paper

2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Does the leverage effect affect the return distribution?. (2019). Chen, Dangxing. In: Papers. RePEc:arx:papers:1909.08662.

Full description at Econpapers || Download paper

2019Structural Change Analysis of Active Cryptocurrency Market. (2019). Ng, K H ; Koh, Y B ; Tan, C Y. In: Papers. RePEc:arx:papers:1909.10679.

Full description at Econpapers || Download paper

2019The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods. (2019). Wu, Jianhong ; Gao, Rui ; Li, Yaqiong ; Lin, Lisha. In: Papers. RePEc:arx:papers:1910.04075.

Full description at Econpapers || Download paper

2020Forecasting 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

2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

Full description at Econpapers || Download paper

2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

Full description at Econpapers || Download paper

2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

Full description at Econpapers || Download paper

2020Food–oil volatility spillovers and the impact of distinct biofuel policies on price uncertainties on feedstock markets. (2020). Saucedo, Alberto ; Herwartz, Helmut. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:3:p:387-402.

Full description at Econpapers || Download paper

2019DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. (2019). Yongdeng, XU ; Luc, BAUWENS. In: CORE Discussion Papers. RePEc:cor:louvco:2019025.

Full description at Econpapers || Download paper

2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

Full description at Econpapers || Download paper

2019Multivariate Analysis of East African Currency Exchange Rate Dynamics. (2019). Shiferaw, Yegnanew A. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:2:shiferaw.

Full description at Econpapers || Download paper

2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

Full description at Econpapers || Download paper

2019Volatility Spillovers among the Cryptocurrency Time Series. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-7.

Full description at Econpapers || Download paper

2019Stock and bond returns correlation in Korea: Local versus global risk during crisis periods. (2019). Ho, Young ; Fang, Zhongzheng ; Park, Keehwan. In: Journal of Asian Economics. RePEc:eee:asieco:v:65:y:2019:i:c:s1049007818303282.

Full description at Econpapers || Download paper

2019When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199.

Full description at Econpapers || Download paper

2019Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Fadziski, Marcin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

Full description at Econpapers || Download paper

2019Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

Full description at Econpapers || Download paper

2019International trade, foreign direct investments, and firms’ systemic risk : Evidence from the Netherlands. (2019). Braekers, Roel ; Vancauteren, Mark ; van Cauwenberge, Annelies ; Vandemaele, Sigrid . In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:361-386.

Full description at Econpapers || Download paper

2020Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33.

Full description at Econpapers || Download paper

2020Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend. (2020). Rumler, Fabio ; Mihailov, Alexander ; McKnight, Stephen. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:383-393.

Full description at Econpapers || Download paper

2020Exploring GDP growth volatility spillovers across countries. (2020). Mutshinda, Crispin ; ben Sita, Bernard ; Arayssi, Mahmoud ; Abosedra, Salah. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:577-589.

Full description at Econpapers || Download paper

2020Volatility transmission between oil prices and banks stock prices as a new source of instability: Lessons from the United States experience. (2020). Ehouman, Yao Axel. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:198-217.

Full description at Econpapers || Download paper

2020Returns, volatility and spillover – A paradigm shift in India?. (2020). Sampath, Aravind ; Dey, Shubhasis. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819304061.

Full description at Econpapers || Download paper

2020Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodríguez, 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

2020Volatility forecasting accuracy for Bitcoin. (2020). Posch, Peter ; Schmidtke, Philipp ; Kochling, Gerrit. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304239.

Full description at Econpapers || Download paper

2019Testing for structural breaks in factor copula models. (2019). Wied, Dominik ; Stark, Florian ; Manner, Hans. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:324-345.

Full description at Econpapers || Download paper

2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

Full description at Econpapers || Download paper

2019Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty. (2019). Babii, Andrii ; Ghysels, Eric ; Chen, XI. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:47-77.

Full description at Econpapers || Download paper

2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

Full description at Econpapers || Download paper

2019Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (2019). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:493-515.

Full description at Econpapers || Download paper

2020Dynamic conditional angular correlation. (2020). Chan, Kung-Sik ; Jarjour, Riad. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:137-150.

Full description at Econpapers || Download paper

2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

Full description at Econpapers || Download paper

2020Relevant parameter changes in structural break models. (2020). Dufays, Arnaud. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:46-78.

Full description at Econpapers || Download paper

2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

Full description at Econpapers || Download paper

2020Virtual 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

2020Nearest comoment estimation with unobserved factors. (2020). Boudt, Kris ; Verdonck, Tim ; Cornilly, Dries. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:381-397.

Full description at Econpapers || Download paper

2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

Full description at Econpapers || Download paper

2020Estimation of a multiplicative correlation structure in the large dimensional case. (2020). Hafner, Christian ; Tang, Haihan ; Linton, Oliver B. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:431-470.

Full description at Econpapers || Download paper

2020Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495.

Full description at Econpapers || Download paper

2019Flexible dynamic vine copula models for multivariate time series data. (2019). Lysy, Martin ; Czado, Claudia ; Acar, Elif F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:181-197.

Full description at Econpapers || Download paper

2019Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2019). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:42-65.

Full description at Econpapers || Download paper

2020Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68.

Full description at Econpapers || Download paper

2019Hierarchical GARCH. (2019). Brownlees, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:17-27.

Full description at Econpapers || Download paper

2019Exponential smoothing of realized portfolio weights. (2019). Seifert, Miriam Isabel ; Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237.

Full description at Econpapers || Download paper

2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

Full description at Econpapers || Download paper

2019The importance of oil assets for portfolio optimization: The analysis of firm level stocks. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Anwar, Awais ; Sarwar, Suleman. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:217-234.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Do all clean energy stocks respond homogeneously to oil price?. (2019). Pham, Linh. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:355-379.

Full description at Econpapers || Download paper

2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

Full description at Econpapers || Download paper

2020Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models. (2020). Ma, Feng ; Mei, Dexiang ; Wang, LU ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304219.

Full description at Econpapers || Download paper

2020Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300967.

Full description at Econpapers || Download paper

2020Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. (2020). Ferreiro, Javier Ojea. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s014098832030116x.

Full description at Econpapers || Download paper

2019The EIA WPSR release, OVX and crude oil internet interest. (2019). Nikkinen, Jussi ; Rothovius, Timo . In: Energy. RePEc:eee:energy:v:166:y:2019:i:c:p:131-141.

Full description at Econpapers || Download paper

2019Volatility spillover impact of world oil prices on leading Asian energy exporting and importing economies’ stock returns. (2019). Maqbool, Rashid ; Tang, Yong ; Ashfaq, Saleha. In: Energy. RePEc:eee:energy:v:188:y:2019:i:c:s0360544219316962.

Full description at Econpapers || Download paper

2020Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521919302224.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Systematic risk in cryptocurrency market: Evidence from DCC-MGARCH model. (2019). Canh, Nguyen ; Choti, Udomsak Wong ; Thong, Nguyen Trung ; Thanh, Su Dinh ; Dinhthanh, SU ; Wongchoti, Udomsak . In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:90-100.

Full description at Econpapers || Download paper

2020Non-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

2020Realized volatility forecast with the Bayesian random compressed multivariate HAR model. (2020). Chen, Langnan ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:781-799.

Full description at Econpapers || Download paper

2020A Model Confidence Set approach to the combination of multivariate volatility forecasts. (2020). Amendola, Alessandra ; Storti, Giuseppe ; Candila, Vincenzo ; Braione, Manuela. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:873-891.

Full description at Econpapers || Download paper

2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

Full description at Econpapers || Download paper

2020Pricing individual stock options using both stock and market index information. (2020). Stentoft, Lars ; Violante, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000.

Full description at Econpapers || Download paper

2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114.

Full description at Econpapers || Download paper

2020Affine multivariate GARCH models. (2020). Stentoft, Lars ; Rastegari, Javad ; Escobar-Anel, Marcos. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301618.

Full description at Econpapers || Download paper

2020Crude oil price changes and the United Kingdom real gross domestic product growth rate: An out-of-sample investigation. (2020). Nonejad, Nima. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494920300013.

Full description at Econpapers || Download paper

2019Volatility spillovers and hedging: Evidence from Asian oil-importing countries. (2019). Khalfaoui, Rabeh ; Sarwar, Suleman ; Dastgerdi, Hamidreza Ghorbani ; Waheed, Rida. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:479-488.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach. (2020). Zheng, Biao ; Chen, Yufeng ; Qu, Fang. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420718306950.

Full description at Econpapers || Download paper

2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

Full description at Econpapers || Download paper

2020Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices. (2020). Shi, Yanlin ; Ho, Kin-Yip ; Gao, Guangyuan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x18300441.

Full description at Econpapers || Download paper

2019Empirical distributions of stock returns: Mixed normal or kernel density?. (2019). Yan, Hanhuan ; Han, Liyan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:473-486.

Full description at Econpapers || Download paper

2019Forecasting downside risk in China’s stock market based on high-frequency data. (2019). Xie, Nan ; Gong, XU ; Chen, Sicen ; Wang, Zongrun . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:517:y:2019:i:c:p:530-541.

Full description at Econpapers || Download paper

2019Bayesian statistical inference for European options with stock liquidity. (2019). Lin, Lisha ; Gao, Rui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:518:y:2019:i:c:p:312-322.

Full description at Econpapers || Download paper

2019Uncertainty and oil volatility: New evidence. (2019). Cao, Xiang ; Zeng, Qing ; Mei, Dexiang ; Diao, Xiaohua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:155-163.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Uncertainty in Euro area and the bond spreads. (2020). Siriopoulos, Costas ; Svingou, Argyro ; Tsagkanos, Athanasios ; Gkillas, Konstantinos. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315109.

Full description at Econpapers || Download paper

2020Geopolitical risk, uncertainty and Bitcoin investment. (2020). Uddin, Gazi ; al Mamun, MD ; Kang, Sang Hoon ; Suleman, Muhammad Tahir. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317522.

Full description at Econpapers || Download paper

2020Volatility modeling and the asymmetric effect for China’s carbon trading pilot market. (2020). Zheng, Zeyu ; Fu, Yang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319004.

Full description at Econpapers || Download paper

2020Dynamic return connectedness across global commodity futures markets: Evidence from time and frequency domains. (2020). Chen, Xiaodan ; Li, Xiafei ; Zhang, Zeming ; Wang, Yilin ; Wei, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319326.

Full description at Econpapers || Download paper

2019Interdependence among agricultural commodity markets, macroeconomic factors, crude oil and commodity index. (2019). Fernandez-Diaz, Jose M ; Morley, Bruce. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:174-194.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Investigating volatility transmission and hedging properties between Bitcoin and Ethereum. (2019). Papadamou, Stephanos ; Kyriazis, Nikolaos A ; Koulis, Alexandros ; Beneki, Christina . In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:219-227.

Full description at Econpapers || Download paper

2019Feedback trading: Strategies during day and night with global interconnectedness. (2019). Rudolf, Markus ; Kusen, Alex. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:438-463.

Full description at Econpapers || Download paper

2020The impact of co-jumps in the oil sector. (2020). Mauad, Roberto ; Laurini, Márcio ; Lucena, Fernando Antonio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301758.

Full description at Econpapers || Download paper

2019Ergodicity conditions for a double mixed Poisson autoregression. (2019). Demmouche, Nacer ; Aknouche, Abdelhakim. In: Statistics & Probability Letters. RePEc:eee:stapro:v:147:y:2019:i:c:p:6-11.

Full description at Econpapers || Download paper

2020The impact of wind and non-wind factors on PM2.5 levels. (2020). Taqi, Syed Ali ; Lin, Weiran ; Xu, Bing. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:154:y:2020:i:c:s0040162519316841.

Full description at Econpapers || Download paper

2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios, Carlos. In: Textos para discussão. RePEc:fgv:eesptd:505.

Full description at Econpapers || Download paper

2020Can Forecast Errors Predict Financial Crises? Exploring the Properties of a New Multivariate Credit Gap. (2020). Afanasyeva, Elena. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-45.

Full description at Econpapers || Download paper

2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_01.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500. (2019). Schneider, Lucas ; Stubinger, Johannes. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:51-:d:218983.

Full description at Econpapers || Download paper

2020Analytical Gradients of Dynamic Conditional Correlation Models. (2020). Caporin, Massimiliano ; Lucchetti, Riccardo ; Palomba, Giulio . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:3:p:49-:d:328491.

Full description at Econpapers || Download paper

2020The Effectiveness of Self-Sufficiency Policy: International Price Transmissions in Beef Markets. (2020). Tanaka, Tetsuji ; Guo, Jin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:15:p:6073-:d:391141.

Full description at Econpapers || Download paper

2020Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods. (2020). Just, Magorzata ; Uczak, Aleksandra. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2571-:d:336499.

Full description at Econpapers || Download paper

2020Business cycle dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model. (2020). Ferrara, Laurent ; Doz, Catherine ; Pionnier, Pierre-Alain. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02443364.

Full description at Econpapers || Download paper

2020Business cycle dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model. (2020). Pionnier, Pierre-Alain ; Ferrara, Laurent ; Doz, Catherine. In: Working Papers. RePEc:hal:wpaper:halshs-02443364.

Full description at Econpapers || Download paper

2020Looking into the Rear-View Mirror: Lessons from Japan for the Eurozone and the U.S?. (2020). Siklos, Pierre L. In: IMES Discussion Paper Series. RePEc:ime:imedps:20-e-02.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
paper9
2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2009Bayesian option pricing using mixed normal heteroskedasticity models.(2009) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2010Multivariate Option Pricing with Time Varying Volatility and Correlations In: CREATES Research Papers.
[Full Text][Citation analysis]
paper19
2010Multivariate Option Pricing With Time Varying Volatility and Correlations.(2010) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2010Multivariate option pricing with time varying volatility and correlations.(2010) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2011Multivariate option pricing with time varying volatility and correlations.(2011) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
article
2010Multivariate Option Pricing with Time Varying Volatility and Correlations.(2010) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper7
2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models.(2010) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2010Option pricing with asymmetric heteroskedastic normal mixture models.(2010) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper39
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
paper
2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers.
[Full Text][Citation analysis]
paper4
2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options.(2012) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2009Mixed Exponential Power Asymmetric Conditional Heteroskedasticity In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article4
2007Mixed exponential power asymmetric conditional heteroskedasticity.(2007) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2007MIXED EXPONENTIAL POWER ASYMMETRIC CONDITIONAL HETEROSKEDASTICITY.(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2007Mixed Exponential Power Asymmetric Conditional Heteroskedasticity.(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper2
2009A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: CORE Discussion Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality.(2009) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper73
2013On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73
article
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73
paper
2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper51
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51
paper
2003Semiparametric multivariate GARCH models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper0
2003Multivariate GARCH models: a survey In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper823
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 823
article
2003Estimation of temporally aggregated multivariate GARCH models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper2
2003Bayesian clustering of many GARCH models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper16
2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
2003Clustered panel data models: an efficient approach for nowcasting from poor data In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper4
2005Clustered panel data models: an efficient approach for nowcasting from poor data.(2005) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2004Dynamic optimal portfolio selection in a VaR framework In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper2
2004Dynamic Optimal Portfolio Selection in a VaR Framework.(2004) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2005Bayesian inference for the mixed conditional heteroskedasticity model In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper8
2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2006Regime switching GARCH models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper16
2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2006Multivariate mixed normal conditional heteroskedasticity In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper27
2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
article
2006Nonparametric density estimation for positive time series In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper6
2010Nonparametric density estimation for positive time series.(2010) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2006Nonparametric Density Estimation for Positive Time Series.(2006) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2006Density and hazard rate estimation for censored and a-mixing data using gamma kernels In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper0
2006Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels.(2006) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2007Semiparametric multivariate density estimation for positive data using copulas In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper3
2009Semiparametric multivariate density estimation for positive data using copulas.(2009) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2007Semiparametric Multivariate Density Estimation for Positive Data Using Copulas..(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2007Semiparametric Multivariate Density Estimation for Positive Data Using Copulas.(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2007Theory and inference for a Markov switching GARCH model In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper57
2007Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57
paper
2010Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57
article
2007Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57
paper
2007Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57
paper
2007Nonparametric density estimation for multivariate bounded data In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper0
2007Nonparametric density estimation for multivariate bounded data..(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2007Nonparametric Density Estimation for Multivariate Bounded Data.(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2008Asymptotic properties of the Bernstein density copula for dependent data In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper0
2008Asymptotic properties of the Bernstein density copula for dependent data.(2008) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2008Style rotation and performance persistence of mutual funds In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper0
2009Consistent ranking of multivariate volatility models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper9
2009On marginal likelihood computation in change-point models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper9
2012On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2009On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2010On the forecasting accuracy of multivariate GARCH models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper108
2010On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108
paper
2007SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article29
2004Semiparametric multivariate volatility models.(2004) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2004BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
paper0
2010Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article10
2004Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models In: Cahiers de recherche.
[Full Text][Citation analysis]
paper8
2005Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models.(2005) In: Computing in Economics and Finance 2005.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2009Evaluating portfolio Value-at-Risk using semi-parametric GARCH models.(2009) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2002Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002.
[Citation analysis]
paper0
2004Econometrics In: Papers.
[Full Text][Citation analysis]
paper29

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2020. Contact: CitEc Team