Jeroen VK Rombouts : Citation Profile


Are you Jeroen VK Rombouts?

ESSEC Business School

12

H index

12

i10 index

1195

Citations

RESEARCH PRODUCTION:

15

Articles

73

Papers

RESEARCH ACTIVITY:

   11 years (2002 - 2013). See details.
   Cites by year: 108
   Journals where Jeroen VK Rombouts has often published
   Relations with other researchers
   Recent citing documents: 191.    Total self citations: 37 (3 %)

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   Permalink: http://citec.repec.org/pro399
   Updated: 2019-02-13    RAS profile: 2015-08-24    
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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 (88)

Caporin, Massimiliano (64)

Asai, Manabu (30)

Bauwens, Luc (27)

Stentoft, Lars (24)

Hafner, Christian (20)

Sentana, Enrique (18)

Laurent, Sébastien (18)

Chang, Chia-Lin (18)

Dufays, Arnaud (18)

Ruiz, Esther (17)

Cites to:

Bauwens, Luc (20)

Bollerslev, Tim (17)

Engle, Robert (15)

Laurent, Sébastien (14)

Christoffersen, Peter (10)

gourieroux, christian (10)

Stentoft, Lars (10)

Lunde, Asger (9)

Scaillet, Olivier (8)

Hansen, Peter (8)

Drost, Feike C. (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 (2018 and 2017)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

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2017Asymmetric Price Volatility Interaction between U.S. Food and Energy Markets. (2017). Saghaian, Sayed H ; Chen, BO ; Walters, Cory G ; Nemati, Mehdi . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258240.

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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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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2018When panic makes you blind: a chaotic route to systemic risk. (2018). Mazzarisi, Piero ; Marmi, Stefano ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1805.00785.

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2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2018Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2018Asset price volatility in EU-6 economies: how large is the role played by the ECB?. (2018). Colabella, Andrea ; Ciarlone, Alessio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1175_18.

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2017Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach. (2017). Gupta, Rakesh ; Jithendranathan, Thadavillil ; Yang, Junhao . In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:2:p:134-162.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

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2017Functional Generalized Autoregressive Conditional Heteroskedasticity. (2017). Horvath, Lajos ; Pellatt, Daniel F ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:3-21.

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2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2018Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/6.

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2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12682.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international stock-market co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2017On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach. (2017). el Abed, Riadh. In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00370.

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2017Risk parity in the brazilian market. (2017). de Souza, Pierre O ; Righi, Marcelo B ; Borenstein, Denis ; Caldeira, Joo F ; Filomena, Tiago P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00061.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2017The Interrelationship between Crude Oil Price Volatility and Money Market Rate Volatility in a Developing, Oil-Producing Economy. (2017). Kalu O., Emenike. In: Eastern European Business and Economics Journal. RePEc:eeb:articl:v:3:y:2017:n:1:p:28-47.

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2018New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi. In: Applied Energy. RePEc:eee:appene:v:229:y:2018:i:c:p:1202-1217.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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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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2017Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

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2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

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2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

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2017Measuring systemic risk with regime switching in tails. (2017). Liu, Xiaochun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:55-72.

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2018Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sharma, Amit ; Sadorsky, Perry. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:278-295.

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2018Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses. (2018). Tsuji, Chikashi. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:167-185.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2017Do precious metal prices help in forecasting South African inflation?. (2017). Katzke, Nico ; GUPTA, RANGAN ; Balcilar, Mehmet. 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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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2018Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas. (2018). de Oliveira, Felipe A ; Da, Cassio ; de Jesus, Diego P ; Maia, Sinezio F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:83-100.

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2018Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space. (2018). Augustyniak, Maciej ; Dufays, Arnaud. In: Economics Letters. RePEc:eee:ecolet:v:170:y:2018:i:c:p:122-126.

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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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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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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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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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

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2017Cholesky realized stochastic volatility model. (2017). Omori, Yasuhiro ; Piao, Haixiang ; Lopes, Hedibert F ; Shirota, Shinichiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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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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2018A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

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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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2017Forecasting aggregate stock market volatility using financial and macroeconomic predictors: Which models forecast best, when and why?. (2017). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:131-154.

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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2018Markov switching GARCH models for Bayesian hedging on energy futures markets. (2018). Billio, Monica ; Osuntuyi, Anthony ; Casarin, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:545-562.

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2018The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies. (2018). Ratti, Ronald ; Kang, Wensheng ; Ewing, Bradley T. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:505-516.

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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2018Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409.

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2018Forecasting Chinas total energy demand and its structure using ADL-MIDAS model. (2018). Lin, Boqiang ; He, Yongda. In: Energy. RePEc:eee:energy:v:151:y:2018:i:c:p:420-429.

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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.

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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). Potì, Valerio ; 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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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2018Illiquidity and volatility spillover effects in equity markets during and after the global financial crisis: An MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna . In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:208-220.

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2017Geopolitical risks and the oil-stock nexus over 1899–2016. (2017). Papadamou, Stephanos ; Kollias, Christos ; GUPTA, RANGAN ; Antonakakis, Nikolaos. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:165-173.

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2018Dynamic linkages between gold and equity prices: Evidence from Indian financial services and information technology companies. (2018). Dey, Shubhasis ; Sampath, Aravind. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:41-46.

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2018Volatility co-movements and spillover effects within the Eurozone economies: A multivariate GARCH approach using the financial stress index. (2018). Tsopanakis, Andreas ; Sogiakas, Vasilios ; MacDonald, Ronald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:17-36.

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2017Infinite hidden markov switching VARs with application to macroeconomic forecast. (2017). Hou, Chenghan. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1025-1043.

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2017Forecasting with VAR models: Fat tails and stochastic volatility. (2017). Pinter, Gabor ; mumtaz, haroon ; Chiu, Ching-Wai (Jeremy). In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:1124-1143.

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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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2018Forecasting crude oil price volatility. (2018). Herrera, Ana Maria ; Pastor, Daniel ; Hu, Liang. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:622-635.

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2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

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2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Füss, Roland ; Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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2018Sector spillovers in credit markets. (2018). Collet, Jerome ; Ielpo, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:267-278.

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2018Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168.

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2018Weak convergence of the weighted empirical beta copula process. (2018). Berghaus, Betina ; Segers, Johan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:166:y:2018:i:c:p:266-281.

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2018News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets. (2018). Gupta, Rangan ; Wohar, Mark E ; Papadamou, Stephanos ; Kollias, Christos. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:47-48:y:2018:i::p:76-90.

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2017Analysis of the efficiency–integration nexus of Japanese stock market. (2017). Rizvi, Syed Aun R. ; 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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2017The dynamic conditional relationship between stock market returns and implied volatility. (2017). Park, Sung Y. ; Song, Jeongseok ; Ryu, Doojin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:638-648.

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2018Leverage effect, economic policy uncertainty and realized volatility with regime switching. (2018). Duan, Yinying ; Liu, Zhicao ; Zeng, Qing ; Chen, Wang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:148-154.

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2018Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39.

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2018Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?. (2018). Peng, Huan ; Diao, Xiaohua ; Mei, Dexiang ; Chen, Ruoxun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:78-85.

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2018Volatility forecasting: Global economic policy uncertainty and regime switching. (2018). Yu, Miao ; Song, Jinguo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:316-323.

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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.

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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.

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2018Long-term stock market volatility and the influence of terrorist attacks in Europe. (2018). Gurdgiev, Constantin ; Corbet, Shaen ; Meegan, Andrew. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:118-131.

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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, Myeonghyeon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:309-325.

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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2017Oil price shocks and volatility spillovers in the Nigerian sovereign bond market. (2017). tule, moses ; Ndako, Umar ; Onipede, Samuel F. In: Review of Financial Economics. RePEc:eee:revfin:v:35:y:2017:i:c:p:57-65.

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2017On the dynamic dependence and investment performance of crude oil and clean energy stocks. (2017). Ahmad, Wasim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:376-389.

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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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paper
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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paper15
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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This paper has another version. Agregated cites: 15
paper
2011Multivariate option pricing with time varying volatility and correlations.(2011) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 15
article
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: 15
paper
2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models In: CREATES Research Papers.
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paper7
2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models.(2010) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 7
paper
2010Option pricing with asymmetric heteroskedastic normal mixture models.(2010) In: CORE Discussion Papers.
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This paper has another version. Agregated cites: 7
paper
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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paper36
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 36
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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paper3
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: 3
paper
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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paper57
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: 57
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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paper42
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: CORE Discussion Papers.
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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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2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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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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paper4
2005Clustered panel data models: an efficient approach for nowcasting from poor data.(2005) In: International Journal of Forecasting.
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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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paper8
2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
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paper
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
2006Regime switching GARCH models In: CORE Discussion Papers.
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paper16
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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2006Nonparametric density estimation for positive time series In: CORE Discussion Papers.
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paper5
2010Nonparametric density estimation for positive time series.(2010) In: Computational Statistics & Data Analysis.
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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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paper48
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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2007Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche.
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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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paper78
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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article7
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: 5
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2002Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002.
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2004Econometrics In: Papers.
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