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Jeroen VK Rombouts : Citation Profile


Are you Jeroen VK Rombouts?

ESSEC Business School

12

H index

12

i10 index

1020

Citations

RESEARCH PRODUCTION:

15

Articles

73

Papers

RESEARCH ACTIVITY:

   11 years (2002 - 2013). See details.
   Cites by year: 92
   Journals where Jeroen VK Rombouts has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 36 (3.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pro399
   Updated: 2018-02-17    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 (83)

Caporin, Massimiliano (63)

Bauwens, Luc (30)

Asai, Manabu (26)

Stentoft, Lars (24)

Hafner, Christian (19)

Laurent, Sébastien (17)

Maheu, John (17)

Haas, Markus (16)

Chang, Chia-Lin (16)

Tansuchat, Roengchai (13)

Cites to:

Bauwens, Luc (20)

Bollerslev, Tim (17)

Engle, Robert (15)

Laurent, Sébastien (14)

gourieroux, christian (10)

Stentoft, Lars (10)

Christoffersen, Peter (10)

Lunde, Asger (9)

Hansen, Peter (8)

Drost, Feike C. (8)

Scaillet, Olivier (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 Economía2

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 ; Terasvirta, Timo ; Silvennoinen, Annastiina . In: CREATES Research Papers. RePEc:aah:create:2017-28.

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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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2017A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2017). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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

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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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2017Bayesian semiparametric multivariate stochastic volatility with an application to international volatility 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). Lütkepohl, Helmut ; Schlaak, Thore ; 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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2017The Interrelationship between Crude Oil Price Volatility and Money Market Rate Volatility in a Developing, Oil-Producing Economy. (2017). Kalu, Emenike. In: Eastern European Business and Economics Journal. RePEc:eeb:articl:v:3:y:2017:n:1:p:28-47.

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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). 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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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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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. 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). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro. 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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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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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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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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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). 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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2017Geopolitical risks and the oil-stock nexus over 1899–2016. (2017). Kollias, Christos ; GUPTA, RANGAN ; Antonakakis, Nikolaos ; Papadamou, Stephanos. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:165-173.

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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). Hotta, Luiz ; Ruiz, Esther ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). 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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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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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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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). Ndako, Umar ; Onipede, Samuel F ; Tule, Moses K. 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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2017Nominal uncertainty, real uncertainty and macroeconomic performance in a time-varying asymmetric framework: Implications for monetary policy. (2017). Habibullah, Muzafar Shah ; Baharumshah, Ahmad Zubaidi ; Hook, Law Siong . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:75-93.

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

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2017Mapping the Stocks in MICEX: Who Is Central in Moscow Stock Exchange?. (2017). Vladimirov, Evgenii . In: EUSP Department of Economics Working Paper Series. RePEc:eus:wpaper:ec0117.

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2017The Univariate Collapsing Method for Portfolio Optimization. (2017). Paolella, Marc S. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:18-:d:97715.

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2017Recent Developments in Copula Models. (2017). Fermanian, Jean-David . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:34-:d:105663.

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2017Volatility Spillover between Water, Energy and Food. (2017). Peri, Massimo ; Baldi, Lucia ; Vandone, Daniela. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:6:p:1071-:d:101981.

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

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2017Dynamic Linkages between Gold and Equity Prices: Evidence from Indian Financial Services and Information Technology Companies. (2017). Shubhasis, Dey ; Aravind, Sampath . In: Working papers. RePEc:iik:wpaper:251.

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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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2017Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis. (2017). Zhou, Wei. In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:2:d:10.1007_s10614-016-9606-z.

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2017A geometric treatment of time-varying volatilities. (2017). Han, Chulwoo ; Kang, Jangkoo ; Park, Frank C. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-017-0618-0.

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2018Determinants of equity return correlations: a case study of the Amman Stock Exchange. (2018). Alomari, Mohammad ; Tantisantiwong, Nongnuch ; Power, David M. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0622-4.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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

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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2017News Implied Volatility and the Stock-Bond Nexus: Evidence from Historical Data for the USA and the UK Markets. (2017). Wohar, Mark ; Papadamou, Stephanos ; Kollias, Christos ; GUPTA, RANGAN. 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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2017Semiparametric Estimation of Multivariate GARCH Models. (2017). MORANA, CLAUDIO. In: Working Paper Series. RePEc:rim:rimwps:17-02.

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2017Relationship between Crude Oil Prices and the U.S. Dollar Exchange Rates: Constant or Time-varying?. (2017). Le, Duong . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:5:f:7_5_6.

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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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2017Euro area banks interest rate risk exposure to level, slope and curvature swings in the yield curve. (2017). Lütkebohmert, Eva ; Pliszka, Kamil ; Markovych, Mariia ; Lutkebohmert, Eva ; Foos, Daniel . In: Discussion Papers. RePEc:zbw:bubdps:242017.

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2017Time varying and asymmetric effect between sovereign credit market and financial market: The asymmetric DCC model. (2017). el Abed, Riadh ; Zardoub, Amna. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201797.

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2017Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework. (2017). Thiem, Christopher. In: Ruhr Economic Papers. RePEc:zbw:rwirep:674.

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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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2010Multivariate Option Pricing with Time Varying Volatility and Correlations In: CREATES Research Papers.
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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: CIRANO Working Papers.
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This paper has another version. Agregated cites: 14
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2010Multivariate option pricing with time varying volatility and correlations.(2010) In: CORE Discussion Papers.
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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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This paper has another version. Agregated cites: 7
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2010Option pricing with asymmetric heteroskedastic normal mixture models.(2010) In: CORE Discussion Papers.
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2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: CORE Discussion Papers.
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2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers.
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2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options.(2012) In: CIRANO Working Papers.
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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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2007Mixed Exponential Power Asymmetric Conditional Heteroskedasticity.(2007) In: Cahiers de recherche.
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2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality In: CIRANO Working Papers.
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2009A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: CORE Discussion Papers.
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2009A nonparametric copula based test for conditional independence with applications to granger causality.(2009) In: UC3M Working papers. Economics.
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2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality.(2009) In: Cahiers de recherche.
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2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers.
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2013On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics.
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2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
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2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
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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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2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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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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2003Estimation of temporally aggregated multivariate GARCH models In: CORE Discussion Papers.
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2003Bayesian clustering of many GARCH models In: CORE Discussion Papers.
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2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
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2003Clustered panel data models: an efficient approach for nowcasting from poor data In: CORE Discussion Papers.
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2005Clustered panel data models: an efficient approach for nowcasting from poor data.(2005) In: International Journal of Forecasting.
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2004Dynamic optimal portfolio selection in a VaR framework In: CORE Discussion Papers.
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2004Dynamic Optimal Portfolio Selection in a VaR Framework.(2004) In: Cahiers de recherche.
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