Jeroen VK Rombouts : Citation Profile


Are you Jeroen VK Rombouts?

ESSEC Business School

14

H index

18

i10 index

1737

Citations

RESEARCH PRODUCTION:

15

Articles

73

Papers

RESEARCH ACTIVITY:

   11 years (2002 - 2013). See details.
   Cites by year: 157
   Journals where Jeroen VK Rombouts has often published
   Relations with other researchers
   Recent citing documents: 187.    Total self citations: 41 (2.31 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro399
   Updated: 2023-05-27    RAS profile: 2023-03-16    
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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:

Caporin, Massimiliano (56)

Bauwens, Luc (47)

Hafner, Christian (31)

Laurent, Sébastien (28)

Asai, Manabu (28)

Stentoft, Lars (28)

Francq, Christian (26)

Dufays, Arnaud (24)

Sentana, Enrique (23)

Fiorentini, Gabriele (22)

Ruiz, Esther (20)

Cites to:

Bauwens, Luc (30)

Bollerslev, Tim (24)

Laurent, Sébastien (19)

Engle, Robert (18)

Stentoft, Lars (13)

gourieroux, christian (11)

Chen, Zhiwu (11)

Cao, Charles (11)

Lunde, Asger (10)

Hansen, Peter (9)

Drost, Feike C. (9)

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 (2022 and 2021)


YearTitle of citing document
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

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2021A GARCH Tutorial with R. (2021). Perlin, Marcelo ; Vancin, Daniel Francisco ; Mastella, Mauro ; Ramos, Henrique Pinto. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:25:y:2021:i:1:1420.

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2021Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach. (2021). Sahoo, Malayaranjan ; Mishra, Amritkant ; Srivastava, Purwa ; Gupta, Mohini. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:105-120.

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2021Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:1912.09002.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2021Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCH. (2021). Dutta, Abhishek ; Mehtab, Sidra ; Sen, Jaydip. In: Papers. RePEc:arx:papers:2105.13898.

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2021Price graphs: Utilizing the structural information of financial time series for stock prediction. (2021). Chen, Xueyuan ; Xu, KE ; Wu, Junran ; Zhao, Jichang ; Li, Shangzhe. In: Papers. RePEc:arx:papers:2106.02522.

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2021Closed-form portfolio optimization under GARCH models. (2021). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2109.00433.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2022CTMSTOU driven markets: simulated environment for regime-awareness in trading policies. (2022). Balch, Tucker ; Moulin, Aymeric ; Amrouni, Selim. In: Papers. RePEc:arx:papers:2202.00941.

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2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

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2022Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285.

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2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2022Estimating value at risk: LSTM vs. GARCH. (2022). Schmidt, Thorsten ; Safarveisi, Sajad ; Pitera, Marcin ; Ormaniec, Weronika. In: Papers. RePEc:arx:papers:2207.10539.

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2022Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952.

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2022Systemic Risk of Optioned Portfolios: Controllability and Optimization. (2022). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Papers. RePEc:arx:papers:2209.04685.

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2022Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605.

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2023A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs. (2023). Khorrami, Farshad ; Krishnamurthy, Prashanth ; Fu, Hao ; Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2301.10869.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2023). Wilms, Ines ; Rombouts, Jeroen ; Hu, Yu Jeffrey. In: Papers. RePEc:arx:papers:2303.01887.

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2021Interdependence among West African stock markets: A dimension of regional financial integration. (2021). Kalu O., Emenike. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:288-299.

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2021AN OVERVIEW OF DYNAMIC MODEL AVERAGING TECHNIQUES IN TIME?SERIES ECONOMETRICS. (2021). Nonejad, Nima. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:566-614.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2022On the Relationship between Uhlig Extended and beta?Bartlett Processes. (2022). Irie, Kaoru ; Pea, Victor. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:147-153.

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2022Stationarity and ergodicity of Markov switching positive conditional mean models. (2022). Francq, Christian ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:436-459.

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2022Dynamic correlation between crude oil and agricultural futures markets. (2022). Kang, Hanwen ; Yan, BO ; Chen, Zhuo. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:3:p:1798-1849.

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2021Dynamics of Money Market Interest Rates in Ghana: Time?Frequency Analysis of Volatility Spillovers. (2021). Schaling, Eric ; Alagidede, Imhotep Paul ; Akosah, Nana Kwame. In: South African Journal of Economics. RePEc:bla:sajeco:v:89:y:2021:i:4:p:555-589.

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2021Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7.

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2022Copula-based estimation of health concentration curves with an application to COVID-19. (2022). Taamouti, Abderrahim ; Doukali, Mohamed ; Bouezmarni, Taoufik. In: CIRANO Working Papers. RePEc:cir:cirwor:2022s-07.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05.

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2023Stock Market Liquidity during Periods of Distress and its Implications: Evidence from International Financial Markets. (2023). Enow, Samuel Tabot. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-01-1.

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2022Do Energy and Gold Markets Interact with Islamic Stocks? Evidence from the Asia-Pacific Markets. (2022). Usmonov, Jaloliddin ; Mukhamedov, Farkhod ; Avazkhodjaev, Salokhiddin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-03-21.

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2021Assessing the performance of deep learning models for multivariate probabilistic energy forecasting. (2021). Honkapuro, Samuli ; Kaarna, Arto ; Lensu, Lasse ; Kuronen, Toni ; Mashlakov, Aleksei. In: Applied Energy. RePEc:eee:appene:v:285:y:2021:i:c:s0306261920317748.

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2021Spillover across sovereign bond markets between the US and ASEAN4 economies. (2021). Nguyen, Huy Toan ; Yiu, Matthew S ; Tsang, Andrew. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000725.

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2021Analyzing causality between epidemics and oil prices: Role of the stock market. (2021). Gong, Qiang ; Jang, Chyi-Lu ; Chang, Chun-Ping ; Sui, BO. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:70:y:2021:i:c:p:148-158.

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2021Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Nekhili, Ramzi ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:73-96.

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2021Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?. (2021). Rude, James ; Qiu, Feng ; An, Henry. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001413.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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2022Market regime detection via realized covariances. (2022). Ciciretti, Vito ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000785.

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2022Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan C ; Ojea-Ferreiro, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602.

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2021Evidence on time-varying inflation synchronization. (2021). Szafranek, Karol. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:1-13.

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2021Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. (2021). Ng, Kooi-Huat ; Koh, You-Beng ; Tan, Chia-Yen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000164.

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2022Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction. (2022). Gao, Tianqing ; Mei, Xiaowen ; Pan, Qunxing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001947.

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2022Learning, disagreement and inflation forecasting. (2022). Liu, Xiliang ; Yang, Xinglin ; Chen, JI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001693.

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2023Asymmetric volatility impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426.

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2021New testing approaches for mean–variance predictability. (2021). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:516-538.

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2022Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2022Infinite Markov pooling of predictive distributions. (2022). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:302-321.

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2023Time series analysis of COVID-19 infection curve: A change-point perspective. (2023). Shao, Xiaofeng ; Zhao, Zifeng ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:1-17.

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2023Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520.

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2021Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley . In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94.

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2021Flexible Mixture Priors for Large Time-varying Parameter Models. (2021). Hauzenberger, Niko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:87-108.

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2022Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo. (2022). , William ; Chen, Feng. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:50-68.

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2022High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203.

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2023Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2021Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004874.

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2022Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China. (2022). Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002730.

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2022Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries. (2022). Brooks, Robert ; Mohsen, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Tanin, Tauhidul Islam. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005187.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2021VCRIX — A volatility index for crypto-currencies. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416.

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2022Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320.

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2022What drives cross-market correlations during the United States Q.E.?. (2022). Vo, Xuan Vinh ; Do, Hung Xuan ; Brooks, Robert ; Yip, Pick Schen. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002721.

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2023Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033.

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2022Interdependence, contagion and speculative bubbles in cryptocurrency markets. (2022). Bazan-Palomino, Walter. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003555.

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2021On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities. (2021). Yfanti, S ; Karanasos, M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000111.

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2022Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. (2022). Roestel, Jan ; Herwartz, Helmut. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000531.

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2022Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993.

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2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

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2021Multivariate volatility forecasts for stock market indices. (2021). Croux, Christophe ; Rombouts, Jeroen ; Wilms, Ines. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:484-499.

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2021A dynamic conditional approach to forecasting portfolio weights. (2021). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126.

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2022Comparing probabilistic forecasts of the daily minimum and maximum temperature. (2022). Taylor, James W ; Meng, Xiaochun. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:267-281.

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2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

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2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

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2022A geometric framework for covariance dynamics. (2022). Park, Frank C ; Han, Chulwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002703.

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2022Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048.

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2021Improving estimates of job matching efficiency with different measures of unemployment. (2021). Yung, Julieta ; Welch, Sarah ; Crawley, Andrew. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:67:y:2021:i:c:s0164070420302032.

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2021Estimating and forecasting dynamic correlation matrices: A nonlinear common factor approach. (2021). Yang, Yuhong ; Rolling, Craig ; Zhang, Yongli. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:183:y:2021:i:c:s0047259x20302918.

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2021Asymptotic properties of Bernstein estimators on the simplex. (2021). Ouimet, Frederic. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:185:y:2021:i:c:s0047259x21000622.

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2022Asymptotic properties of Dirichlet kernel density estimators. (2022). Tolosana-Delgado, Raimon ; Ouimet, Frederic. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:187:y:2022:i:c:s0047259x2100110x.

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2022A symmetric matrix-variate normal local approximation for the Wishart distribution and some applications. (2022). Ouimet, Frederic. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001913.

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2022Estimation of multivariate asymmetric power GARCH models. (2022). Saussereau, B ; Kadmiri, O ; Mainassara, Boubacar Y. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x2200077x.

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2021The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk. (2021). ben Maatoug, Abderrazek ; Triki, Mohamed Bilel . In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s030142072030903x.

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2021Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies. (2021). Miller, Stephen ; Canarella, Giorgio ; Asl, Mahdi Ghaemi. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420720310102.

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2022Asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS. (2022). Chen, Yufeng ; Xu, Jing ; Hu, May. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003038.

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2022Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold. (2022). Zaman, Umer ; Kocak, Emrah ; Shehzad, Khurram ; Liu, Xiaoxing. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004287.

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2022Closed-form portfolio optimization under GARCH models. (2022). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Operations Research Perspectives. RePEc:eee:oprepe:v:9:y:2022:i:c:s2214716021000300.

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2021The numerical simulation of Quanto option prices using Bayesian statistical methods. (2021). Wu, Jianhong ; Gao, Rui ; Li, Yaqiong ; Lin, Lisha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:567:y:2021:i:c:s0378437120309274.

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2022Deep learning in predicting cryptocurrency volatility. (2022). Piscopo, Gabriella ; Levantesi, Susanna ; Damato, Valeria. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001704.

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2021Evaluation of market risk associated with hedging a credit derivative portfolio. (2021). Novales, Alfonso ; Chamizo, Alvaro. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:411-430.

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2022Gold, silver, and the US dollar as harbingers of financial calm and distress. (2022). Gillman, Max ; Cevik, Emrah I ; Dibooglu, Sel. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:200-210.

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2021Regime-switching energy price volatility: The role of economic policy uncertainty. (2021). Etienne, Xiaoli L ; Scarcioffolo, Alexandre R. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:336-356.

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2022On bank return and volatility spillovers: Identifying transmitters and receivers during crisis periods. (2022). Giannellis, Nikolaos ; Floros, Christos ; Apostolakis, George N. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:156-176.

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2022Forecasting volatility of Bitcoin. (2022). Molnár, Peter ; Polasik, Micha ; Molnar, Peter ; Lind, Andrea Falk ; Bergsli, Lykke Overland. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001616.

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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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paper
2009Bayesian option pricing using mixed normal heteroskedasticity models.(2009) In: LIDAM Discussion Papers CORE.
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paper
2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 10
paper
2010Multivariate Option Pricing with Time Varying Volatility and Correlations In: CREATES Research Papers.
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paper21
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: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 21
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: 21
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: 21
paper
2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models In: CREATES Research Papers.
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paper10
2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models.(2010) In: CIRANO Working Papers.
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This paper has another version. Agregated cites: 10
paper
2010Option pricing with asymmetric heteroskedastic normal mixture models.(2010) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 10
paper
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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paper55
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: 55
paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 55
paper
2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers.
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paper6
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: 6
paper
2009Mixed Exponential Power Asymmetric Conditional Heteroskedasticity In: Studies in Nonlinear Dynamics & Econometrics.
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article6
2007Mixed exponential power asymmetric conditional heteroskedasticity.(2007) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 6
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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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This paper has another version. Agregated cites: 6
paper
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality In: CIRANO Working Papers.
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paper6
2009A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 6
paper
2009A nonparametric copula based test for conditional independence with applications to granger causality.(2009) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 6
paper
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality.(2009) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 6
paper
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers.
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paper88
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: 88
article
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 88
paper
2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
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paper64
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 64
paper
2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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paper
2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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paper
2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 64
paper
2003Semiparametric multivariate GARCH models In: LIDAM Discussion Papers CORE.
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paper0
2003Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE.
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paper1037
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 1037
article
2003Estimation of temporally aggregated multivariate GARCH models In: LIDAM Discussion Papers CORE.
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paper5
2003Bayesian clustering of many GARCH models In: LIDAM Discussion Papers CORE.
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paper18
2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
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This paper has another version. Agregated cites: 18
article
2003Clustered panel data models: an efficient approach for nowcasting from poor data In: LIDAM Discussion Papers CORE.
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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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This paper has another version. Agregated cites: 4
article
2004Dynamic optimal portfolio selection in a VaR framework In: LIDAM Discussion Papers CORE.
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paper3
2004Dynamic Optimal Portfolio Selection in a VaR Framework.(2004) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 3
paper
2005Bayesian inference for the mixed conditional heteroskedasticity model In: LIDAM Discussion Papers CORE.
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paper9
2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 9
paper
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
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This paper has another version. Agregated cites: 9
article
2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 9
paper
2006Regime switching GARCH models In: LIDAM Discussion Papers CORE.
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paper24
2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 24
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2006Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE.
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paper33
2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 33
paper
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 33
article
2006Nonparametric density estimation for positive time series In: LIDAM Discussion Papers CORE.
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paper12
2010Nonparametric density estimation for positive time series.(2010) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 12
article
2006Nonparametric Density Estimation for Positive Time Series.(2006) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 12
paper
2006Density and hazard rate estimation for censored and a-mixing data using gamma kernels In: LIDAM Discussion Papers CORE.
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paper1
2006Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels.(2006) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 1
paper
2007Semiparametric multivariate density estimation for positive data using copulas In: LIDAM Discussion Papers CORE.
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paper5
2009Semiparametric multivariate density estimation for positive data using copulas.(2009) In: Computational Statistics & Data Analysis.
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article
2007Semiparametric Multivariate Density Estimation for Positive Data Using Copulas..(2007) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 5
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2007Semiparametric Multivariate Density Estimation for Positive Data Using Copulas.(2007) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 5
paper
2007Theory and inference for a Markov switching GARCH model In: LIDAM Discussion Papers CORE.
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paper80
2007Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 80
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2010Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal.
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This paper has another version. Agregated cites: 80
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2007Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche.
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paper
2007Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 80
paper
2007Nonparametric density estimation for multivariate bounded data In: LIDAM Discussion Papers CORE.
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paper0
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: LIDAM Discussion Papers CORE.
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paper1
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: LIDAM Discussion Papers CORE.
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paper0
2009Consistent ranking of multivariate volatility models In: LIDAM Discussion Papers CORE.
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paper9
2009On marginal likelihood computation in change-point models In: LIDAM Discussion Papers CORE.
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paper16
2012On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 16
article
2009On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 16
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2010On the forecasting accuracy of multivariate GARCH models In: LIDAM Discussion Papers CORE.
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paper123
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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article35
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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article17
2004Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models In: Cahiers de recherche.
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paper10
2005Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models.(2005) In: Computing in Economics and Finance 2005.
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This paper has another version. Agregated cites: 10
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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: 10
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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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