Kris Boudt : Citation Profile


Are you Kris Boudt?

Universiteit Gent

14

H index

18

i10 index

637

Citations

RESEARCH PRODUCTION:

45

Articles

28

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2008 - 2024). See details.
   Cites by year: 39
   Journals where Kris Boudt has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 25 (3.78 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbo300
   Updated: 2024-04-18    RAS profile: 2024-03-07    
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Relations with other researchers


Works with:

Ardia, David (7)

Bluteau, Keven (6)

Vanduffel, Steven (5)

van den Heuvel, Milan (2)

Inghelbrecht, Koen (2)

Neely, Christopher (2)

Algaba, Andres (2)

Schoors, Koen (2)

Weytjens, Johannes (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Kris Boudt.

Is cited by:

Laurent, Sébastien (22)

Hotta, Luiz (11)

Darné, Olivier (11)

Sensoy, Ahmet (11)

Hubert, Paul (10)

Vrins, Frédéric (10)

Ardia, David (10)

Labondance, Fabien (10)

Caporin, Massimiliano (9)

Bluteau, Keven (8)

Francq, Christian (8)

Cites to:

Laurent, Sébastien (38)

Bollerslev, Tim (27)

Shephard, Neil (26)

Bauwens, Luc (26)

Engle, Robert (25)

Diebold, Francis (21)

Hansen, Peter (21)

Andersen, Torben (19)

Lunde, Asger (18)

Ardia, David (18)

Wolf, Michael (14)

Main data


Where Kris Boudt has published?


Journals with more than one article published# docs
Quantitative Finance5
International Journal of Forecasting4
Finance Research Letters3
International Review of Financial Analysis3
Journal of Econometrics3
Journal of Banking & Finance2
Computational Statistics & Data Analysis2
Journal of Empirical Finance2
Journal of Financial Markets2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium / Ghent University, Faculty of Economics and Business Administration4
LIDAM Reprints LFIN / Universit catholique de Louvain, Louvain Finance (LFIN)3
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles2
MPRA Paper / University Library of Munich, Germany2

Recent works citing Kris Boudt (2024 and 2023)


YearTitle of citing document
2023Institutional Stock-Bond Portfolios Rebalancing and Financial Stability. (2023). Hasse, Jean-Baptiste ; Siagh, Souhila ; Lecourt, Christelle. In: AMSE Working Papers. RePEc:aim:wpaimx:2322.

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2023Convolution Bounds on Quantile Aggregation. (2020). Wang, Ruodu ; Liu, Yang ; Lam, Henry ; Blanchet, Jose. In: Papers. RePEc:arx:papers:2007.09320.

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2023How easy is it for investment managers to deploy their talent in green and brown stocks?. (2022). Ardia, David ; Bluteau, Keven ; Tran, Thien Duy. In: Papers. RePEc:arx:papers:2201.05709.

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2023Factor Exposure Heterogeneity in Green and Brown Stocks. (2023). Tran, Thien-Duy ; Lortie-Cloutier, Gabriel ; Bluteau, Keven ; Ardia, David. In: Papers. RePEc:arx:papers:2302.11729.

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2024.

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2023Forecasting models for the Chinese macroeconomy in a data?rich environment: Evidence from large dimensional approximate factor models with mixed?frequency data. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:1:p:719-767.

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2023CEO overconfidence and the tone of press release. (2023). Gong, Rong. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2081-2108.

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2023Earnings communication conferences and post?earnings?announcement drift: Evidence from China. (2023). Su, Yunpeng ; Liu, Yifang ; Yang, Baochen. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:2:p:2145-2185.

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2023Institutional ownership and the informativeness of disclosure tone. (2023). Sunder, Shyam V ; Manchiraju, Hariom ; Jain, Ankit. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:61-90.

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2023Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111.

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2023.

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2023Physical and transition risk premiums in euro area corporate bond markets. (2023). Kapp, Daniel ; Bua, Giovanna ; Bats, Joost. In: Working Papers. RePEc:dnb:dnbwpp:761.

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2023Nowcasting GDP using tone-adjusted time varying news topics: Evidence from the financial press. (2023). de Winter, Jasper ; van Dijk, Dorinth. In: Working Papers. RePEc:dnb:dnbwpp:766.

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2023Managerial sentiments, non-performing loans, and banks financial performance: A causal mediation approach. (2023). Saeed, Abubakr ; Iqbal, Javid. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:171:y:2023:i:c:s0960077923003260.

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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2023How does green preference impact sustainability-based investment strategy? Evidence from the Chinese stock market. (2023). Su, Wanxuan ; Du, Qianqian ; Wang, Luying ; Liang, Dawei. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001049.

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2023No place like home: Home bias and flight-to-quality in Group of Seven countries. (2023). Nagy, Balint-Zsolt ; Socaciu, Erzsebet-Mirjam ; Benedek, Botond. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003619.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Effect of climate-related risk on the costs of bank loans: Evidence from syndicated loan markets in emerging economies. (2023). Wong, Andrew ; Ho, Kelvin. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000942.

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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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2023State transformation of information spillover in asset markets and effective dynamic hedging strategies. (2023). Tsai, I-Chun ; Lin, Che-Chun ; Wang, Yu-Min. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002880.

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2023Real-time transition risk. (2023). Scherer, Bernd ; Betzer, Andre ; Apel, Matthias. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612322007760.

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2023Threats to central bank independence and exchange rate volatility: High-frequency identification with Trump’s Fed tweets. (2023). Popova, Ivilina ; Liu, Yifan. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000156.

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2023A central bankers’ sentiment index of global financial cycle. (2023). Liu, Wei ; Yu, Zhen ; Yang, Fuyu. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005330.

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2023The application of text mining in accounting. (2023). Srivastava, Rajendra P ; Jans, Mieke J ; Senave, Elseline. In: International Journal of Accounting Information Systems. RePEc:eee:ijoais:v:50:y:2023:i:c:s1467089523000167.

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2023The power of text-based indicators in forecasting Italian economic activity. (2023). Monteforte, Libero ; Marcucci, Juri ; Luciani, Andrea ; Guaitoli, Gabriele ; Emiliozzi, Simone ; Aprigliano, Valentina. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:791-808.

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2023Testing big data in a big crisis: Nowcasting under Covid-19. (2023). Ratto, Marco ; Pericoli, Filippo Maria ; Barbaglia, Luca ; Pezzoli, Luca Tiozzo ; Onorante, Luca ; Frattarolo, Lorenzo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1548-1563.

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2023News-based sentiment and the value premium. (2023). Nazemi, Abdolreza ; Fabozzi, Francesco A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000657.

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2023Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach. (2023). Herrera, Rodrigo ; Gaete, Michael. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000533.

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2023Futures hedging in crude oil markets: A trade-off between risk and return. (2023). Shen, Xilin ; Lu, Junli ; Li, Yanyan ; Yu, Xing. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005906.

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2023Effects of oil market sentiment on macroeconomic variables. (2023). da Nobrega, Cassio ; da Silva, Edilean Kleber ; de Medeiros, Rennan Kertlly. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003537.

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2023Global financial crisis, funding constraints, and liquidity of VIX futures. (2023). Tsai, Wei-Che ; Lien, Donald ; Chiu, Junmao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001725.

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2023Divergent opinions on social media. (2023). Miwa, Kotaro. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:182-196.

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2023Bayesian Estimation of Epidemiological Models: Methods, Causality, and Policy Trade-O?s. (2021). Shin, Minchul ; Rubio-Ramirez, Juan F ; Fernandez-Villaverde, Jesus ; Arias, Jonas E. In: Working Papers. RePEc:fip:fedpwp:91527.

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2023Propositions pour construire un système informationnel guidant une politique régionale d’innovation. (2023). Raffestin, Louis ; Leroy, Aurelien ; Benchora, Inessa. In: Bordeaux Economics Working Papers. RePEc:grt:bdxewp:2023-08.

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2023Uncertainty in firm valuation and a cross-sectional misvaluation measure. (2023). Bottazzi, Giulio ; Marmi, Stefano ; Livieri, Giulia ; Cordoni, Francesco. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:1:d:10.1007_s10436-022-00423-w.

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2023Sentiment-based indicators of real estate market stress and systemic risk: international evidence. (2023). Shchepeleva, Maria ; Stolbov, Mikhail. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00429-y.

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2023Text-Based Recession Probabilities. (2023). Mezo, Helena ; Lebastard, Laura ; Minesso, Massimo Ferrari. In: IMF Economic Review. RePEc:pal:imfecr:v:71:y:2023:i:2:d:10.1057_s41308-022-00177-5.

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2023The Role of Inflation Targeting in Anchoring Long-Run Inflation Expectations: Evidence from India. (2023). Pratap, Bhanu ; Kishor, Kundan N. In: MPRA Paper. RePEc:pra:mprapa:118951.

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2023Relative Signed Jump and Future Stock Returns. (2023). Ullah, Wali ; Sharif, Saqib ; Rehman, Seema. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2023:i:1:p:25-45.

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2023Macroeconomic Forecasting with the Use of News Data. (2023). Mikhaylov, Dmitry. In: Working Papers. RePEc:rnp:wpaper:w20220250.

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2023Ekonomia narracji – pocz?tki nowego nurtu. (2023). Baszczak, Ukasz. In: Gospodarka Narodowa. The Polish Journal of Economics. RePEc:sgh:gosnar:y:2023:i:1:p:66-81.

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2023The Forecasting Power of the ifo Business Survey. (2023). Lehmann, Robert. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:19:y:2023:i:1:d:10.1007_s41549-022-00079-5.

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2023Optimising portfolio diversification and dimensionality. (2023). Staal, A ; Sabanis, S ; Kroeske, J ; Kalcsics, J ; Gondzio, J ; Garcia, S ; Barkhagen, M. In: Journal of Global Optimization. RePEc:spr:jglopt:v:85:y:2023:i:1:d:10.1007_s10898-022-01202-7.

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2023The effect of intraday periodicity on realized volatility measures. (2023). Kellermann, Janosch ; Golosnoy, Vasyl ; Dette, Holger. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:3:d:10.1007_s00184-022-00875-0.

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2023Mixed frequency composite indicators for measuring public sentiment in the EU. (2023). Scepi, Germana ; Spano, Maria ; Misuraca, Michelangelo ; Mattera, Raffaele. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01468-9.

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2023Grey Markov Models for Predicting the Social Sustainability Performances of Firms. (2023). Rajesh, R. In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement. RePEc:spr:soinre:v:168:y:2023:i:1:d:10.1007_s11205-023-03132-7.

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2023Understand funding liquidity and market liquidity in a regime?switching model. (2023). Zhou, Zhiping ; Shen, Liya ; Chen, Louisa. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:589-605.

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2023Jump forecasting in foreign exchange markets: A high?frequency analysis. (2023). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Uzun, Sevcan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:3:p:578-624.

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2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

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2023Who pays the liquidity cost? Central bank announcements and adverse selection. (2023). Yu, Jinyoung ; Webb, Robert I ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:904-924.

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2023Shocks to transition risk. (2023). Zhang, Philipp ; Schuler, Yves ; Meinerding, Christoph. In: Discussion Papers. RePEc:zbw:bubdps:042023.

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2023A topic modeling perspective on investor uncertainty. (2023). Seifert, Oleg ; Schnaubelt, Matthias ; Ortiz, Daniel Perico. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:042023.

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Works by Kris Boudt:


YearTitleTypeCited
2014Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks In: LIDAM Reprints LFIN.
[Citation analysis]
paper49
2014Intraday liquidity dynamics and news releases around price jumps: evidence from the DJIA stocks.(2014) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 49
paper
2014Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks.(2014) In: Journal of Financial Markets.
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This paper has nother version. Agregated cites: 49
article
2015Analysts forecast error: a robust prediction model and its short-term trading profitability In: LIDAM Reprints LFIN.
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paper4
2015Analysts forecast error: a robust prediction model and its short-term trading profitability.(2015) In: Accounting and Finance.
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This paper has nother version. Agregated cites: 4
article
2018When does the tone of earnings press releases matter? In: LIDAM Reprints LFIN.
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paper9
2018When does the tone of earnings press releases matter?.(2018) In: International Review of Financial Analysis.
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This paper has nother version. Agregated cites: 9
article
2016Generalized Autoregressive Score Models in R: The GAS Package In: Papers.
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paper13
2016Value-at-Risk Prediction in R with the GAS Package In: Papers.
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paper3
2021Media abnormal tone, earnings announcements, and the stock market In: Papers.
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paper1
2022Media abnormal tone, earnings announcements, and the stock market.(2022) In: Journal of Financial Markets.
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This paper has nother version. Agregated cites: 1
article
2023Generating drawdown-realistic financial price paths using path signatures In: Papers.
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paper0
2023Sluggish news reactions: A combinatorial approach for synchronizing stock jumps In: Papers.
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paper0
2019Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics In: Financial Management.
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article18
2020ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS In: Journal of Economic Surveys.
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article33
2016Smart beta and CPPI performance In: Finance.
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article1
2011Robust estimation of intraweek periodicity in volatility and jump detection In: LIDAM Reprints CORE.
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paper92
2011Robust estimation of intraweek periodicity in volatility and jump detection.(2011) In: Journal of Empirical Finance.
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article
2011Outlyingness weighted covariation In: LIDAM Reprints CORE.
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paper31
2010Robust M-estimation of multivariate GARCH models In: Computational Statistics & Data Analysis.
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article14
2012Jump robust daily covariance estimation by disentangling variance and correlation components In: Computational Statistics & Data Analysis.
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article9
2017Generalized financial ratios to predict the equity premium In: Economic Modelling.
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article3
2016The economic benefits of market timing the style allocation of characteristic-based portfolios In: The North American Journal of Economics and Finance.
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article2
2013The impact of a sustainability constraint on the mean-tracking error efficient frontier In: Economics Letters.
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article5
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity In: Journal of Econometrics.
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article16
2020Nearest comoment estimation with unobserved factors In: Journal of Econometrics.
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article4
2019NEAREST COMOMENT ESTIMATION WITH UNOBSERVED FACTORS.(2019) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2023ETF Basket-Adjusted Covariance estimation In: Journal of Econometrics.
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article0
2024Robust interactive fixed effects In: Econometrics and Statistics.
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article0
2017Funding liquidity, market liquidity and TED spread: A two-regime model In: Journal of Empirical Finance.
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article26
2013Funding liquidity, market liquidity and TED spread : A two-regime model.(2013) In: Working Paper Research.
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paper
2019Evaluating the Shariah-compliance of equity portfolios: The weighting method matters In: International Review of Financial Analysis.
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article4
2022Properties of the Margrabe Best-of-two strategy to tactical asset allocation In: International Review of Financial Analysis.
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2015Higher order comoments of multifactor models and asset allocation In: Finance Research Letters.
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article11
2015Testing equality of modified Sharpe ratios In: Finance Research Letters.
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article12
2021Performance-sharing optimization by risk-constrained equity investors In: Finance Research Letters.
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article0
2019Macro-financial regimes and performance of Shariah-compliant equity portfolios In: Journal of International Financial Markets, Institutions and Money.
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article5
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
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article44
2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study In: International Journal of Forecasting.
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article41
2019Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values In: International Journal of Forecasting.
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article45
2023Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence In: International Journal of Forecasting.
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article4
2021Daily news sentiment and monthly surveys: A mixed–frequency dynamic factor model for nowcasting consumer confidence.(2021) In: Working Paper Research.
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This paper has nother version. Agregated cites: 4
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2016Managers set the tone: Equity incentives and the tone of earnings press releases In: Journal of Banking & Finance.
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article37
2018The peer performance ratios of hedge funds In: Journal of Banking & Finance.
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article15
2019The response of multinationals’ foreign exchange rate exposure to macroeconomic news In: Journal of International Money and Finance.
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article7
2017The response of multinationals’ foreign exchange rate exposure to macroeconomic news.(2017) In: Working Papers.
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2023Predictability of Belgian residential real estate rents using tree-based ML models and IML techniques In: International Journal of Housing Markets and Analysis.
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article0
2022Interpretability of Composite Indicators Based on Principal Components In: Journal of Probability and Statistics.
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2012The short term prediction of analysts forecast error In: Working Papers.
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2013Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy In: Cahiers de recherche.
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2013The Peer Performance of Hedge Funds In: Cahiers de recherche.
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2012Regime switches in the volatility and correlation of financial institutions In: Working Paper Research.
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paper6
2020Climate change concerns and the performance of green versus brown stocks In: Working Paper Research.
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paper19
2021Climate change concerns and the performance of green versus brown stocks.(2021) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2022Household Heterogeneity and Policy Relevance In: Working Paper Research.
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2016Exporters’ Exposures to Currencies: Beyond the Loglinear Model In: Review of Finance.
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2010Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization In: MPRA Paper.
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paper7
2008Hedge fund portfolio selection with modified expected shortfall In: MPRA Paper.
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paper0
2021Beta-Adjusted Covariance Estimation In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2023The Consumption Response to Labour Income Changes In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2017The impact of covariance misspecification in risk-based portfolios In: Annals of Operations Research.
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article19
2018Block rearranging elements within matrix columns to minimize the variability of the row sums In: 4OR.
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article3
2021Cardinality-Constrained Higher-Order Moment Portfolios Using Particle Swarm Optimization In: International Series in Operations Research & Management Science.
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2011Robust explicit estimators of Weibull parameters In: Metrika: International Journal for Theoretical and Applied Statistics.
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article7
2020Robust Distribution-Based Winsorization in Composite Indicators Construction In: Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement.
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article4
2022Estimation and decomposition of food price inflation risk In: Statistical Methods & Applications.
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