Kris Boudt : Citation Profile

Are you Kris Boudt?

Universiteit Gent

15

H index

20

i10 index

712

Citations

RESEARCH PRODUCTION:

45

Articles

31

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2008 - 2024). See details.
   Cites by year: 44
   Journals where Kris Boudt has often published
   Relations with other researchers
   Recent citing documents: 134.    Total self citations: 28 (3.78 %)

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   Permalink: http://citec.repec.org/pbo300
   Updated: 2024-12-03    RAS profile: 2024-05-06    
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Relations with other researchers

Works with:

Ardia, David (7)

Bluteau, Keven (6)

Vanduffel, Steven (5)

Neely, Christopher (3)

Inghelbrecht, Koen (2)

Schoors, Koen (2)

Algaba, Andres (2)

Weytjens, Johannes (2)

van den Heuvel, Milan (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 (23)

Bluteau, Keven (11)

Sensoy, Ahmet (11)

Darné, Olivier (11)

Hotta, Luiz (11)

Vrins, Frédéric (10)

Labondance, Fabien (10)

Caporin, Massimiliano (10)

Hubert, Paul (10)

Francq, Christian (10)

Ardia, David (10)

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)

Ardia, David (18)

Lunde, Asger (18)

Bai, Jushan (16)

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
Computational Statistics & Data Analysis2
Journal of Financial Markets2
Journal of Empirical Finance2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium / Ghent University, Faculty of Economics and Business Administration6
Papers / arXiv.org5
LIDAM Reprints LFIN / Université catholique de Louvain, Louvain Finance (LFIN)3
MPRA Paper / University Library of Munich, Germany2
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles2
Working Papers / Federal Reserve Bank of St. Louis2

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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2024Convolution 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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2024Hedge Fund Index Rules and Construction. (2024). Xiao, David. In: Papers. RePEc:arx:papers:2403.15925.

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2024Optimal Text-Based Time-Series Indices. (2024). Bluteau, Keven ; Ardia, David. In: Papers. RePEc:arx:papers:2405.10449.

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2024.

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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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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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2024Tone of narrative disclosures and earnings management: UK evidence. (2024). Kamel, Hany ; Elshandidy, Tamer. In: Advances in accounting. RePEc:eee:advacc:v:64:y:2024:i:c:s088261102300069x.

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2024Equity market responses to surprise Covid-19 lockdowns: The role of pandemic-driven uncertainty. (2024). Pratap, Bhanu ; Sengupta, Rajeswari ; Mathur, Aakriti. In: Journal of Asian Economics. RePEc:eee:asieco:v:91:y:2024:i:c:s1049007823001112.

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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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2024The impact of joint events on oil price volatility: Evidence from a dynamic graphical news analysis model. (2024). Zhao, Lu-Tao ; Wang, Dai-Song ; Ren, Zhong-Yuan. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323003991.

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2024Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Jehle, Camille ; Gosse, Jean-Baptiste. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816.

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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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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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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Common volatility shocks driven by the global carbon transition. (2024). Hendry, David F ; Campos-Martins, Susana. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623001665.

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2024Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Yang, Songshan ; Wen, Jiawei ; Li, Changcheng ; Cai, Zhanrui. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902.

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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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2023A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001081.

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2023How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study. (2023). Esparcia, Carlos ; Diaz, Antonio ; Alonso, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006722.

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2024Energy ETF performance: The role of fossil fuels. (2024). Stefanelli, Kevyn ; Morelli, Giacomo ; Decclesia, Rita Laura. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000409.

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2024The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks. (2024). Qizi, Madina Mansur ; Khajimuratov, Nizomjon Shukurullaevich ; Usmonov, Bunyod ; Burkhanov, Aktam Usmanovich ; Hasanov, Akram Shavkatovich. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224003062.

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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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2024VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Nakata, Keiichi ; Qiu, Zhiguo. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346.

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2024The impact of macroeconomic news sentiment on interest rates. (2024). Offner, Eric A ; Audrino, Francesco. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002254.

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2024Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models. (2024). Huang, Yujun. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002527.

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2024Do Chinese carbon-intensive stocks overreact to climate transition risk? Evidence from the COP26 news. (2024). Cao, Ruiyi ; Xue, Minggao ; Ge, Xiaowen. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002667.

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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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2023Exploring XAI techniques for enhancing model transparency and interpretability in real estate rent prediction: A comparative study. (2023). de Moor, Lieven ; Lenaers, Ian. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006785.

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2024Stock price synchronicity and market liquidity: The role of funding liquidity. (2024). Yu, Jinyoung ; Webb, Robert I ; Ryu, Doojin. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000813.

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2024Do Firms Strategically Use Non-Earnings Press Releases. (2024). Lee, Joonil ; Cho, Hyunkwon ; Hyeon, Jiwon. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324002885.

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2024Intraday variation in cross-sectional stock comovement and impact of index-based strategies. (2024). Shen, Yiwen ; Shi, Meiqi. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000120.

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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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2024Variance insurance contracts. (2024). Chi, Yichun ; Zhuang, Sheng Chao ; Yu, Xun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:62-82.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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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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20242T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models. (2024). Mucha-Kruczyski, Marcin ; Greenwood, David ; Tomlinson, Matthew F. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347.

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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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2023Estimation of value at risk for copper. (2023). Papathanasiou, Spyros ; Konstantatos, Christoforos ; Gkillas, Konstantinos ; Wohar, Mark. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000417.

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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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2024More than words: Fed Chairs’ communication during congressional testimonies. (2024). Zhang, XU ; Kryvtsov, Oleksiy ; Alexopoulos, Michelle. In: Journal of Monetary Economics. RePEc:eee:moneco:v:142:y:2024:i:c:s0304393223001022.

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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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2023Do fund managers tones predict future performance? Evidence from China. (2023). Wang, Changyun ; Shen, Xieyang ; Liu, Xiaoming ; Zeng, Jianyu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002159.

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2024The energy transition: The behavior of renewable energy stock during the times of energy security uncertainty. (2024). Yahya, Muhammad ; Schroeder, Leon ; Igeland, Philip ; Uddin, Gazi Salah ; Okhrin, Yarema. In: Renewable Energy. RePEc:eee:renene:v:221:y:2024:i:c:s0960148123016610.

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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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2024Liquidity and realized volatility prediction in Chinese stock market: A time-varying transitional dynamic perspective. (2024). Ma, Feng ; Liu, Jing ; Xu, Yanyan ; Chu, Jielei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:543-560.

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2024Can portfolio construction considering ESG still gain high profits?. (2024). Rastegar, Mohammad Ali ; Fereydooni, Ali ; Davoodi, Shayan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002520.

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2024Measuring the impact of the EU health emergency response authority on the economic sectors and the public sentiment. (2024). Ahelegbey, Daniel Felix ; Cerchiello, Paola ; Celani, Alessandro. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:92:y:2024:i:c:s0038012124000417.

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2024Bayesian 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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2024Pattern Recognition in Microtrading Behaviors Preceding Stock Price Jumps: A Study Based on Mutual Information for Multivariate Time Series. (2024). Azencott, Robert ; Zhu, Hongliang ; Li, Xindan ; Kong, AO. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10367-6.

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More than 100 citations found, this list is not complete...

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]		paper53
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: 53		paper
2014Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks.(2014) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 53		article
2015Analysts forecast error: a robust prediction model and its short-term trading profitability In: LIDAM Reprints LFIN.
[Citation analysis]		paper4
2015Analysts forecast error: a robust prediction model and its short-term trading profitability.(2015) In: Accounting and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2018When does the tone of earnings press releases matter? In: LIDAM Reprints LFIN.
[Citation analysis]		paper9
2018When does the tone of earnings press releases matter?.(2018) In: International Review of Financial Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2016Generalized Autoregressive Score Models in R: The GAS Package In: Papers.
[Full Text][Citation analysis]		paper13
2016Value-at-Risk Prediction in R with the GAS Package In: Papers.
[Full Text][Citation analysis]		paper4
2021Media abnormal tone, earnings announcements, and the stock market In: Papers.
[Full Text][Citation analysis]		paper3
2022Media abnormal tone, earnings announcements, and the stock market.(2022) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2023Generating drawdown-realistic financial price paths using path signatures In: Papers.
[Full Text][Citation analysis]		paper0
2023Sluggish news reactions: A combinatorial approach for synchronizing stock jumps In: Papers.
[Full Text][Citation analysis]		paper0
2024Sluggish news reactions: A combinatorial approach for synchronizing stock jumps.(2024) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2019Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics In: Financial Management.
[Full Text][Citation analysis]		article19
2020ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article43
2016Smart beta and CPPI performance In: Finance.
[Full Text][Citation analysis]		article1
2011Robust estimation of intraweek periodicity in volatility and jump detection In: LIDAM Reprints CORE.
[Citation analysis]		paper96
2011Robust estimation of intraweek periodicity in volatility and jump detection.(2011) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 96		article
2011Outlyingness weighted covariation In: LIDAM Reprints CORE.
[Citation analysis]		paper32
2010Robust M-estimation of multivariate GARCH models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article15
2012Jump robust daily covariance estimation by disentangling variance and correlation components In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article10
2017Generalized financial ratios to predict the equity premium In: Economic Modelling.
[Full Text][Citation analysis]		article3
2016The economic benefits of market timing the style allocation of characteristic-based portfolios In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article2
2013The impact of a sustainability constraint on the mean-tracking error efficient frontier In: Economics Letters.
[Full Text][Citation analysis]		article5
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2020Nearest comoment estimation with unobserved factors In: Journal of Econometrics.
[Full Text][Citation analysis]		article3
2019NEAREST COMOMENT ESTIMATION WITH UNOBSERVED FACTORS.(2019) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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This paper has nother version. Agregated cites: 3		paper
2023ETF Basket-Adjusted Covariance estimation In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2024Robust interactive fixed effects In: Econometrics and Statistics.
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2017Funding liquidity, market liquidity and TED spread: A two-regime model In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article29
2013Funding liquidity, market liquidity and TED spread : A two-regime model.(2013) In: Working Paper Research.
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This paper has nother version. Agregated cites: 29		paper
2019Evaluating the Shariah-compliance of equity portfolios: The weighting method matters In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article5
2022Properties of the Margrabe Best-of-two strategy to tactical asset allocation In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article0
2015Higher order comoments of multifactor models and asset allocation In: Finance Research Letters.
[Full Text][Citation analysis]		article12
2015Testing equality of modified Sharpe ratios In: Finance Research Letters.
[Full Text][Citation analysis]		article15
2021Performance-sharing optimization by risk-constrained equity investors In: Finance Research Letters.
[Full Text][Citation analysis]		article0
2019Macro-financial regimes and performance of Shariah-compliant equity portfolios In: Journal of International Financial Markets, Institutions and Money.
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2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article45
2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study In: International Journal of Forecasting.
[Full Text][Citation analysis]		article53
2019Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values In: International Journal of Forecasting.
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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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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: 7		paper
2016Managers set the tone: Equity incentives and the tone of earnings press releases In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article45
2018The peer performance ratios of hedge funds In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article16
2019The response of multinationals’ foreign exchange rate exposure to macroeconomic news In: Journal of International Money and Finance.
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2017The response of multinationals’ foreign exchange rate exposure to macroeconomic news.(2017) In: Working Papers.
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This paper has nother version. Agregated cites: 8		paper
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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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.
[Full Text][Citation analysis]		paper0
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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2020Climate change concerns and the performance of green versus brown stocks In: Working Paper Research.
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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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This paper has nother version. Agregated cites: 22		paper
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.
[Full Text][Citation analysis]		paper7
2008Hedge fund portfolio selection with modified expected shortfall In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2021Beta-Adjusted Covariance Estimation In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2023Taming the Zoo of Consumption Responses to Labour Income Changes In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
[Full Text][Citation analysis]		paper0
2024Trac(k)ing the trajectory: Mapping Sustainable Development Goal 8 in EU-funded research projects In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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2024Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models 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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2018Block rearranging elements within matrix columns to minimize the variability of the row sums In: 4OR.
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2021Cardinality-Constrained Higher-Order Moment Portfolios Using Particle Swarm Optimization In: International Series in Operations Research & Management Science.
[Citation analysis]		chapter0
2011Robust explicit estimators of Weibull parameters In: Metrika: International Journal for Theoretical and Applied Statistics.
[Full Text][Citation analysis]		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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2022Estimation and decomposition of food price inflation risk In: Statistical Methods & Applications.
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2020The variance implied conditional correlation In: The European Journal of Finance.
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2019The variance implied conditional correlation.(2019) In: ULB Institutional Repository.
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2015Jump robust two time scale covariance estimation and realized volatility budgets In: Quantitative Finance.
[Full Text][Citation analysis]		article10
2018Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation In: Quantitative Finance.
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2018Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation.(2018) In: ULB Institutional Repository.
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2020Machine Learning for Asset Managers In: Quantitative Finance.
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2022The optimal payoff for a Yaari investor In: Quantitative Finance.
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