14
H index
19
i10 index
1878
Citations
ESSEC Business School | 14 H index 19 i10 index 1878 Citations RESEARCH PRODUCTION: 15 Articles 73 Papers RESEARCH ACTIVITY: 11 years (2002 - 2013). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pro399 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Computational Statistics & Data Analysis | 4 |
Econometrics Journal | 2 |
Year | Title of citing document | |
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2024 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2024 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
2023 | Change 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper | |
2024 | Fast 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. Full description at Econpapers || Download paper | |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper | |
2024 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2023 | A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484. Full description at Econpapers || Download paper | |
2023 | Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169. Full description at Econpapers || Download paper | |
2023 | The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis. (2023). Ampountolas, Apostolos. In: Papers. RePEc:arx:papers:2307.09137. Full description at Econpapers || Download paper | |
2023 | Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061. Full description at Econpapers || Download paper | |
2024 | Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Li, Jian ; Chavas, Jeanpaul ; Wang, Linjie. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676. Full description at Econpapers || Download paper | |
2024 | Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:418-442. Full description at Econpapers || Download paper | |
2023 | On variable ordination of modified Cholesky decomposition for estimating time?varying covariance matrices. (2020). Tsui, Kamwah ; Deng, Xinwei ; Kang, Xiaoning ; Pourahmadi, Mohsen. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:3:p:616-641. Full description at Econpapers || Download paper | |
2023 | Thinâ€Trading Effects in Beta: Bias v. Estimation Error. (2008). Vandebroek, Martina ; Sercu, Piet ; Vinaimont, Tom . In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:35:y:2008:i:9-10:p:1196-1219. Full description at Econpapers || Download paper | |
2023 | A Simple Estimator of Two?Dimensional Copulas, with Applications. (2020). Zhu, Yajing ; Prokhorov, Artem ; Anderson, Eddie . In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:6:p:1375-1412. Full description at Econpapers || Download paper | |
2023 | MEASURING ASYMMETRIC VOLATILITY OF UK, FRANCE, AND GERMAN STOCK MARKETS. (2023). Iacob, Anca Ioana ; Trivedi, Jatin ; Hawaldar, Iqbal Thonse ; Birau, Ramona ; Spulbar, Cristi. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2023:v:1:p:134-146. Full description at Econpapers || Download paper | |
2023 | Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27. Full description at Econpapers || Download paper | |
2024 | Forecasting Volatility Spillovers Using Advanced GARCH Models: Empirical Evidence for Developed Stock Markets from Austria and USA. (2024). Florescu, Ion ; Anand, Abhishek ; Spulbar, Cristi ; Birau, Ramona ; Kumari, Puja ; Meher, Bharat Kumar. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2024:i:1:p:16-29. Full description at Econpapers || Download paper | |
2023 | Stock 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. Full description at Econpapers || Download paper | |
2023 | Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386. Full description at Econpapers || Download paper | |
2023 | Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070. Full description at Econpapers || Download paper | |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper | |
2024 | Systemic risk monitoring model from the perspective of public information arrival. (2024). Zhu, Xingting ; Liu, Bin ; Yan, Han ; Wu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664. Full description at Econpapers || Download paper | |
2023 | Asymmetric volatility impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426. Full description at Econpapers || Download paper | |
2023 | Expectations, structural breaks and the recent surge in inflation. (2023). Grundler, Daniel. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004202. Full description at Econpapers || Download paper | |
2023 | Time 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. Full description at Econpapers || Download paper | |
2023 | Scalable 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. Full description at Econpapers || Download paper | |
2023 | Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086. Full description at Econpapers || Download paper | |
2023 | A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153. Full description at Econpapers || Download paper | |
2024 | Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; An, Ran ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494. Full description at Econpapers || Download paper | |
2024 | Time-varying multivariate causal processes. (2024). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174. Full description at Econpapers || Download paper | |
2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper | |
2023 | Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29. Full description at Econpapers || Download paper | |
2024 | Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30. Full description at Econpapers || Download paper | |
2023 | Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000425. Full description at Econpapers || Download paper | |
2023 | Unrestricted 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. Full description at Econpapers || Download paper | |
2023 | Modeling 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. Full description at Econpapers || Download paper | |
2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper | |
2023 | Attention to oil prices and its impact on the oil, gold and stock markets and their covariance. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s014098832300141x. Full description at Econpapers || Download paper | |
2023 | Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360. Full description at Econpapers || Download paper | |
2023 | INE oil futures volatility prediction: Exchange rates or international oil futures volatility?. (2023). Li, Haibo ; Ma, Feng ; Lu, Xinjie ; Wang, Jianqiong. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004334. Full description at Econpapers || Download paper | |
2023 | How 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. Full description at Econpapers || Download paper | |
2024 | Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy. (2024). Sensoy, Ahmet ; Goodell, John W ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007223. Full description at Econpapers || Download paper | |
2024 | Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Mazouz, Khelifa ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136. Full description at Econpapers || Download paper | |
2023 | Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033. Full description at Econpapers || Download paper | |
2023 | Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265. Full description at Econpapers || Download paper | |
2023 | Climate change economics and the determinants of carbon emissions’ futures returns: A regime-driven ARDL model. (2023). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Kotsompolis, Giorgos ; Thomakos, Dimitrios D ; Xidonas, Panos. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008577. Full description at Econpapers || Download paper | |
2023 | Does climate risk matter for gold price volatility?. (2023). Zhang, Junchao ; Zhu, Jiaji. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009169. Full description at Econpapers || Download paper | |
2023 | Non-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. Full description at Econpapers || Download paper | |
2023 | DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955. Full description at Econpapers || Download paper | |
2023 | Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096. Full description at Econpapers || Download paper | |
2023 | Projected Dynamic Conditional Correlations. (2023). Brownlees, Christian ; Llorens-Terrazas, Jordi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1761-1776. Full description at Econpapers || Download paper | |
2024 | Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408. Full description at Econpapers || Download paper | |
2024 | Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261. Full description at Econpapers || Download paper | |
2023 | Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669. Full description at Econpapers || Download paper | |
2023 | Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289. Full description at Econpapers || Download paper | |
2024 | Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?. (2024). Iglesias, Emma M ; Rivera-Alonso, David. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001454. Full description at Econpapers || Download paper | |
2024 | Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251. Full description at Econpapers || Download paper | |
2024 | Towards understanding MILA stock markets integration beyond MILA: New evidence between the pre-Global financial crisis and the COVID19 periods. (2024). Gomez-Bravo, Yuli Paola ; Sanchez-Barrios, Luis Javier ; Lukanima, Benedicto Kulwizira. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:478-497. Full description at Econpapers || Download paper | |
2024 | Exploring the interconnectedness of Chinas new energy and stock markets: A study on volatility spillovers and dynamic correlations. (2024). Song, Malin ; Shen, Z Y ; Li, Guangchen ; Wei, Weixian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:471-484. Full description at Econpapers || Download paper | |
2023 | COVID-19 and stock returns: Evidence from the Markov switching dependence approach. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000089. Full description at Econpapers || Download paper | |
2023 | Global economic uncertainty and the Chinese stock market: Assessing the impacts of global indicators. (2023). Cui, Can ; Zhang, Yueyan ; Bai, Jiancheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000752. Full description at Econpapers || Download paper | |
2023 | Network effects and store-of-value features in the cryptocurrency market. (2023). Adelopo, Ismail ; Luo, Xiaojun ; Bakhtiar, Tiam. In: Technology in Society. RePEc:eee:teinso:v:74:y:2023:i:c:s0160791x23001252. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Changes in the Polish Coal Sector Economic Situation with the Background of the European Union Energy Security and Eco-Efficiency Policy. (2023). Holden, Lisa ; Bedycka-Borawska, Aneta ; Borawski, Piotr. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:2:p:726-:d:1028725. Full description at Econpapers || Download paper | |
2023 | Scalar Measures of Volatility and Dependence for the Multivariate Models with Applications to Asian Financial Markets. (2023). Bera, Anil K ; Kim, Sangwhan. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:212-:d:1108433. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2024 | LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. (2024). Garcia-Medina, Andres ; Aguayo-Moreno, Ester. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10373-8. Full description at Econpapers || Download paper | |
2023 | The two-component Beta-t-QVAR-M-lev: a new forecasting model. (2023). Blazsek, Szabolcs ; Cardia, Michel Ferreira ; Sheng, Hsia Hua ; Fuerst, Franz ; Arestis, Philip. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00431-4. Full description at Econpapers || Download paper | |
2023 | Maximum-Likelihood Estimation Using the Zig-Zag Algorithm*. (2023). Ristig, Alexander ; Okhrin, Ostap ; Hautsch, Nikolaus. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:4:p:1346-1375.. Full description at Econpapers || Download paper | |
2023 | Examining volatility and spillover effects between markets for sovereign bonds of African countries and the world’s long term interest rate. (2023). Debalke, Negash Mulatu. In: MPRA Paper. RePEc:pra:mprapa:117491. Full description at Econpapers || Download paper | |
2024 | Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging. (2024). Luo, Jiawen ; Fu, Shengjie ; Cepni, Oguzhan ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202420. Full description at Econpapers || Download paper | |
2023 | Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation. (2023). Dionne, Georges ; Hassani, Samir Saissi. In: Working Papers. RePEc:ris:crcrmw:2023_002. Full description at Econpapers || Download paper | |
2024 | . Full description at Econpapers || Download paper | |
2023 | Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1. Full description at Econpapers || Download paper | |
2023 | Diversification evidence of bitcoin and gold from wavelet analysis. (2023). Zhang, Changyong ; Husain, Afzol ; Bhuiyan, Rubaiyat Ahsan. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00495-1. Full description at Econpapers || Download paper | |
2023 | Buy, sell or rent the farm: succession planning and the future of farming on the Great Plains. (2023). Nolan, James F ; Schoney, Richard A ; Su, Chi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00381-0. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2009 | Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
2009 | Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2009 | Bayesian option pricing using mixed normal heteroskedasticity models.(2009) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2009 | Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2010 | Multivariate Option Pricing with Time Varying Volatility and Correlations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 24 |
2010 | Multivariate Option Pricing With Time Varying Volatility and Correlations.(2010) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2010 | Multivariate option pricing with time varying volatility and correlations.(2010) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2011 | Multivariate option pricing with time varying volatility and correlations.(2011) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
2010 | Multivariate Option Pricing with Time Varying Volatility and Correlations.(2010) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2010 | Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
2010 | Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models.(2010) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2010 | Option pricing with asymmetric heteroskedastic normal mixture models.(2010) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2011 | Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 58 |
2011 | Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 58 | paper | |
2011 | Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 58 | paper | |
2012 | The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
2012 | The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options.(2012) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2009 | Mixed Exponential Power Asymmetric Conditional Heteroskedasticity In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 7 |
2007 | Mixed exponential power asymmetric conditional heteroskedasticity.(2007) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2007 | MIXED EXPONENTIAL POWER ASYMMETRIC CONDITIONAL HETEROSKEDASTICITY.(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2007 | Mixed Exponential Power Asymmetric Conditional Heteroskedasticity.(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2009 | A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 6 |
2009 | A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2009 | A nonparametric copula based test for conditional independence with applications to granger causality.(2009) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2009 | A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2009 | On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 104 |
2013 | On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 104 | article | |
2009 | On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 104 | paper | |
2011 | A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 70 |
2011 | A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
2011 | A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
2011 | The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
2011 | A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
2003 | Semiparametric multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
2003 | Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1115 |
2006 | Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1115 | article | |
2003 | Estimation of temporally aggregated multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 5 |
2003 | Bayesian clustering of many GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 18 |
2007 | Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
2003 | Clustered panel data models: an efficient approach for nowcasting from poor data In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 4 |
2005 | Clustered panel data models: an efficient approach for nowcasting from poor data.(2005) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2004 | Dynamic optimal portfolio selection in a VaR framework In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
2004 | Dynamic Optimal Portfolio Selection in a VaR Framework.(2004) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2005 | Bayesian inference for the mixed conditional heteroskedasticity model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 10 |
2005 | Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2007 | Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
2006 | Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2006 | Regime switching GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 24 |
2006 | Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2006 | Regime switching GARCH models.(2006) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2006 | Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 33 |
2006 | Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
2007 | Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | article | |
2006 | Nonparametric density estimation for positive time series In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 12 |
2010 | Nonparametric density estimation for positive time series.(2010) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2006 | Nonparametric Density Estimation for Positive Time Series.(2006) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2006 | Density and hazard rate estimation for censored and a-mixing data using gamma kernels In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
2006 | Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels.(2006) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2007 | Semiparametric multivariate density estimation for positive data using copulas In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 5 |
2009 | Semiparametric multivariate density estimation for positive data using copulas.(2009) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2007 | Semiparametric Multivariate Density Estimation for Positive Data Using Copulas..(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2007 | Semiparametric Multivariate Density Estimation for Positive Data Using Copulas.(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2007 | Theory and inference for a Markov switching GARCH model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 89 |
2007 | Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | paper | |
2010 | Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | article | |
2007 | Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | paper | |
2007 | Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 89 | paper | |
2007 | Nonparametric density estimation for multivariate bounded data In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
2007 | Nonparametric density estimation for multivariate bounded data..(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2007 | Nonparametric Density Estimation for Multivariate Bounded Data.(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2008 | Asymptotic properties of the Bernstein density copula for dependent data In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
2008 | Asymptotic properties of the Bernstein density copula for dependent data.(2008) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2008 | Style rotation and performance persistence of mutual funds In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
2009 | Consistent ranking of multivariate volatility models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 9 |
2009 | On marginal likelihood computation in change-point models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 18 |
2012 | On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
2009 | On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
2010 | On the forecasting accuracy of multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 141 |
2010 | On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 141 | paper | |
2007 | SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 35 |
2004 | Semiparametric multivariate volatility models.(2004) In: Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
2004 | BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 0 |
2010 | Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 17 |
2004 | Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 11 |
2005 | Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models.(2005) In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2009 | Evaluating portfolio Value-at-Risk using semi-parametric GARCH models.(2009) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
2002 | Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
2004 | Econometrics In: Papers. [Full Text][Citation analysis] | paper | 29 |
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