Jeroen VK Rombouts : Citation Profile

ESSEC Business School

14

H index

19

i10 index

1949

Citations

RESEARCH PRODUCTION:

15

Articles

73

Papers

RESEARCH ACTIVITY:

   11 years (2002 - 2013). See details.
   Cites by year: 177
   Journals where Jeroen VK Rombouts has often published
   Relations with other researchers
   Recent citing documents: 102.    Total self citations: 41 (2.06 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pro399
   Updated: 2025-12-20    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jeroen VK Rombouts.

Is cited by:

Caporin, Massimiliano (68)

Bauwens, Luc (55)

Asai, Manabu (38)

Hafner, Christian (33)

Laurent, Sébastien (29)

Stentoft, Lars (28)

Dufays, Arnaud (27)

Francq, Christian (27)

Sentana, Enrique (23)

Fiorentini, Gabriele (22)

Chang, Chia-Lin (22)

Cites to:

Bauwens, Luc (30)

Bollerslev, Tim (24)

Laurent, Sébastien (19)

Engle, Robert (18)

Stentoft, Lars (13)

gourieroux, christian (11)

Chen, Zhiwu (11)

Cao, Charles (11)

Lunde, Asger (10)

Shephard, Neil (10)

Drost, Feike C. (9)

Main data

Where Jeroen VK Rombouts has published?

Journals with more than one article published# docs
Computational Statistics & Data Analysis4
Econometrics Journal2

Working Papers Series with more than one paper published# docs
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques4
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
Papers / Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE)2

Recent works citing Jeroen VK Rombouts (2025 and 2024)

YearTitle of citing document
2060Grain price and volatility transmission from international to domestic markets in developing countries. (2015). Robles, Luis ; Minot, Nicholas ; Hernandez, Manuel ; Ceballos, Francisco. In: 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California. RePEc:ags:aaea15:206057.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

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2024Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2024). Wilms, Ines ; Hu, Yu Jeffrey ; Rombouts, Jeroen. In: Papers. RePEc:arx:papers:2303.01887.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024Cluster GARCH. (2024). Hansen, Peter ; Archakov, Ilya ; Tong, Chen. In: Papers. RePEc:arx:papers:2406.06860.

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2024Financial Assets Dependency Prediction Utilizing Spatiotemporal Patterns. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2406.11886.

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2025Change-Point Detection in Time Series Using Mixed Integer Programming. (2024). Radchenko, Peter ; Prokhorov, Artem ; Skrobotov, Anton ; Semenov, Alexander. In: Papers. RePEc:arx:papers:2408.05665.

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2024A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets -- A New Microfoundations of GARCH model. (2024). Mizuta, Takanobu ; Minami, Kentaro ; Hirano, Masanori ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2409.12516.

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2024How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165.

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2024New approaches of the DCC-GARCH residual: Application to foreign exchange rates. (2024). Yamakami, Tomohisa ; Shiraya, Kenichiro ; Suzuki, Kanji. In: Papers. RePEc:arx:papers:2411.08246.

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2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2025Tensor dynamic conditional correlation model: A new way to pursuit Holy Grail of investing. (2025). Zhu, KE ; Yu, Cheng. In: Papers. RePEc:arx:papers:2502.13461.

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2025Financial Wind Tunnel: A Retrieval-Augmented Market Simulator. (2025). Guo, Jian ; Yang, Cehao ; Xu, Chengjin ; Qi, Yiyan ; Lin, Xueyuan ; Cao, Bokai. In: Papers. RePEc:arx:papers:2503.17909.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

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2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

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2025Asset Hedging via Digital Asset Indices. (2025). Shalvardjiev, Dimiter. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:1:p:63-88.

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2025An Evaluation and Comparative Analysis of Fiscal and Macrofinancial Policies during the COVID-19 Pandemic: The Case of Bulgaria in the Balkan Context. (2025). Elgin, Ceyhun ; Elveren, Adem Y. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:1:p:89-112.

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2025Comparing the systemic risk of Italian insurers and banks. (2025). Bianchi, Michele Leonardo ; Pallante, Federica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_922_25.

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2024Application of Copula Methods in Financial Risk Management: Case of the Zimbabwe Stock Exchange and the Victoria Falls Stock Exchange.. (2024). Basvi, Brian. In: International Journal of Research and Scientific Innovation. RePEc:bjc:journl:v:11:y:2024:i:5:p:674-695.

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2024Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jeanpaul. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676.

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2024Predictive 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.

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202430 years of exchange rate analysis and forecasting: A bibliometric review. (2024). Wang, Shouyang ; Wei, Yunjie ; Fang, Siran. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:3:p:973-1007.

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2024Future directions in nowcasting economic activity: A systematic literature review. (2024). Pekarskiene, Irena ; Lukauskas, Mantas ; Grybauskas, Andrius ; Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1199-1233.

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2024Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations. (2024). Veljovi, Mirjana ; Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:298-319.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024A Vector Multiplicative Error Model with Spillover Effects and Co-movements. (2024). Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202404.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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2024Forecasting Volatility Spillovers Using Advanced GARCH Models: Empirical Evidence for Developed Stock Markets from Austria and USA. (2024). Spulbar, Cristi ; Birau, Ramona ; Kumari, Puja ; Florescu, Ion ; Meher, Bharat Kumar ; Anand, Abhishek. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2024:i:1:p:16-29.

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2024Nonnegative GARCH-type models with conditional Gamma distributions and their applications. (2024). Hwang, Eunju ; Jeon, Chanhyeok. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:198:y:2024:i:c:s0167947324000902.

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2024Systemic risk monitoring model from the perspective of public information arrival. (2024). Wu, Yan ; Zhu, Xingting ; Yan, Han ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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2025Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications. (2025). Escobar Anel, Marcos ; Yang, Yu-Jung ; Escobar-Anel, Marcos ; Zagst, Rudi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000166.

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2024Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494.

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2024Time-varying multivariate causal processes. (2024). GAO, Jiti ; Yan, Yayi ; Wu, Wei Biao ; Peng, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2024Estimation 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.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

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2024Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns. (2024). Hediger, Simon ; Naf, Jeffrey. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000240.

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2024Connectivity 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.

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2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Guan, Bo ; Mazouz, Khelifa. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

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2024A multiscale time-series decomposition learning for crude oil price forecasting. (2024). Li, Zhixi ; Jiang, Yuansheng ; Shi, Long ; Tan, Jinghua ; Zhang, Chuanhui. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004419.

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2024Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584.

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2025Geopolitical risk and vulnerability of energy markets. (2025). Liu, Zhenhua ; Ji, Qiang ; Ding, Zhihua ; Yuan, Xinting ; Wang, Yushu. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007643.

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2025Hedging financial risks with a climate index based on EU ETS firms. (2025). Chiappari, Mattia ; Flori, Andrea ; Scotti, Francesco. In: Energy. RePEc:eee:energy:v:320:y:2025:i:c:s0360544225009193.

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2025Multivariate range-based EGARCH models. (2025). Lambercy, Lyudmyla ; Kellard, Neil M ; Yan, Lili. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000705.

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2025Modeling gasoline price volatility. (2025). Ormos, Mihály ; Kamocsai, Lszl. In: Finance Research Letters. RePEc:eee:finlet:v:73:y:2025:i:c:s1544612324016866.

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2025Modeling the procyclical impact of monetary policy on bank leverage: A stochastic macroprudential approach. (2025). Perote, Javier ; Rendn, Juan F ; Corts, Lina M. In: Journal of Financial Stability. RePEc:eee:finsta:v:79:y:2025:i:c:s1572308925000506.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Li, Dan ; Drovandi, Christopher. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Fritzsch, Simon ; Timphus, Maike ; Weiss, Gregor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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2025The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets. (2025). Yfanti, Stavroula ; Wu, Jiaying ; Karanasos, Menelaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000066.

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2024Is 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 ; Rivera-Alonso, David. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001454.

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2024Managing 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.

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2024Towards 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.

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2024Exploring the interconnectedness of Chinas new energy and stock markets: A study on volatility spillovers and dynamic correlations. (2024). Shen, Z Y ; Wei, Weixian ; Song, Malin ; Li, Guangchen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:471-484.

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2024Investment modeling between energy futures and responsible investment. (2024). Sawarn, Ujjawal ; Nandan, Tanuj ; Soni, Rajat Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001661.

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2025Towards the estimation of ESG ratings: A machine learning approach using balance sheet ratios. (2025). Cini, Federico ; Ferrari, Annalisa. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s027553192400446x.

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2025The impact of artificial intelligence on carbon market in China: Evidence from quantile-on-quantile regression approach. (2025). Zhao, Xiangyu ; Hu, Yanhui ; Jiang, Wei. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:212:y:2025:i:c:s0040162525000046.

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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2024Price and volatility transmission from international to domestic food and fertilizer markets in Central America. (2024). Hernandez, Manuel ; Lopez, Elena Mora ; Brown, Melissa ; Eugenia, Viviana Maria ; Berrospi, Maria Lucia ; Ceballos, Francisco. In: IFPRI discussion papers. RePEc:fpr:ifprid:162957.

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2024Volatility Persistence and Spillover Effects of Indian Market in the Global Economy: A Pre- and Post-Pandemic Analysis Using VAR-BEKK-GARCH Model. (2024). Chaudhury, Suman Kalyan ; Maharana, Narayana ; Panigrahi, Ashok Kumar. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:7:p:294-:d:1432072.

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2025Asymmetric Shocks and Pension Fund Volatility: A GARCH Approach with Macroeconomic Predictors to an Unexplored Emerging Market. (2025). Guse, Daniel Dumitru ; Saiu, Gabriel Robert ; Girlovan, Aura ; Tudor, Cristiana. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1134-:d:1624073.

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2024Time-Varying Correlations between JSE.JO Stock Market and Its Partners Using Symmetric and Asymmetric Dynamic Conditional Correlation Models. (2024). Mwambi, Henry ; Omolo, Bernard ; Abdelkreem, Anas Eisa. In: Stats. RePEc:gam:jstats:v:7:y:2024:i:3:p:46-776:d:1440130.

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2024LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. (2024). Aguayo-Moreno, Ester ; Garcia-Medina, Andres. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10373-8.

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2024Option Valuation with Conditional Heteroskedastic Hidden Truncation Models. (2024). Belhachemi, Rachid. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10480-6.

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2024Which User-Friendly Model is the Best for BASEL-III? An Emerging Market Study. (2024). Hossain, Amjad ; Lalon, Raad ; Abedin, Mohammad Zoynul ; Mozumder, Sharif. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10545-6.

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2024Price Exuberance and Contagion across Housing Markets: Evidence from US Metropolitan Areas. (2024). Escobari, Diego ; Shahedur, MD ; Damianov, Damian S. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:1:d:10.1007_s11146-022-09925-w.

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2024High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. (2024). Kuang, Wei. In: PLOS ONE. RePEc:plo:pone00:0303962.

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2025Integration, Contagion and Turmoils; Evidence from Emerging markets. (2025). NEIFAR, MALIKA ; Harzallah, Amira. In: MPRA Paper. RePEc:pra:mprapa:123775.

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2024Climate Risks and Forecastability of US Inflation: Evidence from Dynamic Quantile Model Averaging. (2024). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202420.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2024Do Spot, Futures, and Options Markets Exhibit Price and Volatility Interdependence? Evidence from India. (2024). Mallikarjunappa, T. In: Jindal Journal of Business Research. RePEc:sae:jjlobr:v:13:y:2024:i:1:p:100-117.

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2024Incorporating causality in energy consumption forecasting using deep neural networks. (2024). Dwivedi, Yogesh K ; Sharma, Kshitij ; Metri, Bhimaraya. In: Annals of Operations Research. RePEc:spr:annopr:v:339:y:2024:i:1:d:10.1007_s10479-022-04857-3.

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2025Model-based vs. agnostic methods for the prediction of time-varying covariance matrices. (2025). Xidonas, Panos ; Poignard, Benjamin ; Fermanian, Jean-David. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06238-4.

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2025A Markov regime-switching event response model: beef price spread response to processing capacity shocks. (2025). Neill, Clinton L ; Boyer, Christopher N ; Park, Eunchun. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:3:d:10.1007_s00181-024-02677-x.

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2024Pricing multi-asset options with tempered stable distributions. (2024). Xia, Yunfei ; Grabchak, Michael. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00649-9.

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2025Incorporating causal notions to forecasting time series: a case study. (2025). Kristjanpoller, Werner ; Llanos, Cristian ; Michell, Kevin ; Minutolo, Marcel C. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00681-9.

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2025Multivariate GARCH models with spherical parameterizations: an oil price application. (2025). Ballestra, Luca Vincenzo ; Pacelli, Graziella ; de Blasis, Riccardo. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00683-7.

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2025An automated adaptive trading system for enhanced performance of emerging market portfolios. (2025). Tudor, Cristiana ; Sova, Robert. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00754-3.

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2025Forecasting cryptocurrency volatility: a novel framework based on the evolving multiscale graph neural network. (2025). Zhou, Yang ; Xie, Chi ; Zhu, You ; Gong, Jue ; Wang, Gang-Jin. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00768-x.

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2024Copula-based joint tropical cyclone-induced wind and wave risk analysis: considering the effect of uncertainty using Bayesian inference. (2024). Yang, Fan ; Wang, Yuzhen ; Wen, Zeguo ; Guo, Chengchao. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:120:y:2024:i:15:d:10.1007_s11069-024-06709-8.

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2025The use of Markov-Switching GARCH models in a Mexican rice spot price hedging algorithm with CME rice futures. (2025). Durn-Snchez, Amador ; Bollainparra, Leticia ; Torre-Torres, Oscar V. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:3:d:10.1007_s11135-025-02169-9.

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2024Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting. (2024). Opschoor, Anne ; Romero, Laura Capera. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240059.

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2025Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment. (2025). Romero, Laura Capera ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250041.

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2024The Role of Analytics in Achieving the Sustainable Development Goal of Zero Hunger. (2024). Fleuren, Hein ; Peters, Koen ; Cruijssen, Frans. In: Discussion Paper. RePEc:tiu:tiucen:a228bc07-76f6-4405-b563-87a64d2fd4b0.

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2024The Role of Analytics in Achieving the Sustainable Development Goal of Zero Hunger. (2024). Peters, Koen ; Fleuren, H A ; Cruijssen, Frans. In: Other publications TiSEM. RePEc:tiu:tiutis:a228bc07-76f6-4405-b563-87a64d2fd4b0.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2024Proxy-identification of a structural MGARCH model for asset returns. (2024). Polivka, Jeannine ; Fengler, Matthias. In: Economics Working Paper Series. RePEc:usg:econwp:2021:03.

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2024Temporal evolution of the extreme excursions of multivariate k$$ k $$th order Markov processes with application to oceanographic data. (2024). Tendijck, Stan ; Jonathan, Philip ; Tawn, Jonathan ; Randell, David. In: Environmetrics. RePEc:wly:envmet:v:35:y:2024:i:3:n:e2834.

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2024Forecasting the volatility of crude oil futures: A time‐dependent weighted least squares with regularization constraint. (2024). Wang, Yudong ; Hao, Xianfeng ; Geng, Qianjie. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:309-325.

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2024Out‐of‐sample volatility prediction: Rolling window, expanding window, or both?. (2024). Zhang, Yaojie ; Wang, Yudong ; Feng, Yuqing. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:3:p:567-582.

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2025Macroeconomic real‐time forecasts of univariate models with flexible error structures. (2025). Hou, Chenghan ; Zhang, BO ; Trinh, Kelly. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:1:p:59-78.

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2025Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers. (2025). Xu, Yongdeng. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1266-1279.

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2024Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes. (2024). Rezitis, Anthony ; Andrikopoulos, Panagiotis ; Daglis, Theodoros. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:3:p:451-483.

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

Works by Jeroen VK Rombouts:

YearTitleTypeCited
2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models In: CREATES Research Papers.
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2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: CIRANO Working Papers.
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2009Bayesian option pricing using mixed normal heteroskedasticity models.(2009) In: LIDAM Discussion Papers CORE.
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2009Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models.(2009) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 12		paper
2010Multivariate Option Pricing with Time Varying Volatility and Correlations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper24
2010Multivariate Option Pricing With Time Varying Volatility and Correlations.(2010) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 24		paper
2010Multivariate option pricing with time varying volatility and correlations.(2010) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 24		paper
2011Multivariate option pricing with time varying volatility and correlations.(2011) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 24		article
2010Multivariate Option Pricing with Time Varying Volatility and Correlations.(2010) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 24		paper
2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models In: CREATES Research Papers.
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2010Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models.(2010) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 11		paper
2010Option pricing with asymmetric heteroskedastic normal mixture models.(2010) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 11		paper
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper61
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 61		paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 61		paper
2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options In: CREATES Research Papers.
[Full Text][Citation analysis]		paper7
2012The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options.(2012) In: CIRANO Working Papers.
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This paper has nother version. Agregated cites: 7		paper
2009Mixed Exponential Power Asymmetric Conditional Heteroskedasticity In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article7
2007Mixed exponential power asymmetric conditional heteroskedasticity.(2007) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 7		paper
2007MIXED EXPONENTIAL POWER ASYMMETRIC CONDITIONAL HETEROSKEDASTICITY.(2007) In: Cahiers de recherche.
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2007Mixed Exponential Power Asymmetric Conditional Heteroskedasticity.(2007) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 7		paper
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper6
2009A nonparametric copula based test for conditional independence with applications to Granger causality.(2009) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 6		paper
2009A nonparametric copula based test for conditional independence with applications to granger causality.(2009) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 6		paper
2009A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality.(2009) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 6		paper
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper114
2013On 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: 114		article
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 114		paper
2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper71
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: LIDAM Discussion Papers CORE.
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2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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This paper has nother version. Agregated cites: 71		paper
2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 71		paper
2003Semiparametric multivariate GARCH models In: LIDAM Discussion Papers CORE.
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2003Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper1156
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 1156		article
2003Estimation of temporally aggregated multivariate GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper5
2003Bayesian clustering of many GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper18
2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
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This paper has nother version. Agregated cites: 18		article
2003Clustered panel data models: an efficient approach for nowcasting from poor data In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper5
2005Clustered panel data models: an efficient approach for nowcasting from poor data.(2005) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 5		article
2004Dynamic optimal portfolio selection in a VaR framework In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper3
2004Dynamic Optimal Portfolio Selection in a VaR Framework.(2004) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 3		paper
2005Bayesian inference for the mixed conditional heteroskedasticity model In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper10
2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has nother version. Agregated cites: 10		paper
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
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This paper has nother version. Agregated cites: 10		article
2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 10		paper
2006Regime switching GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper24
2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has nother version. Agregated cites: 24		paper
2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 24		paper
2006Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper33
2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has nother version. Agregated cites: 33		paper
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
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This paper has nother version. Agregated cites: 33		article
2006Nonparametric density estimation for positive time series In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper13
2010Nonparametric density estimation for positive time series.(2010) In: Computational Statistics & Data Analysis.
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This paper has nother version. Agregated cites: 13		article
2006Nonparametric Density Estimation for Positive Time Series.(2006) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 13		paper
2006Density and hazard rate estimation for censored and a-mixing data using gamma kernels In: LIDAM Discussion Papers CORE.
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2006Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels.(2006) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 1		paper
2007Semiparametric multivariate density estimation for positive data using copulas In: LIDAM Discussion Papers CORE.
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2009Semiparametric multivariate density estimation for positive data using copulas.(2009) In: Computational Statistics & Data Analysis.
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This paper has nother version. Agregated cites: 5		article
2007Semiparametric Multivariate Density Estimation for Positive Data Using Copulas..(2007) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 5		paper
2007Semiparametric Multivariate Density Estimation for Positive Data Using Copulas.(2007) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 5		paper
2007Theory and inference for a Markov switching GARCH model In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper93
2007Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2010Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal.
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2007Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche.
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2007Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 93		paper
2007Nonparametric density estimation for multivariate bounded data In: LIDAM Discussion Papers CORE.
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2007Nonparametric density estimation for multivariate bounded data..(2007) In: Cahiers de recherche.
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2007Nonparametric Density Estimation for Multivariate Bounded Data.(2007) In: Cahiers de recherche.
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2008Asymptotic properties of the Bernstein density copula for dependent data In: LIDAM Discussion Papers CORE.
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2008Asymptotic properties of the Bernstein density copula for dependent data.(2008) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 1		paper
2008Style rotation and performance persistence of mutual funds In: LIDAM Discussion Papers CORE.
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2009Consistent ranking of multivariate volatility models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper9
2009On marginal likelihood computation in change-point models In: LIDAM Discussion Papers CORE.
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2012On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis.
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This paper has nother version. Agregated cites: 18		article
2009On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 18		paper
2010On the forecasting accuracy of multivariate GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper148
2010On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 148		paper
2007SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article36
2004Semiparametric multivariate volatility models.(2004) In: Papers.
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This paper has nother version. Agregated cites: 36		paper
2004BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]		paper0
2010Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article17
2004Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models In: Cahiers de recherche.
[Full Text][Citation analysis]		paper12
2005Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models.(2005) In: Computing in Economics and Finance 2005.
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This paper has nother version. Agregated cites: 12		paper
2009Evaluating portfolio Value-at-Risk using semi-parametric GARCH models.(2009) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 12		article
2002Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002.
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2004Econometrics In: Papers.
[Full Text][Citation analysis]		paper29

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