J. Rombouts

发表

Multivariate GARCH Models: A Survey

L. Bauwens, S. Laurent, J. Rombouts, 2003 .

Asymptotic properties of the Bernstein density copula for dependent data

J. Rombouts, T. Bouezmarni, A. Taamouti, 2008 .

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

J. Rombouts, Lars Stentoft, 2010 .

Econometrics

L. Bauwens, J. Rombouts, 2005 .

Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality

J. Rombouts, T. Bouezmarni, A. Taamouti, 2012 .

Estimation of temporally aggregated multivariate GARCH models

J. Rombouts, C. Hafner, 2004 .

Root-T consistent density estimation in GARCH models

A. Meister, A. Delaigle, J. Rombouts, 2016 .

On the Forecasting Accuracy of Multivariate GARCH Models

S. Laurent, J. Rombouts, F. Violante, 2010 .

MULTIVARIATE GARCH MODELS : A SURVEY forthcoming in Journal of Applied Econometrics

L. Bauwens, S. Laurent, J. Rombouts, 2004 .

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

J. Rombouts, Lars Stentoft, 2010 .

Consistent ranking of multivariate volatility models

S. Laurent, J. Rombouts, F. Violante, 2009 .

Nonparametric density estimation for multivariate bounded data

Taoufik Bouezmarni, Jeroen V.K. Rombouts, J. Rombouts, 2007 .

Density and hazard rate estimation for censored and α-mixing data using gamma kernels

J. Rombouts, T. Bouezmarni, 2008 .

Bayesian Inference for the Mixed Conditional Heteroskedasticity Model

Luc Bauwens, Jeroen V.K. Rombouts, L. Bauwens, 2005 .

Theory and Inference for a Markov Switching GARCH Model

Luc Bauwens, L. Bauwens, J. Rombouts, 2007 .

Département des Sciences Économiques de l'Université catholique de Louvain Multivariate Mixed Normal Conditional Heteroskedasticity

L. Bauwens, J. Rombouts, C. Hafner, 2006 .

Multivariate Option Pricing with Time Varying Volatility and Correlations

J. Rombouts, Lars Stentoft, 2010 .

CORE Discussion Paper 2007 / 65 NONPARAMETRIC DENSITY ESTIMATION FOR MULTIVARIATE BOUNDED DATA

J. Rombouts, T. Bouezmarni, 2007 .

Style Rotation and Performance Persistence of Mutual Funds

J. Rombouts, Iwan Meier, 2009 .

CORE DISCUSSION PAPER 2007/97 MIXED EXPONENTIAL POWER ASYMMETRIC CONDITIONAL HETEROSKEDASTICITY

J. Rombouts, Mohammed Bouaddi, 2007 .

Multivariate volatility forecasts for stock market indices

C. Croux, J. Rombouts, I. Wilms, 2020 .

Dynamics of variance risk premia: A new model for disentangling the price of risk

J. Rombouts, F. Violante, Lars Stentoft, 2020 .

Variance swap payoffs, risk premia and extreme market conditions

J. Rombouts, F. Violante, Lars Stentoft, 2017 .

MULTIVARIATE OPTION PRICING WITH TIME VARYING VOLATILITY MODELS

J. Rombouts, Lars Stentoft, 2010 .

Working Paper 08-36 Departamento de Economía Economic Series ( 19 ) Universidad Carlos III de Madrid July 2008

J. Rombouts, T. Bouezmarni, A. Taamouti, 2008 .

Pricing individual stock options using both stock and market index information

J. Rombouts, F. Violante, Lars Stentoft, 2020 .

CFEnetwork: The annals of computational and financial econometrics, 3rd issue

Robert Taylor, Jean-Marie Dufour, Helmut Lütkepohl, 2014, Computational Statistics & Data Analysis.

The Contribution of Structural Break Models to Forecasting Macroeconomic Series

Dimitris Korobilis, Gary Koop, Luc Bauwens, 2013 .

Sparse Change-Point VAR models

J. Rombouts, A. Dufays, Yong Song, 2019, SSRN Electronic Journal.

Density and Hazard Rate Estimation for Censored and A-Mixing Data Using Gamma Kernels

J. Rombouts, T. Bouezmarni, 2006 .

Série Scientifique Scientific Series 2009 s19 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

Lars Stentoft, Jeroen V. K. Rombouts, J. Rombouts, 2009 .

The Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options

Lars Stentoft, Jeroen V.K. Rombouts, Francesco Violante, 2012 .

Marginal Likelihood for Markov-Switching and Change-Point GARCH Models

Luc Bauwens, Arnaud Dufays, Jeroen V.K. Rombouts, 2011 .

Regime Switching GARCH Models

Arie Preminger, Luc Bauwens, L. Bauwens, 2006 .

Pricing with Asymmetric Heteroskedastic Normal Mixture Models

J. Rombouts, Lars Stentoft, 2010 .

Mixed Exponential Power Asymmetric Conditional Heteroskedasticity

Jeroen V. K. Rombouts, J. Rombouts, Mohammed Bouaddi, 2007 .

Multivariate Mixed Normal Conditional Heteroskedasticity

Jeroen V. K. Rombouts, L. Bauwens, C. M. Hafner, 2006, Comput. Stat. Data Anal..

Série Scientifique Scientific Series on Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models on Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Jeroen V.K. Rombouts, Sébastien Laurent, Francesco Violante, 2022 .

Clustered Panel Data Models: An Efficient Approach for Nowcasting from Poor Data

Michel Mouchart, Jeroen V.K. Rombouts, M. Mouchart, 2003 .

Relevant parameter changes in structural break models

Arnaud Dufays, Jeroen V.K. Rombouts, J. Rombouts, 2020 .

Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms

J. Rombouts, I. Wilms, Yujia Hu, 2023, SSRN Electronic Journal.

Sparse Change-point HAR Models for Realized Variance

Arnaud Dufays, Jeroen V.K. Rombouts, J. Rombouts, 2016 .

Semiparametric Multivariate Density Estimation for Positive Data Using Copulas

Taoufik Bouezmarni, Jeroen V. K. Rombouts, J. Rombouts, 2007, Comput. Stat. Data Anal..

Nonparametric Density Estimation for Positive Time Series

Taoufik Bouezmarni, Jeroen V. K. Rombouts, J. Rombouts, 2006, Comput. Stat. Data Anal..

Département des Sciences Économiques de l'Université catholique de Louvain Theory and Inference for a Markov Switching Garch Model

L. Bauwens, J. Rombouts, Arie Preminger, 2020 .

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

J. Rombouts, Lars Stentoft, 2009, Comput. Stat. Data Anal..

Série Scientifique Scientific Series 2012 s-05 The Value of Multivariate Model Sophistication : An Application to pricing Dow Jones Industrial Average Options

J. Rombouts, Lars Stentoft, Francesco Violante, 2012 .

Série Scientifique Scientific Series 2010 s-38 Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

J. Rombouts, Lars Stentoft, 2010 .

Série Scientifique Scientific Series 2009 s45 On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

S. Laurent, J. Rombouts, Francesco Violante, 2009 .

SPARSE CHANGE-POINT TIME SERIES MODELS

Arnaud Dufays, Jeroen V.K. Rombouts, J. Rombouts, 2015 .

Evaluating portfolio Value-at-Risk using semi-parametric GARCH models

Marno Verbeek, J. Rombouts, Jeroen V.K. Rombouts, 2009 .

SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS

J. Rombouts, C. Hafner, 2004, Econometric Theory.

Bayesian Clustering of Many Garch Models

Luc Bauwens, Jeroen V.K. Rombouts, L. Bauwens, 2003 .

Série Scientifique Scientific Series 2011 s-13 A Comparison of Forecasting Procedures For Macroeconomic Series : The Contribution of Structural Break Models

L. Bauwens, J. Rombouts, G. Koop, 2011 .

A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models

Dimitris Korobilis, Gary Koop, Luc Bauwens, 2011 .

Econometrics

J. Rombouts, L. Bauwens, 2005 .

Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data

Taoufik Bouezmarni, Jeroen V. K. Rombouts, Abderrahim Taamouti, 2010, J. Multivar. Anal..

Série Scientifique Scientific Series a Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality a Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality

L. Bauwens, O. Linton, J. Richard, 2022 .

Dynamic Optimal Portfolio Selection in a VAR Framework

J. Rombouts, E. Rengifo, 2004 .