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Jeroen VK Rombouts
Jeroen VK Rombouts
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Multivariate GARCH models: a survey
L Bauwens, S Laurent, JVK Rombouts
Journal of applied econometrics 21 (1), 79-109, 2006
26892006
On the forecasting accuracy of multivariate GARCH models
S Laurent, JVK Rombouts, F Violante
Journal of Applied Econometrics 27 (6), 934-955, 2012
2212012
Theory and inference for a Markov switching GARCH model
L Bauwens, A Preminger, JVK Rombouts
The Econometrics Journal 13 (2), 218-244, 2010
2122010
On loss functions and ranking forecasting performances of multivariate volatility models
S Laurent, JVK Rombouts, F Violante
Journal of Econometrics 173 (1), 1-10, 2013
1412013
Marginal likelihood for Markov-switching and change-point GARCH models
L Bauwens, A Dufays, JVK Rombouts
Journal of Econometrics 178, 508-522, 2014
1172014
Nonparametric density estimation for multivariate bounded data
T Bouezmarni, JVK Rombouts
Journal of Statistical Planning and Inference 140 (1), 139-152, 2010
932010
Nonparametric copula-based test for conditional independence with applications to Granger causality
T Bouezmarni, JVK Rombouts, A Taamouti
Journal of Business & Economic Statistics 30 (2), 275-287, 2012
872012
Regime switching GARCH models
L Bauwens, A Preminger, JVK Rombouts
CORE Discussion Paper, 2006
702006
Multivariate mixed normal conditional heteroskedasticity
L Bauwens, CM Hafner, JVK Rombouts
Computational Statistics & Data Analysis 51 (7), 3551-3566, 2007
682007
The contribution of structural break models to forecasting macroeconomic series
L Bauwens, G Koop, D Korobilis, JVK Rombouts
Journal of Applied Econometrics 30 (4), 596-620, 2015
632015
Semiparametric multivariate volatility models
CM Hafner, JVK Rombouts
Econometric Theory 23 (2), 251-280, 2007
612007
Bayesian clustering of many GARCH models
L Bauwens, JVK Rombouts
Econometric Reviews 26 (2-4), 365-386, 2007
552007
Asymptotic properties of the Bernstein density copula estimator for α-mixing data
T Bouezmarni, JVK Rombouts, A Taamouti
Journal of Multivariate Analysis 101 (1), 1-10, 2010
532010
Nonparametric density estimation for positive time series
T Bouezmarni, JVK Rombouts
Computational Statistics & Data Analysis 54 (2), 245-261, 2010
462010
Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
JVK Rombouts, M Verbeek
Quantitative Finance 9 (6), 737-745, 2009
352009
The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options
J Rombouts, L Stentoft, F Violante
International Journal of Forecasting 30 (1), 78-98, 2014
32*2014
On marginal likelihood computation in change-point models
L Bauwens, JVK Rombouts
Computational Statistics & Data Analysis 56 (11), 3415-3429, 2012
302012
Multivariate option pricing with time varying volatility and correlations
JVK Rombouts, L Stentoft
Journal of Banking & Finance 35 (9), 2267-2281, 2011
302011
Estimation of temporally aggregated multivariate GARCH models
CM Hafner, JVK Rombouts
Journal of Statistical Computation and Simulation 77 (8), 629-650, 2007
292007
Bayesian inference for the mixed conditional heteroskedasticity model
L Bauwens, JVK Rombouts
The Econometrics Journal 10 (2), 408-425, 2007
292007
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Artikelen 1–20