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  • Your search results: "Rombouts, Jeroen V. K"
Showing 1 - 20 results of 162 for search '"Rombouts, Jeroen V. K"', query time: 1.72s Narrow search
  • 1
    Cover Image Journal Article
    Multivariate Garch Models: A Survey
    by Luc Bauwens   Sébastien Laurent   Jeroen V. K. Rombouts Published in Journal of applied econometrics (Chichester, England) (01.01.2006)
    “...This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and...”
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  • 2
    Cover Image Journal Article
    ON THE FORECASTING ACCURACY OF MULTIVARIATE GARCH MODELS
    by SÉBASTIEN LAURENT   JEROEN V. K. ROMBOUTS   FRANCESCO VIOLANTE Published in Journal of applied econometrics (Chichester, England) (01.09.2012)
    “...This paper addresses the question of the selection of multivariate generalized autoregressive conditional heteroskedastic (GARCH) models in terms of variance...”
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  • 3
    Cover Image Journal Article
    THE CONTRIBUTION OF STRUCTURAL BREAK MODELS TO FORECASTING MACROECONOMIC SERIES
    by LUC BAUWENS   GARY KOOP   DIMITRIS KOROBILIS   JEROEN V. K. ROMBOUTS Published in Journal of applied econometrics (Chichester, England) (01.06.2015)
    “...This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their...”
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  • 4
    Cover Image Journal Article
    Theory and inference for a Markov switching GARCH model
    by Luc Bauwens   Arie Preminger   Jeroen V. K. Rombouts Published in The econometrics journal (01.01.2010)
    “...¿We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching...”
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  • 5
    Cover Image Journal Article
    Relevant parameter changes in structural break models
    by Dufays, Arnaud   Rombouts, Jeroen V.K Published in Journal of econometrics (01.07.2020)
    “...Structural break time series models, which are commonly used in macroeconomics and finance, capture unknown structural changes by allowing for abrupt changes...”
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  • 6
    Cover Image Journal Article
    Dynamics of variance risk premia: A new model for disentangling the price of risk
    by Rombouts, Jeroen V.K   Stentoft, Lars   Violante, Francesco Published in Journal of econometrics (01.08.2020)
    “...This paper formulates a new dynamic model for the variance risk premium based on a state space representation of a bivariate system for the observable ex-post...”
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  • 7
    Cover Image Journal Article
    Sparse Change-point HAR Models for Realized Variance
    by Dufays, Arnaud   Rombouts, Jeroen V. K Published in Econometric reviews (14.09.2019)
    “...Change-point time series specifications constitute flexible models that capture unknown structural changes by allowing for switches in the model parameters...”
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  • 8
    Cover Image Journal Article
    Marginal likelihood for Markov-switching and change-point GARCH models
    by Bauwens, Luc   Dufays, Arnaud   Rombouts, Jeroen V.K Published in Journal of econometrics (01.01.2014)
    “...GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are...”
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  • 9
    Cover Image Journal Article
    On loss functions and ranking forecasting performances of multivariate volatility models
    by Laurent, Sébastien   Rombouts, Jeroen V.K   Violante, Francesco Published in Journal of econometrics (01.03.2013)
    “...The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is substituted by a proxy, the ordering...”
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  • 10
    Cover Image Journal Article
    Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
    by Rombouts, Jeroen V.K   Verbeek, Marno Published in Quantitative finance (01.09.2009)
    “...In this paper we examine the usefulness of multivariate semi-parametric GARCH models for evaluating the Value-at-Risk (VaR) of a portfolio with arbitrary...”
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  • 11
    Cover Image Journal Article
    Option pricing with asymmetric heteroskedastic normal mixture models
    by Rombouts, Jeroen V.K   Stentoft, Lars Published in International journal of forecasting (01.07.2015)
    “...We propose an asymmetric GARCH in mean mixture model and provide a feasible method for option pricing within this general framework by deriving the appropriate...”
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  • 12
    Cover Image Journal Article
    Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality
    by Bouezmarni, Taoufik   Rombouts, Jeroen V.K   Taamouti, Abderrahim Published in Journal of business & economic statistics (01.04.2012)
    “...This article proposes a new nonparametric test for conditional independence that can directly be applied to test for Granger causality. Based on the comparison...”
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  • 13
    Cover Image Journal Article
    Multivariate option pricing with time varying volatility and correlations
    by Rombouts, Jeroen V.K   Stentoft, Lars Published in Journal of banking & finance (2011)
    “...In this paper we consider option pricing using multivariate models for asset returns. Specifically, we demonstrate the existence of an equivalent martingale...”
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  • 14
    Cover Image Journal Article
    Pricing individual stock options using both stock and market index information
    by Rombouts, Jeroen V.K   Stentoft, Lars   Violante, Francesco Published in Journal of banking & finance (01.02.2020)
    “...When it comes to individual stock option pricing, most applications consider a univariate framework. From a theoretical point of view this is unsatisfactory as...”
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  • 15
    Cover Image Journal Article
    SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
    by Hafner, Christian M   Rombouts, Jeroen V.K Published in Econometric theory (01.04.2007)
    “...We consider a model for a multivariate time series where the conditional covariance matrix is a function of a finite-dimensional parameter and the innovation...”
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  • 16
    Cover Image Journal Article
    Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
    by Rombouts, Jeroen V. K   Bouaddi, Mohammed Published in Studies in Nonlinear Dynamics & Econometrics (13.05.2009)
    “...Abstract To match the stylized facts of high frequency financial time series precisely and parsimoniously, this paper presents a finite mixture of conditional...”
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  • 17
    Cover Image Journal Article
    Nonlinear financial econometrics JoE special issue introduction
    by Rombouts, Jeroen V.K   Scaillet, Olivier   Veredas, David   Zakoian, Jean-Michel Published in Journal of econometrics (01.08.2020)
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  • 18
    Cover Image Journal Article
    Clustered panel data models: an efficient approach for nowcasting from poor data
    by Mouchart, Michel   Rombouts, Jeroen V.K Published in International journal of forecasting (01.07.2005)
    “...Nowcasting concerns the inference on the current realization of random variables using information available until a recent past. This paper proposes a...”
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  • 19
    Cover Image Journal Article
    Bayesian option pricing using mixed normal heteroskedasticity models
    by Rombouts, Jeroen V.K   Stentoft, Lars Published in Computational statistics & data analysis (01.08.2014)
    “...Option pricing using mixed normal heteroscedasticity models is considered. It is explained how to perform inference and price options in a Bayesian framework...”
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  • 20
    Cover Image Journal Article
    On marginal likelihood computation in change-point models
    by Bauwens, Luc   Rombouts, Jeroen V.K Published in Computational statistics & data analysis (01.11.2012)
    “...Change-point models are useful for modeling time series subject to structural breaks. For interpretation and forecasting, it is essential to estimate correctly...”
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