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1by 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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2by 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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3by 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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4by 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“...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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6by 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“...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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8by 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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9by 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“...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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11by 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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12by 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“...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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14by 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“...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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16by 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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18by 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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19by 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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20by 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...”