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Displaying 1 - 25 of 27 results.

Pages

    • WorkingPaper
    Dynamic optimal portfolio selection in a VaR framework
    Rengifo, Erick[UCL] Rombouts, Jeroen (2004)
    • Journal article
    Density and hazard rate estimation for censored and alpha-mixing data using gamma kernels
    Bouezmarni, Taoufik[UCL] Rombouts, Jeroen[UCL] (2008) Journal of Nonparametric Statistics — Vol. 20, no. 7, p. 627-643 (2008)
    • WorkingPaper
    Density and hazard rate estimation for censored and a-mixing data using gamma kernels
    Bouezmarni, Taoufik[UCL] Rombouts, Jeroen (2006)
    • Journal article
    Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
    Rombouts, Jeroen[UCL] Verbeek, Marno (2009) Quantitative Finance — Vol. 9, no. 6, p. 737-745 (2009)
    • WorkingPaper
    Semiparametric multivariate density estimation for positive data using copulas
    Bouezmarni, Taoufik[UCL] Rombouts, Jeroen (2007)
    • WorkingPaper
    The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options
    Rombouts, Jeroen Stentoft, Lars Violante, Francesco[UCL] (2012)
    • Journal article
    On the forecasting accuracy of multivariate GARCH models
    Laurent, Sébastien[UCL] Rombouts, Jeroen[UCL] Violante, Francesco[UCL] (2012) Journal of Applied Econometrics — Vol. 27, no. 6, p. 934-955 (2012)
    • Journal article
    Nonparametric density estimation for multivariate bounded data
    Bouezmarni, Taoufik Rombouts, Jeroen[UCL] (2009) Journal of Statistical Planning and Inference — Vol. 140, no. 1, p. 139-152 (2010)
    • Journal article
    Estimation of temporally aggregated multivariate GARCH models
    Hafner, Christian[UCL] Rombouts, Jeroen (2007) Journal of Statistical Computation and Simulation — Vol. 77, no. 8, p. 629-650 (Janvier 2007)
    • WorkingPaper
    Clustered panel data models: an efficient approach for nowcasting from poor data
    Mouchart, Michel[UCL] Rombouts, Jeroen (2003)
    • Journal article
    Clustered panel data models: an efficient approach for nowcasting from poor data
    Mouchart, Michel[UCL] Rombouts, Jeroen (2005) International Journal of Forecasting — Vol. 21, no. 3, p. 577-594 (2005)
    • WorkingPaper
    A nonparametric copula based test for conditional independence with applications to Granger causality
    Bouezmarni, Taoufik Rombouts, Jeroen Taamouti, Abderrahim (2009)
    • WorkingPaper
    Multivariate option pricing with time varying volatility and correlations
    Rombouts, Jeroen Stentoft, Lars (2010)
    • WorkingPaper
    Option pricing with asymmetric heteroskedastic normal mixture models
    Rombouts, Jeroen Stentoft, Lars (2010)
    • WorkingPaper
    Asymptotic properties of the Bernstein density copula for dependent data
    Bouezmarni, Taoufik Rombouts, Jeroen Taamouti, Abderrahim (2008)
    • WorkingPaper
    Nonparametric density estimation for multivariate bounded data.
    Bouezmarni, Taoufik[UCL] Rombouts, Jeroen[UCL] (2007)
    • WorkingPaper
    On the Forecasting Accuracy of Multivariate GARCH Models
    Laurent, Sébastien Rombouts, Jeroen Violante, Francesco[FUNDP] (2010)
    • WorkingPaper
    Consistent ranking of multivariate volatility models.
    Laurent, Sébastien[UCL] Rombouts, Jeroen Violante, Francesco[FUNDP] (2009)
    • WorkingPaper
    Style rotation and performance persistence of mutual funds
    Meir, Iwan Rombouts, Jeroen (2008)
    • WorkingPaper
    Mixed exponential power asymmetric conditional heteroskedasticity
    Bouaddi, Mohammed Rombouts, Jeroen[UCL] (2007)
    • WorkingPaper
    Nonparametric density estimation for positive time series
    Bouezmarni, Taoufik[UCL] Rombouts, Jeroen (2006)
    • WorkingPaper
    Bayesian option pricing using mixed normal heteroskedasticity models
    Rombouts, Jeroen Stentoft, Lars (2009)
    • Journal article
    Semiparametric multivariate volatility models
    Hafner, Christian[UCL] Rombouts, Jeroen (2007) Econometric Theory — Vol. 23, no. 2, p. 251-280 (Avril 2007)
    • Journal article
    Semiparametric multivariate density estimation for positive data using copulas
    Bouezmarni, Taoufik Rombouts, Jeroen[UCL] (2008) Computational Statistics & Data Analysis — Vol. 53, no. 6, p. 2040-2054 (2009)
    • WorkingPaper
    Estimation of temporally aggregated multivariate GARCH models
    Hafner, Christian[UCL] Rombouts, Jeroen (2003)

Pages