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All Publications

Displaying 1 - 25 of 42 results.

Pages

    • 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
    Semiparametric multivariate volatility models
    Hafner, Christian[UCL] Rombouts, Jeroen (2007) Econometric Theory — Vol. 23, no. 2, p. 251-280 (Avril 2007)
    • WorkingPaper
    Multivariate option pricing with time varying volatility and correlations
    Rombouts, Jeroen Stentoft, Lars (2010)
    • WorkingPaper
    Bayesian option pricing using mixed normal heteroskedasticity models
    Rombouts, Jeroen Stentoft, Lars (2009)
    • 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)
    • Journal article
    Bayesian inference for the mixed conditional heteroskedasticity model
    Bauwens, Luc[UCL] Rombouts, Jeroen[UCL] (2007) Econometrics Journal — Vol. 10, no. 2, p. 408-425 (Juillet 2007)
    • Journal article
    Bayesian Clustering of Many Garch Models
    Bauwens, Luc[UCL] Rombouts, Jeroen (2007) Econometric Reviews — Vol. 26, no. 2-4, p. 365-386 (Mars 2007)
    • WorkingPaper
    Asymptotic properties of the Bernstein density copula for dependent data
    Bouezmarni, Taoufik Rombouts, Jeroen Taamouti, Abderrahim (2008)
    • Journal article
    Multivariate GARCH models: a survey
    Bauwens, Luc[UCL] Laurent, Sébastien[UCL] Rombouts, Jeroen[UCL] (2006) Journal of Applied Econometrics — Vol. 21, no. 1, p. 79-109 (Janvier 2006)
    • Journal article
    Multivariate mixed normal conditional heteroskedasticity
    Bauwens, Luc[UCL] Hafner, Christian[UCL] Rombouts, Jeroen[UCL] (2007) Computational Statistics & Data Analysis — Vol. 51, no. 7, p. 3551-3566 (Avril 2007)
    • WorkingPaper
    On the Forecasting Accuracy of Multivariate GARCH Models
    Laurent, Sébastien Rombouts, Jeroen Violante, Francesco[FUNDP] (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
    Marginal likelihood for Markov-switching and change-point GARCH models
    Bauwens, Luc[UCL] Dufays, Arnaud[UCL] Rombouts, Jeroen (2011)
    • 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)
    • Journal article
    Theory and inference for a Markov switching GARCH model
    Bauwens, Luc[UCL] Preminger, Arie[UCL] Rombouts, Jeroen[UCL] (2009) The Econometrics Journal — Vol. 13, no. 2, p. 218-244 (2010)
    • WorkingPaper
    A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models
    Bauwens, Luc[UCL] Koop, Gary Rombouts, Jeroen[UCL] (2011)
    • WorkingPaper
    The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options
    Rombouts, Jeroen Stentoft, Lars Violante, Francesco[UCL] (2012)
    • WorkingPaper
    Dynamic optimal portfolio selection in a VaR framework
    Rengifo, Erick[UCL] Rombouts, Jeroen (2004)
    • WorkingPaper
    On marginal likelihood computation in change-point models
    Bauwens, Luc[UCL] Rombouts, Jeroen (2009)
    • WorkingPaper
    Bayesian inference for the mixed conditional heteroskedasticity model
    Bauwens, Luc[UCL] Rombouts, Jeroen (2005)
    • WorkingPaper
    Semiparametric multivariate GARCH models
    Hafner, Christian[UCL] Rombouts, Jeroen (2003)
    • WorkingPaper
    Density and hazard rate estimation for censored and a-mixing data using gamma kernels
    Bouezmarni, Taoufik[UCL] Rombouts, Jeroen (2006)
    • WorkingPaper
    Style rotation and performance persistence of mutual funds
    Meir, Iwan Rombouts, Jeroen (2008)
    • WorkingPaper
    Option pricing with asymmetric heteroskedastic normal mixture models
    Rombouts, Jeroen Stentoft, Lars (2010)

Pages