Jeroen VK Rombouts
Jeroen VK Rombouts
Verified email at essec.edu - Homepage
Title
Cited by
Cited by
Year
Multivariate GARCH models: a survey
L Bauwens, S Laurent, JVK Rombouts
Journal of applied econometrics 21 (1), 79-109, 2006
23172006
On the forecasting accuracy of multivariate GARCH models
S Laurent, JVK Rombouts, F Violante
Journal of Applied Econometrics 27 (6), 934-955, 2012
1722012
Theory and inference for a Markov switching GARCH model
L Bauwens, A Preminger, JVK Rombouts
The Econometrics Journal 13 (2), 218-244, 2010
1612010
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
992013
Marginal likelihood for Markov-switching and change-point GARCH models
L Bauwens, A Dufays, JVK Rombouts
Journal of Econometrics 178, 508-522, 2014
802014
Nonparametric density estimation for multivariate bounded data
T Bouezmarni, JVK Rombouts
Journal of Statistical Planning and Inference 140 (1), 139-152, 2010
782010
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
662012
Regime switching GARCH models
L Bauwens, A Preminger, JVK Rombouts
Available at SSRN 914144, 2006
642006
Case representation by medical experts, intermediates and novices for laboratory data presented with or without a clinical context
PPJL Verkoeijen, RMJP Rikers, HG Schmidt, MWJ Van De Wiel, ...
Medical education 38 (6), 617-627, 2004
632004
Multivariate mixed normal conditional heteroskedasticity
L Bauwens, CM Hafner, JVK Rombouts
Computational Statistics & Data Analysis 51 (7), 3551-3566, 2007
622007
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
572015
Bayesian clustering of many GARCH models
L Bauwens, JVK Rombouts
Econometric Reviews 26 (2-4), 365-386, 2007
552007
Unionised labour market and strategic production decision of a multinational
A Mukherjee
The Economic Journal 118 (532), 1621-1639, 2008
542008
Semiparametric multivariate volatility models
CM Hafner, JVK Rombouts
Econometric Theory, 251-280, 2007
512007
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
422010
Nonparametric density estimation for positive time series
T Bouezmarni, JVK Rombouts
Computational Statistics & Data Analysis 54 (2), 245-261, 2010
372010
Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
JVK Rombouts, M Verbeek
Quantitative Finance 9 (6), 737-745, 2009
342009
Value function approximation or stopping time approximation: a comparison of two recent numerical methods for American option pricing using simulation and regression
L Stentoft
Journal of Computational Finance 18 (1), 2014
272014
Estimation of temporally aggregated multivariate GARCH models
CM Hafner, JVK Rombouts
Journal of Statistical Computation and Simulation 77 (8), 629-650, 2007
272007
Bayesian inference for the mixed conditional heteroskedasticity model
L Bauwens, JVK Rombouts
The Econometrics Journal 10 (2), 408-425, 2007
272007
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Articles 1–20