Jonathan Cornelissen

KU Leuven - Faculty of Business and Economics (FEB)

Naamsestraat 69

Leuven, B-3000

Belgium

SCHOLARLY PAPERS

3

DOWNLOADS

345

CITATIONS

1

Scholarly Papers (3)

1.

Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components

Computational Statistics and Data Analysis 56, 2993-3005
Number of pages: 35 Posted: 17 Oct 2010 Last Revised: 14 Jun 2012
Kris Boudt, Jonathan Cornelissen and Christophe Croux
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 153 (157,394)

Abstract:

Epps Effect, High Frequency Data, Integrated Covariance, Jumps, Non-Synchronous Trading, Realized Covariance

2.

The Gaussian Rank Correlation Estimator: Robustness Properties

Statistics and Computing, Vol. 22, pp. 471-483, 2012
Number of pages: 25 Posted: 13 Oct 2010 Last Revised: 04 Mar 2012
Kris Boudt, Jonathan Cornelissen and Christophe Croux
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 129 (181,008)
Citation 1

Abstract:

Breakdown, Correlation, Efficiency, Robustness, Van der Waerden

3.

The Impact of a Sustainability Constraint on the Mean-Tracking Error Efficient Frontier

Economics Letters 119, 255-260
Number of pages: 13 Posted: 09 May 2012 Last Revised: 30 May 2014
Kris Boudt, Jonathan Cornelissen and Christophe Croux
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 62 (290,494)

Abstract:

Mean-variance optimization, Minimum tracking error, Portfolio optimization, Socially responsible investment, Sustainability