Tim Verdonck

KU Leuven

Prof

Celestijnenlaan 200B

Leuven, 3001

Belgium

SCHOLARLY PAPERS

9

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1,558

SSRN CITATIONS
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Top 37,139

in Total Papers Citations

20

CROSSREF CITATIONS

4

Scholarly Papers (9)

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1.

A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables

Journal of Financial Econometrics, Forthcoming
Number of pages: 32 Posted: 20 Sep 2016 Last Revised: 15 Aug 2018
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Asteria Investment Managers and KU Leuven
Downloads 384 (134,331)
Citation 10

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

2.

Mandatory CSR reporting in Europe: A textual analysis of firms’ climate disclosure practices

Number of pages: 94 Posted: 30 Sep 2022 Last Revised: 03 Oct 2023
Bjarne Brié, Kristof Stouthuysen and Tim Verdonck
Vlerick Business School, Vlerick Business School and KU Leuven
Downloads 370 (139,933)

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CSR disclosure, climate change, disclosure regulation, machine learning, textual analysis, annual reports

3.

Optimal Risk Transfer under Quantile-Based Risk Measures

Insurance: Mathematics and Economics, 2013, Volume 53, Issue 1, p. 252-265
Number of pages: 26 Posted: 29 Jan 2012 Last Revised: 17 Nov 2014
Alexandru Vali Asimit, Alexandru Badescu and Tim Verdonck
Cass Business School, City, University of London, University of Calgary and KU Leuven
Downloads 192 (270,041)
Citation 5

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Expected Shortfall, Distorted Risk Measure, Premium Principle, Optimal Reinsurance, Truncated Tail-Value-at-Risk , Value-at-Risk

4.

The Evolution of Risk Factor Disclosures through a Structural Topic Model

Number of pages: 55 Posted: 30 Sep 2022 Last Revised: 11 Jan 2023
Carl-Erik Heyvaert, Kristof Stouthuysen and Tim Verdonck
Vlerick Business School, Vlerick Business School and KU Leuven
Downloads 165 (308,097)

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Risk factor; Disclosure; Structural topic model; Industry; Prevalence; Informativeness

5.

The Minimum Regularized Covariance Determinant Estimator

Number of pages: 27 Posted: 03 Feb 2017 Last Revised: 01 Dec 2018
Kris Boudt, Peter Rousseeuw, Steven Vanduffel and Tim Verdonck
Ghent University, KU Leuven - Department of Mathematics, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 141 (350,725)
Citation 10

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Breakdown value, High-dimensional data, Regularization, Robust covariance estimation

6.

Nearest Comoment Estimation with Unobserved Factors

Number of pages: 35 Posted: 13 Dec 2017 Last Revised: 19 Apr 2020
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Asteria Investment Managers and KU Leuven
Downloads 125 (384,600)
Citation 5

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Higher-order multivariate moments; latent factor model; minimum distance estimation; risk assessment; structural equation modelling

7.

Supplementary Appendix to: A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables

Number of pages: 40 Posted: 18 May 2017 Last Revised: 04 Jun 2018
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Asteria Investment Managers and KU Leuven
Downloads 112 (416,932)

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

8.

Supplementary Appendix to: Nearest Comoment Estimation with Unobserved Factors

Number of pages: 27 Posted: 12 Nov 2018 Last Revised: 30 Mar 2019
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Asteria Investment Managers and KU Leuven
Downloads 55 (632,470)

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higher-order multivariate moments; latent factor model; minimum distance estimation; risk assessment; structural equation modelling

9.

The Materiality of Risk Factor Disclosures through a Structural Topic Model

Number of pages: 56 Posted: 02 Dec 2023
Carl-Erik Heyvaert, Kristof Stouthuysen and Tim Verdonck
Vlerick Business School, Vlerick Business School and KU Leuven
Downloads 14 (942,404)

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Risk; Disclosure; Structural topic model; Informativeness; Stock price synchronicity