Tim Verdonck

KU Leuven

Prof

Celestijnenlaan 200B

Leuven, 3001

Belgium

SCHOLARLY PAPERS

6

DOWNLOADS

656

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

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, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 240 (127,483)
Citation 4

Abstract:

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

2.

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
Cass Business School, City, University of London, University of Calgary and KU Leuven
Downloads 174 (172,407)
Citation 2

Abstract:

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

3.

Nearest Comoment Estimation with Unobserved Factors

Number of pages: 35 Posted: 13 Dec 2017 Last Revised: 30 Mar 2019
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 84 (296,521)
Citation 1

Abstract:

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

4.

The Minimum Regularized Covariance Determinant Estimator

Number of pages: 27 Posted: 03 Feb 2017 Last Revised: 01 Dec 2018
Ghent University, KU Leuven - Department of Mathematics, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 73 (322,110)
Citation 2

Abstract:

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

5.

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, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 72 (324,488)

Abstract:

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

6.

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, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 13 (564,198)

Abstract:

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