Jeroen Rombouts

ESSEC Business School

3 Avenue Bernard Hirsch

CS 50105 CERGY

CERGY, CERGY PONTOISE CEDEX 95021

France

SCHOLARLY PAPERS

2

DOWNLOADS

139

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Lasso-Based Forecast Combinations for Forecasting Realized Variances

Number of pages: 24 Posted: 22 Nov 2016
Ines Wilms, Jeroen Rombouts and Christophe Croux
KU Leuven - Department of Applied Economics, ESSEC Business School and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 98 (295,684)

Abstract:

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Forecast combination, Hierarchical lasso, Lasso, Ordered Lasso, Realized variance, Volatility forecasting

2.

Sparse Change-Point VAR models

Number of pages: 62 Posted: 10 Oct 2019
Arnaud Dufays, Li Zhuo, Jeroen Rombouts and Yong Song
CeReFiM. Université de Namur., University of Melbourne - Faculty of Business and Economics, ESSEC Business School and University of Melbourne
Downloads 41 (461,624)

Abstract:

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Shrinkage prior, Structural breaks, Change-point model, Time-varying parameters, Forecasting, Relevant parameter change