J. V. K. Rombouts

HEC Montreal

3000, Chemin de la Côte-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)

34 Voie du Roman Pays

B-1348 Louvain-la-Neuve, b-1348

Belgium

Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE)

Pavillon De Sève

Ste-Foy, Quebec G1K 7P4

Canada

Center for Interuniversity Research and Analysis on Organization (CIRANO)

2020 rue University, 25th floor

Montreal H3C 3J7, Quebec

Canada

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 7,091

SSRN RANKINGS

Top 7,091

in Total Papers Downloads

6,212

CITATIONS
Rank 4,982

SSRN RANKINGS

Top 4,982

in Total Papers Citations

175

Scholarly Papers (24)

1.

Multivariate GARCH Models: A Survey

CORE Discussion Paper No. 2003/31
Number of pages: 39 Posted: 06 Aug 2003
Luc Bauwens, Sébastien Laurent and J. V. K. Rombouts
Université catholique de Louvain, AMSE and HEC Montreal
Downloads 2,221 (5,971)
Citation 36

Abstract:

Loading...

Volatility, Multivariate GARCH models, Financial econometrics

2.

Regime Switching GARCH Models

CORE Discussion Paper No. 2006/11
Number of pages: 24 Posted: 14 Jul 2006
Luc Bauwens, Arie Preminger and J. V. K. Rombouts
Université catholique de Louvain, University of Haifa - Department of Economics and HEC Montreal
Downloads 549 (48,847)
Citation 19

Abstract:

Loading...

GARCH, regime switching, Bayesian inference

3.

Evaluating Portfolio Value-at-Risk Using Semi-Parametric GARCH Models

ERIM Report Series Reference No. ERS-2004-107-F&A
Number of pages: 32 Posted: 20 Jan 2005
J. V. K. Rombouts and Marno Verbeek
HEC Montreal and Erasmus University - Rotterdam School of Management
Downloads 546 (49,169)

Abstract:

Loading...

multivariate GARCH, semi-parametric estimation, value-at-risk, asset allocation

4.

Style Rotation and Performance Persistence of Mutual Funds

Number of pages: 38 Posted: 11 Dec 2008 Last Revised: 25 Aug 2009
Iwan Meier and J. V. K. Rombouts
HEC Montreal - Department of Finance and HEC Montreal
Downloads 428 (66,610)
Citation 5

Abstract:

Loading...

Mutual fund, Performance persistence, Style rotation

5.

Dynamic Optimal Portfolio Selection in a VAR Framework

CORE Discussion Paper No. 2004/57
Number of pages: 32 Posted: 19 Feb 2006
Erick W. Rengifo and J. V. K. Rombouts
Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and HEC Montreal
Downloads 390 (74,408)
Citation 5

Abstract:

Loading...

Portfolio Selection, Value-at-Risk, Skewed-t distribution, Weighted Maximum Likelihood

Theory and Inference for a Markov Switching GARCH Model

CORE Discussion Paper No. 2007/55
Number of pages: 26 Posted: 06 Sep 2007
Luc Bauwens, Arie Preminger and J. V. K. Rombouts
Université catholique de Louvain, University of Haifa - Department of Economics and HEC Montreal
Downloads 271 (111,026)
Citation 6

Abstract:

Loading...

GARCH, Markov-switching, Bayesian inference

Theory and Inference for a Markov Switching GARCH Model

Econometrics Journal, Vol. 13, Issue 2, pp. 218-244, July 2010
Number of pages: 27 Posted: 10 May 2010
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 3 (654,528)
Citation 3
  • Add to Cart

Abstract:

Loading...

7.

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

Number of pages: 51 Posted: 12 Dec 2008 Last Revised: 24 Feb 2009
J. V. K. Rombouts and Lars Stentoft
HEC Montreal and Department of Economics, University of Western Ontario
Downloads 258 (117,469)
Citation 3

Abstract:

Loading...

Bayesian inference, option pricing, finite mixture models, out-of-sample prediction, GARCH models

Multivariate Option Pricing with Time Varying Volatility and Correlations

CREATES Research Paper No. 2010-19
Number of pages: 40 Posted: 12 May 2010
J. V. K. Rombouts and Lars Stentoft
HEC Montreal and Department of Economics, University of Western Ontario
Downloads 106 (254,536)

Abstract:

Loading...

Multivariate risk premia, Option pricing, GARCH models

Multivariate Option Pricing with Time Varying Volatility and Correlations

CIRANO - Scientific Publications 2010s-23
Number of pages: 40 Posted: 20 May 2010
J. V. K. Rombouts and Lars Stentoft
HEC Montreal and Department of Economics, University of Western Ontario
Downloads 71 (328,317)
Citation 1

Abstract:

Loading...

Multivariate risk premia, Option pricing, GARCH models

Multivariate Option Pricing with Time Varying Volatility and Correlations

Number of pages: 39 Posted: 26 Aug 2010
J. V. K. Rombouts and Lars Stentoft
HEC Montreal and Department of Economics, University of Western Ontario
Downloads 64 (347,523)

Abstract:

Loading...

Multivariate risk premia, Option pricing, GARCH models

9.

Econometrics

Handbook of Computational Statistics, Vol. I, pp. 952-979, Forthcoming
Number of pages: 29 Posted: 18 Apr 2005
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 225 (134,836)

Abstract:

Loading...

Numerical integration, simulation, dynamic discrete choice, stochastic volatility, finire mixtures

10.

Semiparametric Multivariate Density Estimation for Positive Data Using Copulas

CORE Discussion Paper No. 2007/54
Number of pages: 28 Posted: 30 Aug 2007
Taoufik Bouezmarni and J. V. K. Rombouts
HEC Montreal and HEC Montreal
Downloads 116 (237,468)

Abstract:

Loading...

Asymptotic properties, asymmetric kernels, boundary bias, copula, curse of dimension, least squares cross validation

11.

Marginal Likelihood for Markov-Switching and Change-Point GARCH Models

CIRANO - Scientific Publication No. 2011s-72
Number of pages: 36 Posted: 29 Nov 2011
Luc Bauwens, Arnaud Dufays and J. V. K. Rombouts
Université catholique de Louvain, Université catholique de Louvain, CORE and HEC Montreal
Downloads 115 (238,923)
Citation 7

Abstract:

Loading...

Bayesian inference, Simulation, GARCH, Markov-switching model, Change-point model, Marginal likelihood, Particle MCMC

12.

Bayesian Clustering of Many GARCH Models

CORE Discussion Paper No. 2003/87
Number of pages: 42 Posted: 14 Apr 2005
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 114 (240,393)
Citation 3

Abstract:

Loading...

Bayesian inference, Clustering, GARCH, Gibbs sampling, Mixtures

13.

Nonparametric Density Estimation for Positive Time Series

CORE Discussion Paper No. 2006/85
Number of pages: 32 Posted: 05 Dec 2006
Taoufik Bouezmarni and J. V. K. Rombouts
HEC Montreal and HEC Montreal
Downloads 96 (270,476)
Citation 4

Abstract:

Loading...

Gamma kernel, Nonparametric density estimation, Mixing process, Transaction durations, Realised volatility

14.

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

CIRANO - Scientific Publications No. 2010s-38
Posted: 25 Sep 2010 Last Revised: 15 Nov 2010
J. V. K. Rombouts and Lars Stentoft
HEC Montreal and Department of Economics, University of Western Ontario
Downloads 81 (300,945)
Citation 6

Abstract:

Loading...

Asymmetric Heteroskedastic Models, Finite Mixture Models, Option Pricing

15.

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

CIRANO - Scientific Publications 2009s-45
Number of pages: 65 Posted: 17 Nov 2009 Last Revised: 21 Apr 2012
Sébastien Laurent, J. V. K. Rombouts and Francesco Violante
AMSE, HEC Montreal and Maastricht University - Department of Economics
Downloads 80 (303,145)
Citation 17

Abstract:

Loading...

Volatility, multivariate GARCH, matrix norm, loss function, model confidence set

16.

The Contribution of Structural Break Models to Forecasting Macroeconomic Series

Number of pages: 35 Posted: 21 Aug 2011 Last Revised: 10 May 2017
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 78 (307,725)
Citation 2

Abstract:

Loading...

Forecasting, change-points, Markov switching, Bayesian inference

17.

Multivariate Mixed Normal Conditional Heteroskedasticity

CORE Discussion Paper No. 2006/12
Number of pages: 23 Posted: 15 Jul 2006
Luc Bauwens, Christian Hafner and J. V. K. Rombouts
Université catholique de Louvain, Catholic University of Louvain (UCL) - School of Statistics and HEC Montreal
Downloads 77 (310,084)
Citation 1

Abstract:

Loading...

Multivariate volatility, Finite mixture, EM algorithm, Bayesian inference

Bayesian Inference for the Mixed Conditional Heteroskedasticity Model

CORE Discussion Paper No. 2005/85
Number of pages: 24 Posted: 24 Feb 2006
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 51 (388,955)
Citation 1

Abstract:

Loading...

Finite mixture, ML estimation, Bayesian inference, Value at Risk.

Bayesian Inference for the Mixed Conditional Heteroskedasticity Model

Econometrics Journal, Vol. 10, No. 2, pp. 408-425, July 2007
Number of pages: 18 Posted: 27 Jun 2007
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 25 (504,989)
  • Add to Cart

Abstract:

Loading...

19.

Clustered Panel Data Models: An Efficient Approach for Nowcasting from Poor Data

CORE Discussion Paper No. 2003/90
Number of pages: 30 Posted: 23 Apr 2007
Michel Mouchart and J. V. K. Rombouts
Catholic University of Louvain (UCL) - School of Statistics and HEC Montreal
Downloads 71 (324,661)

Abstract:

Loading...

panel data, forecast, nowcast, missing data, clustering, R&D data

20.

A Comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models

CIRANO - Scientific Publications No. 2011s-13
Posted: 27 Jan 2011
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 66 (337,754)
Citation 1

Abstract:

Loading...

Forecasting, change-points, Markov switching, Bayesian inference

21.

Density and Hazard Rate Estimation for Censored and A-Mixing Data Using Gamma Kernels

CORE Discussion Paper 2006/118
Number of pages: 22 Posted: 14 Mar 2007
Taoufik Bouezmarni and J. V. K. Rombouts
HEC Montreal and HEC Montreal
Downloads 55 (369,705)
Citation 1

Abstract:

Loading...

Gamma kernel, Kaplan Meier, density and hazard function, mean integrated squared error, consistency, asymptotic normality

22.

The Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options

CIRANO - Scientific Publications 2012s-05
Number of pages: 41 Posted: 21 Apr 2012
J. V. K. Rombouts, Lars Stentoft and Francesco Violante
HEC Montreal, Department of Economics, University of Western Ontario and Maastricht University - Department of Economics
Downloads 37 (433,927)
Citation 1

Abstract:

Loading...

option pricing, economic loss, forecasting, multivariate GARCH, model confidence set

23.

Sparse Change-Point Har Models for Realized Variance

CRREP working paper 2016-07
Number of pages: 32 Posted: 30 Mar 2018
Arnaud Dufays and J. V. K. Rombouts
Université Laval and HEC Montreal
Downloads 10 (578,374)

Abstract:

Loading...

Realized variance, Bayesian inference, Time series, Shrinkage prior, Change-point model, Online forecasting

24.

On Marginal Likelihood Computation in Change-Point Models

Computational Statistics and Data Analysis, 56, 3415-3429, 2012
Number of pages: 35 Posted: 09 May 2017
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 8 (590,984)
Citation 1

Abstract:

Loading...

Bayesian inference, BIC, change-point model, structural break, marginal likelihood

Other Papers (1)

Total Downloads: 6
1.

Technical Appendix to 'The Contribution of Structural Break Models to Forecasting Macroeconomic Series'

Number of pages: 42 Posted: 21 Aug 2011 Last Revised: 10 May 2017
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 6

Abstract:

Loading...

Forecasting, Structural Breaks, Change Points, Markov Switching, Bayesian Inference