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

  • HEC Montreal

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

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

  • Center for Interuniversity Research and Analysis on Organization (CIRANO)

SCHOLARLY PAPERS

24

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8,370

TOTAL CITATIONS
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Top 7,575

in Total Papers Citations

251

Scholarly Papers (24)

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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 2,605 (11,505)
Citation 117

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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 934 (54,277)

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GARCH, regime switching, Bayesian inference

3.

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

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 599 (97,207)

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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 510 (118,897)
Citation 7

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Mutual fund, Performance persistence, Style rotation

5.

Multivariate Option Pricing with Time Varying Volatility and Correlations

Downloads 445 (140,126)
Citation 9

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 209 (309,670)
Citation 1

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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 124 (488,422)
Citation 7

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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 112 (529,090)
Citation 1

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Multivariate risk premia, Option pricing, GARCH models

6.

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 442 (141,216)
Citation 6

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GARCH, Markov-switching, Bayesian inference

7.

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 421 (149,427)
Citation 6

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

8.

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 301 (216,047)
Citation 4

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Bayesian inference, option pricing, finite mixture models, out-of-sample prediction, 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 267 (244,714)

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

10.

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 180 (356,956)
Citation 20

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

11.

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 179 (358,710)
Citation 12

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Forecasting, change-points, Markov switching, Bayesian inference

12.

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 167 (383,365)
Citation 35

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

13.

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 160 (395,659)
Citation 6

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Bayesian inference, Clustering, GARCH, Gibbs sampling, Mixtures

14.

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 143 (434,078)
Citation 5

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

15.

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 142 (436,506)

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

16.

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 133 (460,128)
Citation 6

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Asymmetric Heteroskedastic Models, Finite Mixture Models, Option Pricing

17.

Multivariate Mixed Normal Conditional Heteroskedasticity

CORE Discussion Paper No. 2006/12
Number of pages: 23 Posted: 15 Jul 2006
Luc Bauwens, Christian M. Hafner and J. V. K. Rombouts
Université catholique de Louvain, Catholic University of Louvain - Institute of Statistics and HEC Montreal
Downloads 114 (518,590)
Citation 6

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Multivariate volatility, Finite mixture, EM algorithm, Bayesian inference

18.

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 112 (525,580)
Citation 2

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

19.

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 111 (529,133)
Citation 3

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Forecasting, change-points, Markov switching, Bayesian inference

20.

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 109 (536,179)

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

21.

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 108 (543,687)
Citation 2

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

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 89 (615,088)
Citation 1

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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
EDHEC Business school and HEC Montreal
Downloads 53 (813,617)
Citation 1

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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 46 (868,709)
Citation 3

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

Other Papers (1)

Total Downloads: 41
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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 41

Abstract:

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