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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Top 4,604

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120

CROSSREF CITATIONS

116

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 2,234 (6,254)
Citation 95

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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 563 (49,401)
Citation 22

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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 548 (51,085)

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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 432 (68,654)
Citation 5

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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 394 (76,648)
Citation 5

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

6.

Theory and Inference for a Markov Switching GARCH Model

Downloads 287 (109,349)
Citation 24

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 284 (109,937)
Citation 7

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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 (679,655)
Citation 3
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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 260 (121,288)
Citation 4

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

8.

Multivariate Option Pricing with Time Varying Volatility and Correlations

Downloads 244 (129,550)
Citation 6

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 107 (262,577)
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 72 (338,187)
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 65 (357,836)
Citation 1

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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 228 (138,439)

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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 117 (245,117)
Citation 10

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

11.

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 117 (245,117)

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

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 115 (248,221)
Citation 4

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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 100 (273,621)
Citation 5

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

14.

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 84 (305,708)
Citation 22

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

15.

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 83 (308,030)
Citation 6

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Asymmetric Heteroskedastic Models, Finite Mixture Models, Option Pricing

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 80 (314,827)
Citation 8

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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 78 (319,513)
Citation 6

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Multivariate volatility, Finite mixture, EM algorithm, Bayesian inference

18.

Bayesian Inference for the Mixed Conditional Heteroskedasticity Model

Downloads 78 (319,513)
Citation 6

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 53 (396,649)
Citation 1

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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 (524,459)
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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 73 (331,908)

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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 69 (342,368)
Citation 2

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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 56 (380,614)
Citation 2

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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 39 (442,080)
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
CeReFiM. Université de Namur. and HEC Montreal
Downloads 11 (594,735)
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 11 (594,735)
Citation 1

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

Other Papers (1)

Total Downloads: 7
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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 7

Abstract:

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