Geert Dhaene

KU Leuven - Department of Economics

Leuven, B-3000

Belgium

SCHOLARLY PAPERS

5

DOWNLOADS

491

SSRN CITATIONS

2

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

Testing Futures Returns Predictability: Implications for Hedgers

Number of pages: 28 Posted: 09 Nov 2007
FEB at KU Leuven, KU Leuven - Department of Economics and KU Leuven
Downloads 175 (208,140)

Abstract:

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Average derivative estimates, Futures market, Hedging, Futures, IT, Expected, Forecasting, Variables, Indexes, Estimator, Information, Implications, Risk

2.

Mixed-Frequency Multivariate GARCH

KU Leuven Department of Economics, Discussion Paper Series DPS16.12
Number of pages: 21 Posted: 23 Jun 2016
Geert Dhaene and Wu Jianbin
KU Leuven - Department of Economics and KU Leuven - Department of Economics
Downloads 133 (260,854)
Citation 1

Abstract:

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multivariate GARCH, mixed-frequency sampling, overnight returns

3.

Sparse Multivariate GARCH

KU Leuven Department of Economics, Discussion Paper Series, DPS16.11
Number of pages: 17 Posted: 23 Jun 2016
Wu Jianbin and Geert Dhaene
KU Leuven - Department of Economics and KU Leuven - Department of Economics
Downloads 84 (356,168)

Abstract:

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multivariate GARCH, regularization, penalized estimation, volatility spillovers, correlation spillovers

4.

Sequential Reciprocity in Two-Player, Two-Stages Games: An Experimental Analysis

Number of pages: 62 Posted: 17 Oct 2007
Geert Dhaene and Jan Bouckaert
KU Leuven - Department of Economics and University of Antwerp - Department of Economics
Downloads 62 (420,915)
Citation 2

Abstract:

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sequential reciprocity

5.

The Risk-Return Tradeoff in International Stock Markets: One-Step Multivariate GARCH-M Estimation with Many Assets

KU Leuven Department of Economics, Discussion Paper Series DPS16.13
Number of pages: 26 Posted: 23 Jun 2016
Geert Dhaene, Piet Sercu and Wu Jianbin
KU Leuven - Department of Economics, FEB at KU Leuven and KU Leuven - Department of Economics
Downloads 37 (522,180)

Abstract:

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international asset pricing, currency risk, multivariate GARCH-M