Kris Boudt

Ghent University

Sint-Pietersplein 5

Gent, 9000

Belgium

Vrije Universiteit Brussel

Pleinlaan 2

http://www.vub.ac.be/

Brussels, 1050

Belgium

Vrije Universiteit Amsterdam

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

SCHOLARLY PAPERS

61

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100

Ideas:
“  Sentometrics!  ”

Scholarly Papers (61)

1.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Vol. 91, Issue 4, 2019
Number of pages: 38 Posted: 02 Oct 2016 Last Revised: 20 Nov 2019
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 3,847 (2,483)
Citation 16

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GARCH, MSGARCH, Markov-switching, conditional volatility, forecasting, R software

2.

Asset Allocation with Conditional Value-at-Risk Budgets

Journal of Risk 15 (3), Spring 39-68
Number of pages: 36 Posted: 16 Jul 2011 Last Revised: 30 Aug 2013
Kris Boudt, Peter Carl and Brian G. Peterson
Ghent University, William Blair & Co. and University of Washington
Downloads 1,662 (10,251)
Citation 6

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Asset Allocation, CVaR, Risk budgets

3.

Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns

Journal of Risk, Vol. 11, No. 2, pp. 79-103, 2008
Number of pages: 33 Posted: 12 Nov 2007 Last Revised: 04 Mar 2012
Ghent University, University of Washington and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)
Downloads 1,466 (12,492)
Citation 9

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Customer lifetime value, Value, Companies, Order, Model, Product, Expected

4.

Generalized Autoregressive Score Models in R: The GAS Package

Journal of Statistical Software, Vol. 88, Issue 6, pp. 1-28, 2019
Number of pages: 28 Posted: 21 Aug 2016 Last Revised: 04 Feb 2019
David Ardia, Kris Boudt and Leopoldo Catania
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,358 (14,124)
Citation 3

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GAS, Time Series Models, Score Models, Dynamic Conditional Score, R Software

5.

Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study

International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018
Number of pages: 36 Posted: 16 Feb 2017 Last Revised: 28 Mar 2019
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,208 (16,921)
Citation 6

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GARCH, MSGARCH, forecasting performance, large-scale study, Value-at-Risk, Expected Shortfall, risk management

6.

The Peer Performance Ratios of Hedge Funds

Journal of Banking and Finance, Vol. 87, pp. 351-368, 2018
Number of pages: 35 Posted: 08 Feb 2012 Last Revised: 04 Nov 2018
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 915 (25,465)
Citation 1

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False discoveries, hedge fund, multiple hypothesis testing, peer performance, performance measurement

7.

Differential Evolution with DEoptim: An Application to Non-Convex Portfolio Optimization

The R Journal, Vol. 3, No. 1, pp. 27-34, 2011
Number of pages: 8 Posted: 05 Apr 2010 Last Revised: 03 Aug 2018
HEC Montreal - Department of Decision Sciences, Ghent University, William Blair & Co., Government of the United States of America - National Institute of Standards and Technology (NIST) and University of Washington
Downloads 884 (26,748)
Citation 1

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Differential optimization, non-convex portfolio optimization, DEoptim, R software

8.

Higher Order Comoments of Multifactor Models and Asset Allocation

Finance Research Letters, 13, 225-233, 2014
Number of pages: 13 Posted: 18 Mar 2014 Last Revised: 21 Nov 2017
Kris Boudt, Wanbo Lu and Benedict Peeters
Ghent University, Southwestern University of Finance and Economics (SWUFE) and Finvex Group
Downloads 844 (28,550)
Citation 3

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factor models, higher order comoments, portfolio selection

9.

Downside Risk Evaluation with the R Package GAS

R Journal, Vol. 10, Issue 2, pp. 410-421, 2018
Number of pages: 12 Posted: 17 Nov 2016 Last Revised: 27 Feb 2019
David Ardia, Kris Boudt and Leopoldo Catania
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 721 (35,511)
Citation 1

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GAS, Time Series Models, Score Models, Dynamic Conditional Score, Risk Management, VaR, R Software

10.

Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation

Quantitative Finance, Vol. 18, Issue 8, pp.1249-1259, 2018
Number of pages: 42 Posted: 11 Aug 2016 Last Revised: 31 Jul 2018
David Ardia, Kris Boudt and Giang Nguyen
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 714 (35,977)
Citation 1

Abstract:

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Asset Allocation, Performance/Risk Contribution, Target Relative Performance Portfolio

11.

The Impact of Covariance Misspecification in Risk-Based Portfolios

Annals of Operation Research, Vol. 254, No. 1, pp. 1-16, 2017
Number of pages: 17 Posted: 28 Aug 2015 Last Revised: 15 Nov 2017
HEC Montreal - Department of Decision Sciences, University of Neuchatel - Institute of Financial Analysis, Ghent University and Université Laval - Département de Finance et Assurance
Downloads 658 (40,128)
Citation 3

Abstract:

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Covariance misspecification, Monte Carlo study, Risk-based portfolios

Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model

Journal of Empirical Finance, 43, 143-158, 2017
Number of pages: 33 Posted: 31 Aug 2010 Last Revised: 21 Nov 2017
Ghent University, London Business School - Department of Finance and Department of Finance
Downloads 511 (55,081)
Citation 1

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Financial distress, funding liquidity, market liquidity, systemic risk, two-regime model

Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model

National Bank of Belgium Working Paper No. 244
Number of pages: 40 Posted: 19 Nov 2013
Ghent University, London Business School - Department of Finance and Department of Finance
Downloads 71 (340,223)
Citation 20

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equity-collateralized funding liquidity; market liquidity; two-regime model; financial distress

13.

Analysts' Forecast Error: A Robust Prediction Model and its Short Term Trading Profitability

Accounting and Finance, 55, 683-715, 2012
Number of pages: 55 Posted: 18 Mar 2012 Last Revised: 21 Nov 2017
Ghent University, Tilburg University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - FEB@HUBrussel
Downloads 446 (65,898)

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financial analysts, forecast error, short term prediction, trading strategy

14.

Generalized Financial Ratios to Predict the Equity Premium

Economic Modelling, 66, 244-257, 2017
Number of pages: 40 Posted: 08 Sep 2016 Last Revised: 17 May 2019
Andres Algaba and Kris Boudt
Vrije Universiteit Brussel (VUB) and Ghent University
Downloads 395 (76,294)

Abstract:

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Equity premium, ERP, Forecast combination, Price-dividend ratio, Financial ratios, Time-varying parameters

15.

Robust Estimation of Intraweek Periodicity in Volatility and Jump Detection

Journal of Empirical Finance, Vol. 18, pp. 353-367
Number of pages: 35 Posted: 10 Nov 2008 Last Revised: 06 Feb 2012
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and AMSE
Downloads 360 (84,908)
Citation 23

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high-frequency data, jump detection, periodicity, long memory, robust statistics

16.

Algorithmic Portfolio Tilting to Harvest Higher Moment Gains

Number of pages: 15 Posted: 13 May 2019 Last Revised: 06 Jun 2019
Ghent University, Vrije Universiteit Brussel (VUB), Degroof Petercam Asset Management and Degroof Petercam Asset Management
Downloads 359 (85,164)

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mean-variance-skewness-kurtosis, non-normality, portfolio allocation, tilting

17.

Questioning the News About Economic Growth: Sparse Forecasting Using Thousands of News-Based Sentiment Values

International Journal of Forecasting, Vol 35, Issue 4, pp. 1370-1386, 2019
Number of pages: 31 Posted: 30 May 2017 Last Revised: 27 Sep 2019
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students and Ghent University
Downloads 357 (85,736)
Citation 2

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elastic-net, US industrial production, sentiment analysis, time-series aggregation, topic-sentiment

18.

Regime Switches in the Volatility and Correlation of Financial Institutions

National Bank of Belgium Working Paper No. 227
Number of pages: 54 Posted: 13 Oct 2012
Ghent University, London School of Economics - Systemic Risk Centre, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 352 (87,139)
Citation 17

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19.

Smart Beta and CPPI Performance

Finance, Vol. 37, No. 3, pp. 32-65, 2016
Number of pages: 37 Posted: 05 May 2015 Last Revised: 15 Nov 2017
David Ardia, Kris Boudt and Marjan Wauters
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 347 (88,589)
Citation 1

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Bootstrap evaluation; CPPI; Portfolio insurance; Gap risk; Smart beta

20.

The Economic Benefits of Market Timing the Style Allocation of Characteristic-Based Portfolios

North American Journal of Economics and Finance, Vol. 37, pp. 38-62, 2016
Number of pages: 47 Posted: 27 Jun 2014 Last Revised: 19 Sep 2016
David Ardia, Kris Boudt and Marjan Wauters
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 340 (90,631)
Citation 3

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ETFs; Factor models; Market timing; Portfolio choice; Stock characteristics

21.

Intraday Liquidity Dynamics and News Releases around Price Jumps: Evidence from the DJIA Stocks

Journal of Financial Markets, 17, 121–149
Number of pages: 39 Posted: 03 Dec 2010 Last Revised: 22 Jan 2016
Kris Boudt and Mikael Petitjean
Ghent University and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 329 (94,007)
Citation 3

Abstract:

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High-frequency data, liquidity, news, price jumps, volatility

22.

Robust Forecasting of Dynamic Conditional Correlation GARCH Models

International Journal of Forecasting 29, 244-257
Number of pages: 37 Posted: 30 Nov 2010 Last Revised: 30 Aug 2013
Ghent University, London School of Economics - Systemic Risk Centre and AMSE
Downloads 300 (103,985)
Citation 8

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23.

Managers Set the Tone: Equity Incentives and the Tone of Earnings Press Releases

Journal of Banking and Finance, 72, S132-S147, 2015
Number of pages: 41 Posted: 16 Feb 2014 Last Revised: 21 Nov 2017
University of Illinois at Chicago - Department of Finance, Ghent University and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 288 (108,719)
Citation 6

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Equity incentives, Market efficiency, Textual tone, Voluntary disclosure

24.

Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy

Journal of Portfolio Management, Vol. 41, Number 4, pp.68-81, July 2015
Number of pages: 21 Posted: 12 Feb 2013 Last Revised: 10 Aug 2018
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 278 (112,898)
Citation 1

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Implied expected return, mean-variance, portfolio allocation, reverse engineering, risk-based allocation

25.

Jump Robust Two Time Scale Covariance Estimation and Realized Volatility Budgets

Quantitative Finance, Vol. 15, No. 6, 1041-1054
Number of pages: 30 Posted: 01 Nov 2010 Last Revised: 08 Nov 2017
Kris Boudt and Jin Zhang
Ghent University and Bank of America
Downloads 273 (115,068)

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High frequency data, Integrated (co)variance, Jumps, Market microstructure noise, Realized volatility budget

26.

A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables

Journal of Financial Econometrics, Forthcoming
Number of pages: 32 Posted: 20 Sep 2016 Last Revised: 15 Aug 2018
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 260 (121,016)
Citation 5

Abstract:

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

27.

Robust M-Estimation of Multivariate GARCH models

Computational Statistics and Data Analysis, Vol. 54, pp. 2459-2469, 2010
Number of pages: 32 Posted: 21 Jan 2008 Last Revised: 04 Mar 2012
Kris Boudt and Christophe Croux
Ghent University and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 239 (131,962)
Citation 4

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GARCH models, M-estimators, multivariate time series, outliers, robust methods

28.

Properties of the Margrabe Best-of-Two Strategy to Tactical Asset Allocation

International Review of Financial Analysis, Forthcoming
Number of pages: 26 Posted: 06 Dec 2017 Last Revised: 31 Dec 2018
HEC Montreal - Department of Decision Sciences, Ghent University, Finvex Group and Vrije Universiteit Brussel (VUB)
Downloads 228 (138,186)

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Best-of-Two, Bond-Equity, Margrabe, Tactical Asset Allocation, Upside Potential, Downside Protection

29.

Outlyingness Weighted Covariation

Journal of Financial Econometrics, Vol. 9, pp. 657-684, 2011
Number of pages: 38 Posted: 23 Jun 2008 Last Revised: 04 Mar 2012
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and AMSE
Downloads 216 (145,565)
Citation 18

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Continuous-time methods, high-frequency data, quadratic covariation, realized covolatility, semi-martingales

30.

Econometrics Meets Sentiment: An Overview of Methodology and Applications

Number of pages: 42 Posted: 12 Jan 2016 Last Revised: 11 Aug 2019
Vrije Universiteit Brussel (VUB), HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students, University of Neuchâtel - Institute of Financial Analysis and Ghent University
Downloads 207 (151,535)
Citation 1

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qualitative data, sentiment analysis, sentometrics, survey, textual analysis

31.

Evaluating the Shariah-Compliance of Equity Portfolios: The Weighting Method Matters

International Review of Financial Analysis, Forthcoming
Number of pages: 30 Posted: 22 Jul 2016 Last Revised: 05 Jan 2018
Ghent University, Shadeed Benazir Bhutto University, Dir, Pakistan and Vrije Universiteit Brussel (VUB)
Downloads 196 (159,529)
Citation 2

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Shariah equity portfolio, Market capitalization, Fundamental weighting, Equal weighting, Low risk weighting

32.

Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components

Computational Statistics and Data Analysis 56, 2993-3005
Number of pages: 35 Posted: 17 Oct 2010 Last Revised: 14 Jun 2012
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 168 (183,011)

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Epps Effect, High Frequency Data, Integrated Covariance, Jumps, Non-Synchronous Trading, Realized Covariance

33.

Block Rearranging Elements within Matrix Columns to Minimize the Variability of the Row Sums

40R, Forthcoming
Number of pages: 20 Posted: 24 Jul 2015 Last Revised: 21 Nov 2017
Ghent University, ETH Zürich - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 161 (189,701)
Citation 1

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Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm

34.

Testing Equality of Modified Sharpe Ratios

Finance Research Letters, Vol.13, pp. 97-104, May 2015
Number of pages: 12 Posted: 31 Oct 2014 Last Revised: 15 Nov 2017
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 153 (198,109)
Citation 2

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bootstrap test, hedge fund, modified Sharpe ratio, non-normal returns, performance measurement

35.

The Gaussian Rank Correlation Estimator: Robustness Properties

Statistics and Computing, Vol. 22, pp. 471-483, 2012
Number of pages: 25 Posted: 13 Oct 2010 Last Revised: 04 Mar 2012
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 153 (198,109)

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Breakdown, Correlation, Efficiency, Robustness, Van der Waerden

36.

Risk Attribution of Data-Driven Portfolio Strategies

Number of pages: 36 Posted: 14 Sep 2018 Last Revised: 06 Jul 2019
KU Leuven, Ghent University and University of Antwerp
Downloads 147 (204,845)

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Co-moments; CPPI; Data-driven strategies; Multi-period; Risk attribution; Square-root-of-time

37.

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Journal of Econometrics, 196, 347-367, 2016
Number of pages: 58 Posted: 24 Jan 2014 Last Revised: 21 Nov 2017
Ghent University, AMSE, Aarhus University - School of Economics and Management, Erasmus University Rotterdam (EUR) - Department of Business Economics and Aarhus University - School of Business and Social Sciences
Downloads 143 (209,453)

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Cholesky decomposition, Integrated covariance, Positive semidefinite

38.

Exporters' Exposures to Currencies: Beyond the Loglinear Model

Review of Finance, 20, 1631-1657, 2014
Number of pages: 36 Posted: 08 Apr 2012 Last Revised: 21 Nov 2017
Kris Boudt, Fang Liu and Piet Sercu
Ghent University, Central University of Finance and Economics, Beijing and FEB at KU Leuven
Downloads 128 (228,723)
Citation 1

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Forex, exposure, real options, threshold model

39.

Media and the Stock Market: Their Relationship and Abnormal Dynamics Around Earnings Announcements

Number of pages: 46 Posted: 21 Jun 2018 Last Revised: 01 Oct 2019
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students and Ghent University
Downloads 105 (264,043)

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abnormal return, abnormal tone, earnings announcements, event study, news media, sentometrics

40.

Nearest Comoment Estimation with Unobserved Factors

Number of pages: 35 Posted: 13 Dec 2017 Last Revised: 30 Mar 2019
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 94 (284,309)
Citation 2

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Higher-order multivariate moments; latent factor model; minimum distance estimation; risk assessment; structural equation modelling

41.

Supplementary Appendix to: A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables

Number of pages: 40 Posted: 18 May 2017 Last Revised: 04 Jun 2018
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 76 (323,751)

Abstract:

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

42.

The Minimum Regularized Covariance Determinant Estimator

Number of pages: 27 Posted: 03 Feb 2017 Last Revised: 01 Dec 2018
Ghent University, KU Leuven - Department of Mathematics, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 76 (323,751)
Citation 4

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Breakdown value, High-dimensional data, Regularization, Robust covariance estimation

43.

The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News

FRB St. Louis Working Paper No. 2017-20
Number of pages: 28 Posted: 01 Aug 2017 Last Revised: 13 Mar 2019
Ghent University, Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 70 (339,098)

Abstract:

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Foreign exchange exposure, High-frequency data, Macro

44.

The Impact of a Sustainability Constraint on the Mean-Tracking Error Efficient Frontier

Economics Letters 119, 255-260
Number of pages: 13 Posted: 09 May 2012 Last Revised: 30 May 2014
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 67 (347,247)
Citation 1

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Mean-variance optimization, Minimum tracking error, Portfolio optimization, Socially responsible investment, Sustainability

45.

Macro-Financial Regimes and the Performance of Dynamic Shariah-Compliant Equity Portfolios

Number of pages: 31 Posted: 22 Aug 2018
Ghent University, Shadeed Benazir Bhutto University, Dir, Pakistan and Islamic Development Bank - Islamic Research and Training Institute
Downloads 50 (399,706)
Citation 1

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Shariah-Compliant Investing, Market Capitalization, Fundamental Weighting, Equal Weighting, Low-Risk Weighting

46.

Web Appendix to 'Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation'

Number of pages: 14 Posted: 03 Jan 2018 Last Revised: 19 Jan 2018
David Ardia, Kris Boudt and Giang Nguyen
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 49 (403,145)

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Asset allocation, Performance/Risk Contribution, Target relative performance portfolio

47.

Robust Distribution-Based Winsorization in Composite Indicators Construction

Number of pages: 22 Posted: 14 Jan 2019 Last Revised: 22 Dec 2019
Kris Boudt, Valentin Todorov and Wenjing Wang
Ghent University, United Nations Industrial Development Organization (UNIDO) and Vrije Universiteit Brussel (VUB) - Solvay Business School
Downloads 32 (471,586)

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Composite Indicator, Invariance, Robust Estimation, Winsorization

48.

Is the Technical Conversion Factor Informative About the Price Ratio of Processing Livestock?

Statistika, Forthcoming
Number of pages: 15 Posted: 19 Jan 2018 Last Revised: 25 Jul 2019
Kris Boudt and Hong Anh Luu
Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 29 (486,343)

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agriculture, carcass weight, live weight, pass-through, price effect

49.

The Effect of Velocity Sparsity on the Performance of Cardinality Constrained Particle Swarm Optimization

Optimization Letters, Forthcoming
Number of pages: 14 Posted: 02 Feb 2018 Last Revised: 31 Jan 2019
Kris Boudt and Chunlin Wan
Ghent University and Sichuan University - School of Economics
Downloads 22 (525,397)
Citation 1

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Binary Particle Swarm Optimization, Cardinality Mapping, Portfolio Optimization

50.

Supplementary Appendix to: Nearest Comoment Estimation with Unobserved Factors

Number of pages: 27 Posted: 12 Nov 2018 Last Revised: 30 Mar 2019
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 15 (567,654)

Abstract:

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higher-order multivariate moments; latent factor model; minimum distance estimation; risk assessment; structural equation modelling

51.

Supplementary Appendix to: The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News

Number of pages: 3 Posted: 28 Jul 2017
Ghent University, Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 11 (593,488)
Citation 1

Abstract:

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foreign exchange exposure, high-frequency data, macroeconomic news

52.

The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment

Number of pages: 40 Posted: 11 Nov 2017
HEC Montreal - Department of Decision Sciences, University of Neuchatel, Institute of Financial Analysis, Students, University of Neuchâtel - Institute of Financial Analysis and Ghent University
Downloads 649

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Aggregation, Penalized Regression, Prediction, R, sentometrics, Textual Sentiment, Time Series

53.

Analysts' Forecast Error: A Robust Prediction Model and its Short‐Term Trading Profitability

Accounting & Finance, Vol. 55, Issue 3, pp. 683-715, 2015
Number of pages: 33 Posted: 03 Sep 2015
Ghent University, Tilburg University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - FEB@HUBrussel
Downloads 1 (669,877)
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Financial analysts, Forecast error, Short‐term prediction, Trading strategy

54.

The Variance Implied Conditional Correlation

The European Journal of Finance, 26 (2-3), 200-220, 2020.
Posted: 27 Feb 2018
Vrije Universiteit Brussel (VUB), Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 148

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conditional correlation, cross hedging, Dynamic Conditional Correlation (DCC), GARCH, hedge ratio, regularization

55.

Avoiding Interest-Based Revenues While Constructing Shariah-Compliant Portfolios: False Negatives and False Positives

Journal of Portfolio Management, Forthcoming
Posted: 30 May 2017 Last Revised: 28 Jul 2017
University of Illinois at Chicago - Department of Finance, Ghent University and Shadeed Benazir Bhutto University, Dir, Pakistan

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Interest-based revenues, Islamic finance, Misclassification, Shariah screening

56.

RiskPortfolios: Computation of Risk-based Portfolios in R

Journal of Open Source Software, Vol 10, No. 2, 2017
Posted: 04 Feb 2017 Last Revised: 06 Feb 2017
HEC Montreal - Department of Decision Sciences, Ghent University and Université Laval - Département de Finance et Assurance

Abstract:

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Risk-based portfolios, optimization, R software

57.

When Does the Tone of Earnings Press Releases Matter?

International Review of Financial Analysis, Forthcoming
Posted: 10 Oct 2016 Last Revised: 20 Mar 2018
Kris Boudt, James Thewissen and Wouter Torsin
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Economics and Business (FEB)

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Textual Sentiment, Firm Performance, Investor Reaction, Tone Informativeness, Information Asymmetry

58.

The Low Risk Anomaly Revisited on High-Frequency Data

The Handbook of High Frequency Trading, Edited by Greg N. Gregoriou, Elsevier 2015
Posted: 14 Jan 2015 Last Revised: 16 Jan 2015
Kris Boudt, Giang Nguyen and Benedict Peeters
Ghent University, Vrije Universiteit Brussel (VUB) and Finvex Group

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low risk anomaly, CAPM, high-frequency data, downside risk measures

59.

Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics

Financial Management, Forthcoming
Posted: 16 Sep 2013 Last Revised: 31 Jan 2018
Kris Boudt and James Thewissen
Ghent University and KU Leuven - Faculty of Business and Economics (FEB)

Abstract:

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CEO sentiment, Sentiment dynamics, Intratextual analysis, Firm profitability

60.

The Short-Run Performance Persistence in Funds of Hedge Funds

In G. N. Gregoriou (Ed.), Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due Diligence (pp. 289-301). Academic Press: Elsevier Inc., 2013
Posted: 15 Dec 2012 Last Revised: 31 Jan 2013
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University

Abstract:

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Financial crisis, Fund of funds, Persistence, Return, Risk, Selection, Stability, Time-variation

61.

Nowcasting Manufacturing Value Added for Cross-Country Comparison

Statistical Journal of the IAOS: Journal of the International Association of Official Statistics, Vol. 26, Nos. 1-2, pp. 15-20, 2009
Posted: 13 Jan 2009 Last Revised: 04 Mar 2012
Ghent University, affiliation not provided to SSRN and UNIDO

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Nowcasting, manufacturing value added

Other Papers (1)

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The Short-Run Persistence of Performance in Funds of Hedge Funds

Elsevier Handbook on Funds of Hedge Funds during and after the crisis, Forthcoming
Posted: 04 Apr 2012
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University

Abstract:

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Alpha, Funds of Hedge funds, Hot hands, Performance, Sharpe ratio