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

Sentometrics

Rue Saint-Quentin 5

Brussel, 1000

Belgium

  • Ghent University

  • Vrije Universiteit Brussel

  • Vrije Universiteit Amsterdam

  • Sentometrics

SCHOLARLY PAPERS

78

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in Total Papers Downloads

48,229

TOTAL CITATIONS
Rank 2,970

SSRN RANKINGS

Top 2,970

in Total Papers Citations

413

Ideas:
“  Sentometrics!  ”

  • Ghent University

  • Vrije Universiteit Brussel

  • Vrije Universiteit Amsterdam

  • Sentometrics

Scholarly Papers (78)

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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
David Ardia, Keven Bluteau, Kris Boudt, Leopoldo Catania and Denis-Alexandre Trottier
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 6,958 (2,259)
Citation 9

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

2.

Climate Change Concerns and the Performance of Green vs. Brown Stocks

Management Science, Vol. 69, Issue 12, Pages 7607-7632, 2023
Number of pages: 37 Posted: 18 Dec 2020 Last Revised: 12 Jun 2024
David Ardia, Keven Bluteau, Kris Boudt and Koen Inghelbrecht
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Ghent University and Ghent University - Department of Economics
Downloads 5,606 (3,280)
Citation 1

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Asset Pricing, Climate Change, Sustainable Investing, ESG, Greenhouse Gas Emission, Sentometrics, Textual Analysis

3.

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 2,469 (12,622)
Citation 4

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

4.

Analyzing intraday financial data in R: The highfrequency package

Number of pages: 39 Posted: 07 Sep 2021 Last Revised: 28 Oct 2022
Kris Boudt, Onno Kleen and Emil Sjørup
Ghent University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and affiliation not provided to SSRN
Downloads 2,244 (14,743)
Citation 4

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financial markets, high-frequency data, realized measures, jumps, R

5.

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, Peter Carl and Brian G. Peterson
Ghent University, Guidance Capital ManagementWilliam Blair & Co. and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 2,219 (15,015)
Citation 13

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Asset Allocation, CVaR, Risk budgets

6.

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
Kris Boudt, Brian G. Peterson and Christophe Croux
Ghent University, University of Illinois at Urbana-Champaign - Department of Finance and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)
Downloads 2,018 (17,473)
Citation 15

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

7.

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: 15 Posted: 16 Feb 2017 Last Revised: 06 Jun 2021
David Ardia, Keven Bluteau, Kris Boudt and Leopoldo Catania
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,870 (19,768)
Citation 19

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

8.

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

Journal of Statistical Software, Vol. 99, Issue 2, pp. 1-40, 2021
Number of pages: 40 Posted: 11 Nov 2017 Last Revised: 19 Aug 2021
David Ardia, Keven Bluteau, Samuel Borms and Kris Boudt
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Vrije Universiteit Brussel and Ghent University
Downloads 1,501 (27,639)
Citation 15

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aggregation, penalized regression, prediction, R, sentometrics, textual sentiment, time series

9.

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 1,414 (30,230)
Citation 5

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factor models, higher order comoments, portfolio selection

10.

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
David Ardia, Kris Boudt, Peter Carl, Peter Carl, Katharine Mullen and Brian G. Peterson
HEC Montreal - Department of Decision Sciences, Ghent University, Guidance Capital ManagementWilliam Blair & Co., Government of the United States of America - National Institute of Standards and Technology (NIST) and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,259 (35,780)
Citation 1

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

11.

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 1,203 (38,271)
Citation 9

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

12.

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 958 (52,957)
Citation 4

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

13.

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
David Ardia, Guido Bolliger, Kris Boudt and Jean-Philippe Gagnon Fleury
HEC Montreal - Department of Decision Sciences, Asteria Investment Managers, Ghent University and Université Laval - Département de Finance et Assurance
Downloads 958 (52,957)
Citation 6

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Covariance misspecification, Monte Carlo study, Risk-based portfolios

14.

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 886 (58,977)
Citation 2

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

15.

Econometrics Meets Sentiment: An Overview of Methodology and Applications

Journal of Economic Surveys, Vol. 34, Issue 3, pp. 512-547, 2020
Number of pages: 39 Posted: 12 Jan 2016 Last Revised: 18 Aug 2021
Andres Algaba, David Ardia, Keven Bluteau, Samuel Borms and Kris Boudt
Vrije Universiteit Brussel (VUB), HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Vrije Universiteit Brussel and Ghent University
Downloads 767 (71,611)
Citation 26

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

16.

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 753 (73,430)
Citation 2

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

17.

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

Downloads 701 (80,511)
Citation 34

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
Kris Boudt, Ellen C. S. Paulus and Dale W. R. Rosenthal
Ghent University, London Business School - Department of Finance and Parametric Portfolio Associates
Downloads 578 (101,652)
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
Kris Boudt, Ellen C. S. Paulus and Dale W. R. Rosenthal
Ghent University, London Business School - Department of Finance and Parametric Portfolio Associates
Downloads 123 (499,091)
Citation 33

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

18.

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 606 (96,924)
Citation 4

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

19.

The Economic Policy Uncertainty Index for Flanders, Wallonia and Belgium

BFW digitaal / RBF numérique 2020/6
Number of pages: 16 Posted: 21 Apr 2020 Last Revised: 28 Jan 2021
Andres Algaba, Samuel Borms, Kris Boudt and Jeroen Van Pelt
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel, Ghent University and Vrije Universiteit Brussel
Downloads 580 (102,590)
Citation 17

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Belgium, COVID-19, EPU index, news data, sentometrics, textual analysis, uncertainty

20.

ETF Basket-Adjusted Covariance Estimation

Number of pages: 58 Posted: 02 Mar 2021 Last Revised: 09 Jun 2022
Kris Boudt, Kirill Dragun, Orimar Sauri and Steven Vanduffel
Ghent University, Vrije Universiteit Brussel (VUB), Aalborg University - Department of Mathematical Sciences and Vrije Universiteit Brussel (VUB)
Downloads 576 (103,487)
Citation 1

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High-frequency data; realized covariances, ETF, asynchronicity, stock-ETF covariation, Localized Hayashi-Yoshida, Index tracking

21.

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
Kris Boudt, Christophe Croux and Sébastien Laurent
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and AMSE
Downloads 544 (111,170)
Citation 24

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

22.

Algorithmic Portfolio Tilting to Harvest Higher Moment Gains

Number of pages: 15 Posted: 13 May 2019 Last Revised: 19 Apr 2020
Kris Boudt, Dries Cornilly, Frederiek Van Holle and Joeri Willems
Ghent University, Asteria Investment Managers, Degroof Petercam Asset Management and Degroof Petercam Asset Management
Downloads 515 (119,020)

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

23.

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
Kris Boudt, Peter de Goeij, James Thewissen and Geert Van Campenhout
Ghent University, Tilburg University, Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and KU Leuven - FEB@HUBrussel
Downloads 503 (122,383)

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

24.

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 485 (127,898)
Citation 2

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

25.

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: 17 Posted: 30 May 2017 Last Revised: 06 Jun 2021
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and Ghent University
Downloads 471 (132,535)
Citation 18

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

26.

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
Özgür Arslan-Ayaydin, Kris Boudt and James Thewissen
University of Illinois at Chicago - Department of Finance, Ghent University and Catholic University of Louvain (UCL) - Louvain Finance (LFIN)
Downloads 469 (133,202)
Citation 10

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Equity incentives, Market efficiency, Textual tone, Voluntary disclosure

27.

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
Kris Boudt, Jon Danielsson, Siem Jan Koopman and Andre Lucas
Ghent University, London School of Economics - Systemic Risk Centre, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 467 (133,929)
Citation 16

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28.

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 445 (141,919)
Citation 4

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

29.

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

International Review of Financial Analysis, Vol. 81, 2022
Number of pages: 26 Posted: 06 Dec 2017 Last Revised: 14 Apr 2022
David Ardia, Kris Boudt, Stefan Hartmann and Giang Nguyen
HEC Montreal - Department of Decision Sciences, Ghent University, Finvex Group and Vrije Universiteit Brussel (VUB)
Downloads 427 (148,802)

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

30.

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 Université Polytechnique Hauts-de-France
Downloads 427 (148,802)
Citation 9

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

31.

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, Asteria Investment Managers and KU Leuven
Downloads 426 (149,189)
Citation 12

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

32.

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
Kris Boudt, Jon Danielsson and Sébastien Laurent
Ghent University, London School of Economics - Systemic Risk Centre and AMSE
Downloads 423 (150,481)
Citation 14

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33.

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 411 (155,486)
Citation 3

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

34.

Media Abnormal Tone, Earnings Announcements, and the Stock Market

Journal of Financial Markets, Volume 61, pp. 100683, 2022
Number of pages: 41 Posted: 21 Jun 2018 Last Revised: 05 Dec 2022
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and Ghent University
Downloads 391 (164,483)
Citation 9

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abnormal return, abnormal tone, earnings announcements, event study, news media, sentometrics, Structural Topic Model (STM)

35.

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 361 (179,812)
Citation 4

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

36.

Semi-Supervised Text Mining for Monitoring the News About the ESG Performance of Companies

Data Science for Economics and Finance: Methodologies and Applications, pp. 217-239, 2021
Number of pages: 23 Posted: 29 Jun 2021 Last Revised: 16 Jul 2023
Samuel Borms, Kris Boudt, Frederiek Van Holle and Joeri Willems
Vrije Universiteit Brussel, Ghent University, Degroof Petercam Asset Management and Degroof Petercam Asset Management
Downloads 359 (180,958)
Citation 5

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ESG, News Monitoring, Sentiment Analysis, Sustainable Investment, Textual Analysis, Time Series

37.

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 350 (185,993)
Citation 4

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

38.

Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models

Number of pages: 35 Posted: 12 Feb 2021 Last Revised: 12 Mar 2025
Wanbo Lu, Guanglin Huang and Kris Boudt
Southwestern University of Finance and Economics (SWUFE), Southwestern University of Finance and Economics (SWUFE) and Ghent University
Downloads 328 (199,601)

Abstract:

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Higher-order multi-cumulants; High-dimensional factor models; Weak factors; Consistency; Singular values, High-dimensional factor models, Weak factors, Consistency, Eigenvalues

39.

Predicting and Decomposing the Risk of Data-driven Portfolios

Number of pages: 26 Posted: 14 Sep 2018 Last Revised: 05 Mar 2020
Nabil Bouamara, Kris Boudt and Jürgen Vandenbroucke
Katholieke Universiteit Leuven, Ghent University and University of Antwerp
Downloads 293 (225,385)

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Co-moments; Decomposition; Fund management; Risk management; Risk factors; Square-root-of-time

40.

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
Kris Boudt, Muhammad Wajid Raza and Marjan Wauters
Ghent University, Shadeed Benazir Bhutto University, Dir, Pakistan and Vrije Universiteit Brussel (VUB)
Downloads 290 (227,792)
Citation 6

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

41.

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
Kris Boudt, Christophe Croux and Sébastien Laurent
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and AMSE
Downloads 279 (237,150)
Citation 21

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

42.

The Variance Implied Conditional Correlation

The European Journal of Finance, 26 (2-3), 200-220, 2020.
Number of pages: 30 Posted: 27 Feb 2018 Last Revised: 18 Jan 2020
Andres Algaba, Kris Boudt and Steven Vanduffel
Vrije Universiteit Brussel (VUB), Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 227 (291,387)

Abstract:

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

43.

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
Kris Boudt, Edgars Jakobsons and Steven Vanduffel
Ghent University, ETH Zürich - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 226 (292,628)
Citation 5

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Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm

44.

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
Kris Boudt, Jonathan Cornelissen and Christophe Croux
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 225 (293,890)

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

45.

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
Kris Boudt, Jonathan Cornelissen and Christophe Croux
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 223 (296,429)

Abstract:

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Breakdown, Correlation, Efficiency, Robustness, Van der Waerden

46.

Accounting for Model, Policy and Downside Risk in the Economic Viability Assessment of Investments in Electricity Capacity: The Hurdle Rate Approach

Number of pages: 67 Posted: 25 Feb 2021 Last Revised: 10 Oct 2022
Kris Boudt
Ghent University
Downloads 215 (307,020)

Abstract:

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Economic viability, Electricity investment, energy, hurdle rate, investment risk, model risk

47.

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 197 (333,238)
Citation 1

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Binary Particle Swarm Optimization, Cardinality Mapping, Portfolio Optimization

48.

Daily News Sentiment and Monthly Surveys: A Mixed-Frequency Dynamic Factor Model for Nowcasting Consumer Confidence

Number of pages: 30 Posted: 26 May 2020 Last Revised: 16 Oct 2021
Andres Algaba, Samuel Borms, Kris Boudt and Brecht Verbeken
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 193 (339,630)

Abstract:

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dynamic factor model, mixed-frequency, nowcasting, sentometrics, state space, Toeplitz matrix

49.

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
Kris Boudt, Sébastien Laurent, Asger Lunde, Asger Lunde, Rogier Quaedvlieg and Orimar Sauri
Ghent University, AMSE, CREATESAarhus University - School of Business and Social Sciences, European Central Bank (ECB) and Aalborg University - Department of Mathematical Sciences
Downloads 192 (341,243)
Citation 7

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Cholesky decomposition, Integrated covariance, Positive semidefinite

50.

The Minimum Regularized Covariance Determinant Estimator

Number of pages: 27 Posted: 03 Feb 2017 Last Revised: 01 Dec 2018
Kris Boudt, Peter Rousseeuw, Steven Vanduffel and Tim Verdonck
Ghent University, KU Leuven - Department of Mathematics, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 182 (358,334)
Citation 10

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

51.

The Optimal Payoff for a Yaari Investor

Number of pages: 35 Posted: 13 Jan 2021 Last Revised: 22 Jun 2022
Kris Boudt, Kirill Dragun and Steven Vanduffel
Ghent University, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 180 (361,904)

Abstract:

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Preferences, Optimization, Hoeffding-Fréchet bounds.

52.

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 168 (384,796)
Citation 1

Abstract:

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Forex, exposure, real options, threshold model

53.

Nearest Comoment Estimation with Unobserved Factors

Number of pages: 35 Posted: 13 Dec 2017 Last Revised: 19 Apr 2020
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Asteria Investment Managers and KU Leuven
Downloads 146 (433,044)
Citation 5

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

54.

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
Kris Boudt, Christopher J. Neely, Piet Sercu and Marjan Wauters
Ghent University, Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
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Foreign exchange exposure, High-frequency data, Macro

55.

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, Asteria Investment Managers and KU Leuven
Downloads 131 (472,780)

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

56.

Supplementary Appendix to Beta-Adjusted Covariance Estimation

Number of pages: 19 Posted: 14 Apr 2021
Kris Boudt, Kirill Dragun, Orimar Sauri and Steven Vanduffel
Ghent University, Vrije Universiteit Brussel (VUB), Aalborg University - Department of Mathematical Sciences and Vrije Universiteit Brussel (VUB)
Downloads 126 (487,538)
Citation 1

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BAC, Covariance, ETF, Python, R

57.

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
Kris Boudt, Jonathan Cornelissen and Christophe Croux
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 124 (493,683)
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Mean-variance optimization, Minimum tracking error, Portfolio optimization, Socially responsible investment, Sustainability

58.

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, Asteria Investment Managers and KU Leuven
Downloads 123 (496,713)

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

59.

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
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Composite Indicator, Invariance, Robust Estimation, Winsorization

60.

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

Number of pages: 31 Posted: 22 Aug 2018
Kris Boudt, Muhammad Wajid Raza and Dawood Ashraf
Ghent University, Shadeed Benazir Bhutto University, Dir, Pakistan and Islamic Development Bank Institute
Downloads 110 (540,642)
Citation 3

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

61.

Communication about UN Global Compact Risk incidents: Recommendations for the Belgian Sovereign Fund SFPIM

Number of pages: 2 Posted: 20 May 2024 Last Revised: 14 Oct 2024
Kris Boudt
Ghent University
Downloads 96 (595,513)

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ESG controversies, Actionability, SFPIM, Engagement, Early warnings, UN Global Compact, Walk the talk

62.

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 85 (642,382)

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

63.

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 84 (646,983)

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

64.

When Does the Tone of Earnings Press Releases Matter?

International Review of Financial Analysis, Forthcoming
Number of pages: 40 Posted: 10 Oct 2016 Last Revised: 27 Jul 2022
Kris Boudt, James Thewissen and Wouter Torsin
Ghent University, Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and HEC Liège, Management School of the University of Liège
Downloads 81 (660,874)
Citation 6

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

65.

Supplementary appendix to: Estimation of non-Gaussian factors using higher-order multi-cumulants in weak factor models

Number of pages: 79 Posted: 30 Mar 2021 Last Revised: 12 Mar 2025
Wanbo Lu, Guanglin Huang and Kris Boudt
Southwestern University of Finance and Economics (SWUFE), Southwestern University of Finance and Economics (SWUFE) and Ghent University
Downloads 77 (680,484)

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Higher-Order Multi-Cumulants, High-Dimensional Factor Models, Number of Factors, Eigenvalues

66.

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

Financial Management, Forthcoming
Number of pages: 62 Posted: 16 Sep 2013 Last Revised: 28 Jul 2022
Kris Boudt and James Thewissen
Ghent University and Catholic University of Louvain (UCL) - Louvain Finance (LFIN)
Downloads 72 (706,732)
Citation 16

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CEO sentiment, Sentiment dynamics, Intratextual analysis, Firm profitability

67.

Mapping Economic Growth and Employment in EU-Funded Research Projects: Trac(k)ing the SDG 8 Trajectory

Number of pages: 30 Posted: 24 Jul 2024
Kris Boudt, Yanick Inghels and André Spithoven
Ghent University, Ghent University and Ghent University
Downloads 66 (740,948)

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Sustainable Development Goals, SDG 8, Natural language processing, European Framework Programmes, Research funding

68.

The Risk of Ignorance: How Financial Institutions Can Make a Difference in Large-Scale Media ESG News Monitoring

Number of pages: 13 Posted: 13 Feb 2024
Kris Boudt, Olivier Delmarcelle and Mikael Petitjean
Ghent University, Sentometrics and Université Polytechnique Hauts-de-France
Downloads 57 (798,963)

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ESG, Media, Sentometrics

69.

The performance of Chinese real estate firms: Media concerns and special treatment status

Number of pages: 28 Posted: 13 Feb 2024 Last Revised: 14 Mar 2025
Kris Boudt and Xianda Liang
Ghent University and Vrije Universiteit Brussel (VUB) - Applied Economics Department
Downloads 46 (884,645)

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China, Credit risk, News analytics, Prediction, Real estate, Special treatment

70.

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

Number of pages: 3 Posted: 28 Jul 2017
Kris Boudt, Christopher J. Neely, Piet Sercu and Marjan Wauters
Ghent University, Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 40 (939,131)
Citation 3

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foreign exchange exposure, high-frequency data, macroeconomic news

71.

Nowcasting GDP through the lens of economic states

Number of pages: 47 Posted: 16 Jan 2025
Kris Boudt, Arno De Block, Geert Langenus and Peter Reusens
Ghent University, Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences, National Bank of Belgium and affiliation not provided to SSRN
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72.

Supplementary Appendix to “Mapping Economic Growth and Employment in EU-Funded Research Projects: Trac(k)ing the SDG 8 Trajectory”

Number of pages: 18 Posted: 24 Jul 2024
Kris Boudt, Yanick Inghels and André Spithoven
Ghent University, Ghent University and Ghent University
Downloads 22 (1,138,580)

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Sustainable Development Goals, SDG 8, natural language processing, European Framework Programmes, research funding

73.

Large Portfolio Management with Higher Comoments: A Gram-Charlier Factor Approach

Number of pages: 32 Posted: 15 Jan 2025
Wanbo Lu, Wenhui Shi and Kris Boudt
Southwestern University of Finance and Economics (SWUFE), Southwestern University of Finance and Economics (SWUFE) and Ghent University
Downloads 17 (1,200,312)

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Large portfolio management, Multivariate Gram-Charlier distribution, Independent factor mode, Sparse higher comoments estimation

74.

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
Özgür Arslan-Ayaydin, Kris Boudt and Muhammad Wajid Raza
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

75.

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
David Ardia, Kris Boudt and Jean-Philippe Gagnon Fleury
HEC Montreal - Department of Decision Sciences, Ghent University and Université Laval - Département de Finance et Assurance

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Risk-based portfolios, optimization, R software

76.

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

77.

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

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

78.

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
Kris Boudt, Valentin Todorov and Shyam Upadhyaya
Ghent University, affiliation not provided to SSRN and UNIDO

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Nowcasting, manufacturing value added

Other Papers (2)

Total Downloads: 6
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1. 

Conversion of supplementary pension capital into an annuity: options in perspective

'Tijdschrift voor Sociaal Recht', Forthcoming
Number of pages: 37 Posted: 01 Apr 2025 Last Revised: 01 May 2025
Cédric bruyninckx, Kris Boudt and Steven Vanduffel
Loyens & Loeff N.V., Ghent University and Vrije Universiteit Brussel (VUB)
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pensioenen, WAP, Pillar 2, Lijfrente

2.

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

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