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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Scholarly Papers (61)

1.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Forthcoming
Number of pages: 39 Posted: 02 Oct 2016 Last Revised: 14 Apr 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 3,231 (3,129)

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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 1,635 (9,848)

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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 1,394 (12,747)

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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 1,239 (15,327)

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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 1,034 (20,087)

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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 896 (24,902)

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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 853 (26,683)

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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 771 (30,667)

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factor models, higher order comoments, portfolio selection

9.

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 688 (35,861)

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

10.

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 678 (36,565)

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

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 626 (40,619)

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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 505 (53,006)

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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 69 (329,692)

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

13.

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

Number of pages: 34 Posted: 11 Nov 2017 Last Revised: 26 Dec 2018
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 473 (58,256)

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

14.

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 438 (63,981)

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

15.

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 386 (74,440)

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

16.

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 University of Angers - Research Group in Quantitative Saving (GREQAM)
Downloads 352 (82,816)

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

17.

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 343 (85,374)

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18.

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 331 (88,859)

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

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 328 (89,767)

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

20.

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

International Journal of Forecasting, Forthcoming
Number of pages: 31 Posted: 30 May 2017 Last Revised: 30 Oct 2018
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 324 (91,017)

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

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 321 (91,916)

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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 University of Angers - Research Group in Quantitative Saving (GREQAM)
Downloads 299 (99,285)

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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 276 (108,251)

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Equity incentives, Market efficiency, Textual tone, Voluntary disclosure

24.

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 265 (112,930)

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

25.

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 (125,568)

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

26.

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 238 (126,098)

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

27.

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 230 (130,505)

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

28.

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 228 (131,623)

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

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 University of Angers - Research Group in Quantitative Saving (GREQAM)
Downloads 212 (141,167)

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

30.

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 195 (152,672)

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

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 189 (157,059)

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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 167 (175,380)

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

33.

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 152 (189,923)

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Breakdown, Correlation, Efficiency, Robustness, Van der Waerden

34.

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 148 (194,165)

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Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm

35.

The Variance Implied Conditional Correlation

The European Journal of Finance, forthcoming, 2019
Number of pages: 30 Posted: 27 Feb 2018 Last Revised: 20 May 2019
Vrije Universiteit Brussel (VUB), Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 139 (204,201)

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

36.

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, University of Angers - Research Group in Quantitative Saving (GREQAM), 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 136 (207,803)

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Cholesky decomposition, Integrated covariance, Positive semidefinite

37.

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 129 (216,763)

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

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 125 (221,998)

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Forex, exposure, real options, threshold model

39.

Risk Attribution of Data-Driven Portfolio Strategies

Number of pages: 25 Posted: 14 Sep 2018 Last Revised: 06 Jun 2019
KU Leuven, Ghent University and University of Antwerp
Downloads 111 (242,239)

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Co-moments; CPPI; Data-driven strategies; Multi-period; Non-buy-and-hold; Risk attribution

40.

Econometrics Meets Sentiment: An Overview of Methodology and Applications

Number of pages: 40 Posted: 12 Jan 2016 Last Revised: 04 Jun 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 96 (267,515)

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sentiment analysis, sentometrics, survey, textual analysis

41.

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 79 (301,867)

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

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 72 (318,451)

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

43.

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 68 (328,518)

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

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 (331,125)

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

45.

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 66 (333,760)

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Foreign exchange exposure, High-frequency data, Macro

46.

Media and the Stock Market: A CAT and CAR Analysis

Number of pages: 42 Posted: 21 Jun 2018 Last Revised: 10 May 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 65 (336,419)

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

47.

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 42 (409,170)

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

48.

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 41 (412,863)

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

49.

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

Number of pages: 15 Posted: 19 Jan 2018 Last Revised: 31 Mar 2019
Kris Boudt and Hong Anh Luu
Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 25 (483,986)

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

50.

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 21 (506,238)

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Binary Particle Swarm Optimization, Cardinality Mapping, Portfolio Optimization

51.

Robust Composite Indicators

Number of pages: 19 Posted: 14 Jan 2019 Last Revised: 07 Apr 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 19 (517,662)

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Composite Indicator, Invariant, Winsorization, Robust Estimation

52.

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 12 (558,328)

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

53.

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 8 (582,572)

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foreign exchange exposure, high-frequency data, macroeconomic news

54.

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 (637,860)
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Financial analysts, Forecast error, Short‐term prediction, Trading strategy

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

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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)

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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

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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)

Total Downloads: 0    Citations: 0
1.

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