Kris Boudt

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

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

Brussels, 1050

Belgium

VU University Amsterdam

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

SCHOLARLY PAPERS

51

DOWNLOADS
Rank 2,182

SSRN RANKINGS

Top 2,182

in Total Papers Downloads

13,287

CITATIONS
Rank 8,573

SSRN RANKINGS

Top 8,573

in Total Papers Citations

53

Scholarly Papers (51)

1.

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
Vrije Universiteit Brussel (VUB), William Blair & Co. and DV Trading
Downloads 1,003 (9,627)
Citation 1

Abstract:

Loading...

Asset Allocation, CVaR, Risk budgets

2.

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
Vrije Universiteit Brussel (VUB), DV Trading and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)
Downloads 865 (13,371)
Citation 4

Abstract:

Loading...

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

3.

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

The R Journal, Vol. 3, No. 1, pp. 27-34, 2011
Posted: 05 Apr 2010 Last Revised: 14 Dec 2015
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB), William Blair & Co., Government of the United States of America - National Institute of Standards and Technology (NIST) and DV Trading

Abstract:

Loading...

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

4.

The Peer Performance Ratios of Hedge Funds

Journal of Banking and Finance, Forthcoming
Number of pages: 35 Posted: 08 Feb 2012 Last Revised: 05 Nov 2017
David Ardia and Kris Boudt
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Brussel (VUB)
Downloads 561 (24,785)

Abstract:

Loading...

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

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
Vrije Universiteit Brussel (VUB), London Business School - Department of Finance and University of Illinois at Chicago - Department of Finance
Downloads 452 (52,628)

Abstract:

Loading...

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
Vrije Universiteit Brussel (VUB), London Business School - Department of Finance and University of Illinois at Chicago - Department of Finance
Downloads 46 (356,837)
Citation 1

Abstract:

Loading...

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

6.

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
Vrije Universiteit Brussel (VUB), CentER, Tilburg Law and Economics Center (TILEC), Tilburg University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - FEB@HUBrussel
Downloads 344 (58,009)

Abstract:

Loading...

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

7.

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
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM)
Downloads 321 (75,449)
Citation 13

Abstract:

Loading...

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

8.

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
Vrije Universiteit Brussel (VUB), London School of Economics - Systemic Risk Centre and French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM)
Downloads 292 (88,699)
Citation 3

Abstract:

Loading...

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
Vrije Universiteit Brussel (VUB), Southwestern University of Finance and Economics (SWUFE) and Finvex Group
Downloads 252 (46,946)

Abstract:

Loading...

factor models, higher order comoments, portfolio selection

10.

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
Vrije Universiteit Brussel (VUB) and Louvain School of Management (UCL)
Downloads 249 (85,715)

Abstract:

Loading...

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

11.

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
Vrije Universiteit Brussel (VUB) and Bank of America
Downloads 245 (106,992)

Abstract:

Loading...

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

12.

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
Vrije Universiteit Brussel (VUB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 221 (113,042)
Citation 5

Abstract:

Loading...

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

13.

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
Vrije Universiteit Brussel (VUB), London School of Economics - Systemic Risk Centre, Vrije Universiteit Amsterdam - School of Business and Economics and VU Amsterdam - School of Business and Economics
Downloads 213 (81,404)
Citation 1

Abstract:

Loading...

14.

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
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM)
Downloads 187 (129,407)
Citation 10

Abstract:

Loading...

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

15.

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
Posted: 12 Feb 2013 Last Revised: 14 Dec 2015
David Ardia and Kris Boudt
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Brussel (VUB)

Abstract:

Loading...

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

16.

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
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 160 (159,545)

Abstract:

Loading...

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

17.

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
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 154 (89,735)

Abstract:

Loading...

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

18.

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
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 140 (178,526)
Citation 1

Abstract:

Loading...

Breakdown, Correlation, Efficiency, Robustness, Van der Waerden

19.

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

2016 Canadian Academic Accounting Association (CAAA) Annual Conference
Number of pages: 51 Posted: 16 Sep 2013 Last Revised: 21 Nov 2017
Kris Boudt and James Thewissen
Vrije Universiteit Brussel (VUB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 139 (86,040)

Abstract:

Loading...

CEO sentiment, Sentiment dynamics, Intratextual analysis, Firm profitability

20.

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
Vrije Universiteit Brussel (VUB), Central University of Finance and Economics, Beijing and FEB at KU Leuven
Downloads 118 (204,213)

Abstract:

Loading...

Forex, exposure, real options, threshold model

21.

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, Vrije Universiteit Brussel (VUB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 105 (115,952)

Abstract:

Loading...

Equity incentives, Market efficiency, Textual tone, Voluntary disclosure

22.

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
Vrije Universiteit Brussel (VUB), French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM), University of Aarhus - School of Economics and Management, Erasmus University Rotterdam (EUR) - Department of Business Economics and University of Aarhus - School of Business and Social Sciences
Downloads 71 (195,460)

Abstract:

Loading...

Cholesky decomposition, Integrated covariance, Positive semidefinite

23.

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
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 64 (300,355)

Abstract:

Loading...

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

24.

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
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and Laval University - Département de Finance et Assurance
Downloads 58 (46,000)

Abstract:

Loading...

Covariance misspecification, Monte Carlo study, Risk-based portfolios

25.

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

FRB St. Louis Working Paper No. 2017-20
Number of pages: 41 Posted: 01 Aug 2017
Vrije Universiteit Brussel (VUB), Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 41 (367,002)

Abstract:

Loading...

Foreign exchange exposure, High-frequency data, Macro

26.

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
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 36 (104,757)

Abstract:

Loading...

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

27.

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
Vrije Universiteit Brussel (VUB), ETH Zürich - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 20 (197,852)

Abstract:

Loading...

Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm

28.

Nearest Comoment Estimation with Unobserved Factors

Number of pages: 45 Posted: 13 Dec 2017
Kris Boudt, Dries Cornilly and Tim Verdonck
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Downloads 0

Abstract:

Loading...

latent factor model, higher order multivariate moments, nearest distance estimation, ridge GLS, risk assessment, structural equation modelling

29.

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

Number of pages: 26 Posted: 06 Dec 2017
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB), Finvex Group and Vrije Universiteit Brussel (VUB)
Downloads 0 (381,195)

Abstract:

Loading...

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

30.

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

Number of pages: 19 Posted: 11 Nov 2017
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, University of Neuchâtel - Institute of Financial Analysis and Vrije Universiteit Brussel (VUB)
Downloads 0 (213,566)

Abstract:

Loading...

Penalized Regression, R, Sentometrics, Textual Sentiment, Time Series

31.

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

Number of pages: 3 Posted: 28 Jul 2017
Vrije Universiteit Brussel (VUB), Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 0 (544,170)

Abstract:

Loading...

foreign exchange exposure, high-frequency data, macroeconomic news

32.

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, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)

Abstract:

Loading...

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

33.

Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values

Number of pages: 29 Posted: 30 May 2017 Last Revised: 22 Jul 2017
David Ardia, Keven Bluteau and Kris Boudt
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students and Vrije Universiteit Brussel (VUB)
Downloads 0 (201,606)

Abstract:

Loading...

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

34.

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

Number of pages: 35 Posted: 18 May 2017 Last Revised: 30 Sep 2017
Kris Boudt, Dries Cornilly and Tim Verdonck
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Downloads 0 (396,522)

Abstract:

Loading...

Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

35.

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

Number of pages: 28 Posted: 16 Feb 2017 Last Revised: 08 Oct 2017
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB) and University of Aarhus - School of Business and Social Sciences
Downloads 0 (52,459)

Abstract:

Loading...

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

36.

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
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and Laval University - Département de Finance et Assurance

Abstract:

Loading...

Risk-based portfolios, optimization, R software

37.

The Minimum Regularized Covariance Determinant Estimator

Number of pages: 25 Posted: 03 Feb 2017
Vrije Universiteit Brussel (VUB), KU Leuven - Department of Mathematics, Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Downloads 0 (396,522)
Citation 14

Abstract:

Loading...

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

38.

Value-at-Risk Prediction in R with the GAS Package

Number of pages: 10 Posted: 17 Nov 2016 Last Revised: 06 Dec 2016
David Ardia, Kris Boudt and Leopoldo Catania
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and University of Aarhus - School of Business and Social Sciences
Downloads 0 (85,069)

Abstract:

Loading...

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

39.

When does the Tone of Earnings Press Releases matter?

Number of pages: 34 Posted: 10 Oct 2016 Last Revised: 03 Nov 2017
Kris Boudt, James Thewissen and Wouter Torsin
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Economics and Business (FEB)
Downloads 0 (347,584)

Abstract:

Loading...

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

40.

Markov-Switching GARCH Models in R: The MSGARCH Package

Number of pages: 34 Posted: 02 Oct 2016 Last Revised: 18 Nov 2017
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB), University of Aarhus - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 0 (15,056)

Abstract:

Loading...

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

41.

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

Number of pages: 30 Posted: 20 Sep 2016 Last Revised: 30 Sep 2017
Kris Boudt, Dries Cornilly and Tim Verdonck
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Downloads 0 (167,734)

Abstract:

Loading...

Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

42.

Generalized Financial Ratios to Predict the Equity Premium

Economic Modelling, 66, 244-257, 2017
Number of pages: 40 Posted: 08 Sep 2016 Last Revised: 21 Nov 2017
Andres Algaba and Kris Boudt
Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 0 (79,168)

Abstract:

Loading...

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

43.

Generalized Autoregressive Score Models in R: The GAS Package

Number of pages: 26 Posted: 21 Aug 2016 Last Revised: 19 Nov 2017
David Ardia, Kris Boudt and Leopoldo Catania
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and University of Aarhus - School of Business and Social Sciences
Downloads 0 (30,922)

Abstract:

Loading...

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

44.

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

Number of pages: 42 Posted: 11 Aug 2016 Last Revised: 13 Nov 2016
David Ardia, Kris Boudt and Giang Ha Nguyen
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 0 (58,342)

Abstract:

Loading...

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

45.

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: 12 Dec 2017
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 0 (157,063)

Abstract:

Loading...

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

46.

Sentometrics

Posted: 12 Jan 2016
Kris Boudt
Vrije Universiteit Brussel (VUB)

Abstract:

Loading...

Econometrics, forecasting, modeling, sentiment

47.

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
Vrije Universiteit Brussel (VUB), CentER, Tilburg Law and Economics Center (TILEC), Tilburg University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - FEB@HUBrussel
Downloads 0 (561,926)
  • Add to Cart

Abstract:

Loading...

Financial analysts, Forecast error, Short‐term prediction, Trading strategy

48.

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
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Finvex Group

Abstract:

Loading...

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

49.

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
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Brussel (VUB)
Downloads 0 (297,931)

Abstract:

Loading...

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

50.

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
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Brussel (VUB)

Abstract:

Loading...

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

51.

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
Vrije Universiteit Brussel (VUB), affiliation not provided to SSRN and UNIDO

Abstract:

Loading...

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
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Brussel (VUB)

Abstract:

Loading...

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