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

44

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53

Scholarly Papers (44)

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 (9,789)
Citation 1

Abstract:

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 (14,073)
Citation 4

Abstract:

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:

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

4.

The Peer Performance Ratios of Hedge Funds

Number of pages: 31 Posted: 08 Feb 2012 Last Revised: 30 Mar 2017
David Ardia and Kris Boudt
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Brussel (VUB)
Downloads 561 (28,599)

Abstract:

False discoveries, hedge fund, peer performance, performance measurement

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

Number of pages: 44 Posted: 31 Aug 2010 Last Revised: 22 Apr 2014
Vrije Universiteit Brussel (VUB), London Business School - Department of Finance and University of Illinois at Chicago - Department of Finance
Downloads 415 (55,141)
Citation 1

Abstract:

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 43 (349,680)
Citation 1

Abstract:

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

6.

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

Accounting and Finance, Forthcoming
Number of pages: 55 Posted: 18 Mar 2012 Last Revised: 14 Jan 2014
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 (57,348)

Abstract:

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 (72,742)
Citation 13

Abstract:

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 287 (85,390)
Citation 3

Abstract:

9.

Higher Order Comoments of Multifactor Models and Asset Allocation

Finance Research Letters, Forthcoming
Number of pages: 13 Posted: 18 Mar 2014 Last Revised: 31 Dec 2014
Kris Boudt, Wanbo Lu and Benedict Peeters
Vrije Universiteit Brussel (VUB), Southwestern University of Finance and Economics (SWUFE) and Finvex Group
Downloads 252 (60,379)

Abstract:

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 (83,393)

Abstract:

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

11.

Jump Robust Two Time Scale Covariance Estimation and Realized Volatility Budgets

Quantitative Finance, Forthcoming.
Number of pages: 30 Posted: 01 Nov 2010 Last Revised: 16 Oct 2012
Kris Boudt and Jin Zhang
Vrije Universiteit Brussel (VUB) and Illinois Institute of Technology
Downloads 243 (102,090)

Abstract:

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 (108,056)
Citation 5

Abstract:

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, VU University Amsterdam and VU University Amsterdam - Faculty of Economics and Business
Downloads 213 (79,649)
Citation 1

Abstract:

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 (127,392)
Citation 10

Abstract:

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:

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

16.

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 KU Leuven - Faculty of Business and Economics (FEB)
Downloads 154 (90,610)

Abstract:

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

17.

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 153 (157,446)

Abstract:

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

18.

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

2016 Canadian Academic Accounting Association (CAAA) Annual Conference
Number of pages: 43 Posted: 16 Sep 2013 Last Revised: 14 Jul 2016
Kris Boudt and James Thewissen
Vrije Universiteit Brussel (VUB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 139 (96,671)

Abstract:

CEO sentiment, Sentiment dynamics, Intratextual analysis, Firm profitability

19.

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 130 (179,950)
Citation 1

Abstract:

Breakdown, Correlation, Efficiency, Robustness, Van der Waerden

20.

Exporters' Exposures to Currencies: Beyond the Loglinear Model

Review of Finance, Forthcoming
Number of pages: 36 Posted: 08 Apr 2012 Last Revised: 23 Jul 2015
Kris Boudt, Fang Liu and Piet Sercu
Vrije Universiteit Brussel (VUB), Central University of Finance and Economics, Beijing and FEB at KU Leuven
Downloads 114 (198,926)

Abstract:

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, Forthcoming
Number of pages: 41 Posted: 16 Feb 2014 Last Revised: 08 Oct 2015
University of Illinois at Chicago - Department of Finance, Vrije Universiteit Brussel (VUB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 105 (124,997)

Abstract:

Equity incentives, Market efficiency, Textual tone, Voluntary disclosure

22.

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Journal of Econometrics, Forthcoming
Number of pages: 58 Posted: 24 Jan 2014 Last Revised: 14 Nov 2016
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 (191,440)

Abstract:

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 62 (290,566)

Abstract:

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, Forthcoming
Number of pages: 17 Posted: 28 Aug 2015 Last Revised: 22 Jan 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 (51,263)

Abstract:

Covariance misspecification, Monte Carlo study, Risk-based portfolios

25.

Smart Indexing to Equities and Reducing the Drag of Negative Vega and Downside Risk in CPPI Performance

Number of pages: 37 Posted: 05 May 2015 Last Revised: 13 Jan 2017
David Ardia, Kris Boudt and Marjan Wauters
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 36 (118,709)

Abstract:

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

26.

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

Number of pages: 20 Posted: 24 Jul 2015 Last Revised: 02 Mar 2017
Vrije Universiteit Brussel (VUB), ETH Zürich - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 20 (214,015)

Abstract:

Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm

27.

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

Number of pages: 28 Posted: 18 May 2017
Kris Boudt, Dries Cornilly and Tim Verdonck
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Downloads 0 (479,040)

Abstract:

Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

28.

Forecasting Performance of Markov-Switching GARCH Models: A Large-Scale Empirical Study

Number of pages: 25 Posted: 16 Feb 2017
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB) and University of Rome, Tor Vergata - Department of Economics and Finance
Downloads 0 (135,902)

Abstract:

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

29.

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:

Risk-based portfolios, optimization, R software

30.

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 (468,874)
Citation 14

Abstract:

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

31.

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 Rome, Tor Vergata - Department of Economics and Finance
Downloads 0 (139,385)

Abstract:

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

32.

Informativeness of Earnings Press Releases - When Does Tone Matter?

Number of pages: 32 Posted: 10 Oct 2016 Last Revised: 03 Mar 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 (412,576)

Abstract:

Textual Sentiment, Firm Performance, Investor Reaction, Heterogeneity, Information Asymmetry

33.

Markov-Switching GARCH Models in R: The MSGARCH Package

Number of pages: 29 Posted: 02 Oct 2016 Last Revised: 23 Jan 2017
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB) and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 0 (46,401)

Abstract:

GARCH, MSGARCH, Markov-switching, conditional volatility, risk management, R software

34.

Generalized Financial Ratios to Predict the Equity Premium

Number of pages: 40 Posted: 08 Sep 2016 Last Revised: 12 May 2017
Andres Algaba and Kris Boudt
Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 0 (124,440)

Abstract:

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

35.

Generalized Autoregressive Score Models in R: The GAS Package

Number of pages: 26 Posted: 21 Aug 2016 Last Revised: 09 Sep 2016
David Ardia, Kris Boudt and Leopoldo Catania
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and University of Rome, Tor Vergata - Department of Economics and Finance
Downloads 0 (54,246)

Abstract:

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

36.

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 (64,297)

Abstract:

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

37.

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

Number of pages: 28 Posted: 22 Jul 2016 Last Revised: 06 Mar 2017
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 0 (175,626)

Abstract:

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

38.

Sentometrics

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

Abstract:

Econometrics, forecasting, modeling, sentiment

39.

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 (535,951)
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Abstract:

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

40.

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:

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

41.

Testing Equality of Modified Sharpe Ratios

Finance Research Letters, Vol.13, pp. 97-104, May 2015
Posted: 31 Oct 2014 Last Revised: 04 Apr 2016
David Ardia and Kris Boudt
University of Neuchatel - Institute of Financial Analysis and Vrije Universiteit Brussel (VUB)

Abstract:

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

42.

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:

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

43.

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:

Nowcasting, manufacturing value added

44.

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

Number of pages: 30 Posted: 20 Sep 2016
Kris Boudt, Dries Cornilly and Tim Verdonck
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Downloads 98

Abstract:

Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

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:

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