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

  • Ghent University

  • Vrije Universiteit Brussel

  • Vrije Universiteit Amsterdam

SCHOLARLY PAPERS

71

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312

CROSSREF CITATIONS

95

Ideas:
“  Sentometrics!  ”

  • Ghent University

  • Vrije Universiteit Brussel

  • Vrije Universiteit Amsterdam

Scholarly Papers (71)

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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 6,589 (1,899)
Citation 28

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

2.

Climate Change Concerns and the Performance of Green Versus Brown Stocks

Management Science, Forthcoming
Number of pages: 37 Posted: 18 Dec 2020 Last Revised: 04 Jul 2023
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 3,876 (4,658)
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 2,202 (11,678)
Citation 4

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

4.

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 2,059 (12,987)
Citation 10

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Asset Allocation, CVaR, Risk budgets

5.

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 1,894 (14,797)
Citation 15

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

6.

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 1,804 (15,957)
Citation 15

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

7.

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 1,640 (18,583)
Citation 1

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

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 1,387 (23,897)
Citation 14

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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 1,279 (26,879)
Citation 5

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factor models, higher order comoments, portfolio selection

10.

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 1,151 (31,432)
Citation 7

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

11.

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 1,129 (32,327)
Citation 1

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

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 910 (43,707)
Citation 2

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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 864 (46,934)
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 823 (50,321)
Citation 2

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

15.

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

Downloads 664 (66,724)
Citation 26

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/Morgan Stanley
Downloads 560 (81,728)
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/Morgan Stanley
Downloads 104 (426,965)
Citation 29

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

16.

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 629 (71,510)
Citation 20

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

17.

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 611 (74,128)
Citation 2

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

18.

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 536 (87,255)
Citation 1

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

19.

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 532 (88,077)
Citation 4

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

20.

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 487 (98,176)

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

21.

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 482 (99,439)

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

22.

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 465 (103,761)
Citation 24

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

23.

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 460 (105,105)
Citation 6

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

24.

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 440 (110,998)
Citation 16

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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 436 (111,907)
Citation 11

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

26.

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 430 (113,708)
Citation 2

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

27.

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 428 (114,635)
Citation 2

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

28.

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 LFIN/LIDAM, UCLouvain
Downloads 395 (125,483)
Citation 9

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

29.

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 390 (127,283)
Citation 3

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

30.

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 377 (132,312)

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

31.

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 377 (132,312)
Citation 10

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Equity incentives, Market efficiency, Textual tone, Voluntary disclosure

32.

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 375 (133,089)
Citation 10

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

33.

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 357 (140,570)
Citation 14

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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 353 (142,269)
Citation 2

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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 332 (151,916)
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 275 (185,097)
Citation 1

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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 273 (186,451)
Citation 4

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

38.

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 261 (195,129)

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

39.

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 257 (198,075)
Citation 5

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

40.

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 253 (201,178)
Citation 19

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

41.

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

Number of pages: 37 Posted: 12 Feb 2021 Last Revised: 31 Jul 2023
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 201 (250,309)

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

42.

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 198 (253,713)

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

43.

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 195 (257,182)

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Breakdown, Correlation, Efficiency, Robustness, Van der Waerden

44.

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 193 (259,532)

Abstract:

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

45.

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 190 (263,247)
Citation 3

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Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm

46.

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 175 (283,080)
Citation 6

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Cholesky decomposition, Integrated covariance, Positive semidefinite

47.

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 151 (320,708)
Citation 1

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Forex, exposure, real options, threshold model

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 148 (325,941)

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

49.

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 135 (350,484)
Citation 10

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

50.

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 132 (358,565)

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

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 128 (364,825)

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Preferences, Optimization, Hoeffding-Fréchet bounds.

52.

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 124 (373,622)
Citation 5

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

53.

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 108 (413,050)
Citation 1

Abstract:

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BAC, Covariance, ETF, Python, R

54.

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
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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

55.

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 97 (444,906)
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Mean-variance optimization, Minimum tracking error, Portfolio optimization, Socially responsible investment, Sustainability

56.

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

57.

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 91 (463,660)
Citation 2

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

58.

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 73 (528,339)

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

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
Downloads 72 (532,390)

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Composite Indicator, Invariance, Robust Estimation, Winsorization

60.

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 60 (585,027)
Citation 4

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

61.

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 59 (589,810)

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

62.

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 51 (631,095)

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

63.

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

Number of pages: 50 Posted: 30 Mar 2021 Last Revised: 31 Jul 2023
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 38 (709,472)

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

64.

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 36 (723,046)
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Binary Particle Swarm Optimization, Cardinality Mapping, Portfolio Optimization

65.

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 24 (815,183)
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foreign exchange exposure, high-frequency data, macroeconomic news

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 20 (850,479)
Citation 10

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CEO sentiment, Sentiment dynamics, Intratextual analysis, Firm profitability

67.

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

68.

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

69.

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

70.

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

71.

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

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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

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