Jeroen VK Rombouts
Names
| first: |
Jeroen |
| middle: |
VK |
| last: |
Rombouts |
Identifer
Contact
Affiliations
Research profile
author of:
- Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models (RePEc:aah:create:2009-07)
by Jeroen V.K. Rombouts & Lars Stentoft - Multivariate Option Pricing with Time Varying Volatility and Correlations (RePEc:aah:create:2010-19)
by Jeroen V.K. Rombouts & Lars Stentoft - Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models (RePEc:aah:create:2010-44)
by Jeroen V.K. Rombouts & Lars Stentoft - Marginal Likelihood for Markov-switching and Change-point Garch Models (RePEc:aah:create:2011-41)
by Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts - The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options (RePEc:aah:create:2012-04)
by Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante - Mixed Exponential Power Asymmetric Conditional Heteroskedasticity (RePEc:bpj:sndecm:v:13:y:2009:i:3:n:3)
by Rombouts Jeroen V. K. & Bouaddi Mohammed - Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models (RePEc:cir:cirwor:2009s-19)
by Jeroen Rombouts & Lars Stentoft - A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality (RePEc:cir:cirwor:2009s-28)
by Taoufik Bouezmarni & Jeroen Rombouts & Abderrahim Taamouti - On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models (RePEc:cir:cirwor:2009s-45)
by Sébastien Laurent & Jeroen Rombouts & Francesco Violente - Multivariate Option Pricing With Time Varying Volatility and Correlations (RePEc:cir:cirwor:2010s-23)
by Jeroen Rombouts & Lars Stentoft - Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models (RePEc:cir:cirwor:2010s-38)
by Jeroen Rombouts & Lars Stentoft - A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models (RePEc:cir:cirwor:2011s-13)
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts - Marginal Likelihood for Markov-Switching and Change-Point Garch Models (RePEc:cir:cirwor:2011s-72)
by Luc Bauwens & Arnaud Dufays & Jeroen Rombouts - The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options (RePEc:cir:cirwor:2012s-05)
by Jeroen Rombouts & Lars Stentoft & Francesco Violente - Semiparametric multivariate GARCH models (RePEc:cor:louvco:2003003)
by HAFNER, Christian & ROMBOUTS, Jeroen - Multivariate GARCH models: a survey (RePEc:cor:louvco:2003031)
by BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen - Estimation of temporally aggregated multivariate GARCH models (RePEc:cor:louvco:2003073)
by HAFNER, Christian & ROMBOUTS, Jeroen - Bayesian clustering of many GARCH models (RePEc:cor:louvco:2003087)
by BAUWENS, Luc & ROMBOUTS, Jeroen - Clustered panel data models: an efficient approach for nowcasting from poor data (RePEc:cor:louvco:2003090)
by MOUCHART, Michel & ROMBOUTS, Jeroen - Dynamic optimal portfolio selection in a VaR framework (RePEc:cor:louvco:2004057)
by RENGIFO, Erick & ROMBOUTS, Jeroen - Bayesian inference for the mixed conditional heteroskedasticity model (RePEc:cor:louvco:2005085)
by BAUWENS, Luc & ROMBOUTS, Jeroen V.K. - Regime switching GARCH models (RePEc:cor:louvco:2006011)
by BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen - Multivariate mixed normal conditional heteroskedasticity (RePEc:cor:louvco:2006012)
by BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen - Nonparametric density estimation for positive time series (RePEc:cor:louvco:2006085)
by BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V. K. - Density and hazard rate estimation for censored and a-mixing data using gamma kernels (RePEc:cor:louvco:2006118)
by BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V. K. - Semiparametric multivariate density estimation for positive data using copulas (RePEc:cor:louvco:2007054)
by BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K. - Theory and inference for a Markov switching GARCH model (RePEc:cor:louvco:2007055)
by BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen V.K. - Nonparametric density estimation for multivariate bounded data (RePEc:cor:louvco:2007065)
by BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K. - Mixed exponential power asymmetric conditional heteroskedasticity (RePEc:cor:louvco:2007097)
by BOUADDI, Mohammed & ROMBOUTS, Jeroen V.K. - Asymptotic properties of the Bernstein density copula for dependent data (RePEc:cor:louvco:2008045)
by BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K. & TAAMOUTI, Abderrahim - Style rotation and performance persistence of mutual funds (RePEc:cor:louvco:2008072)
by Meier, Iwan & Rombouts, Jeroen V.K. - Consistent ranking of multivariate volatility models (RePEc:cor:louvco:2009002)
by LAURENT, Sebastien & ROMBOUTS, Jeroen V.K. & VIOLANTE, FRANCESCO - Bayesian option pricing using mixed normal heteroskedasticity models (RePEc:cor:louvco:2009013)
by ROMBOUTS, Jeroen V.K. & STENTOFT, Lars - A nonparametric copula based test for conditional independence with applications to Granger causality (RePEc:cor:louvco:2009041)
by BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen & TAAMOUTI, Abderrahim - On marginal likelihood computation in change-point models (RePEc:cor:louvco:2009061)
by BAUWENS, Luc & ROMBOUTS, Jeroen - Multivariate option pricing with time varying volatility and correlations (RePEc:cor:louvco:2010020)
by ROMBOUTS, Jeroen J. K & STENTOFT, Lars - On the forecasting accuracy of multivariate GARCH models (RePEc:cor:louvco:2010025)
by LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco - Option pricing with asymmetric heteroskedastic normal mixture models (RePEc:cor:louvco:2010049)
by ROMBOUTS, Jeroen V. K. & STENTOFT, Lars - A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models (RePEc:cor:louvco:2011003)
by BAUWENS, Luc & KOOP, Gary & KOROBILIS, Dimitris & ROMBOUTS, Jeroen V. K. - Marginal likelihood for Markov-switching and change-point GARCH models (RePEc:cor:louvco:2011013)
by BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K. - Asymptotic properties of the Bernstein density copula for dependent data (RePEc:cte:werepe:we083619)
by Bouezmarni, Taoufik & Rombouts, Jeroen V. K. & Taamouti, Abderrahim - A nonparametric copula based test for conditional independence with applications to granger causality (RePEc:cte:werepe:we093419)
by Bouezmarni, Taoufik & Rombouts, Jeroen V. K. & Taamouti, Abderrahim - Bayesian inference for the mixed conditional heteroskedasticity model (RePEc:ctl:louvec:2005058)
by Luc, Bauwens & J.V.K., ROMBOUTS - Regime switching GARCH models (RePEc:ctl:louvec:2006006)
by Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS - Multivariate mixed normal conditional heteroskedasticity (RePEc:ctl:louvec:2006007)
by Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS - Theory and inference for a Markov switching GARCH model (RePEc:ctl:louvec:2007033)
by Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS - Semiparametric Multivariate Volatility Models (RePEc:cup:etheor:v:23:y:2007:i:02:p:251-280_07)
by Hafner, Christian M. & Rombouts, Jeroen V.K. - Bayesian Clustering Of Similar Multivariate Garch Models (RePEc:ecm:nawm04:370)
by Luc Bauwens & Jeroen Rombouts - Bayesian inference for the mixed conditional heteroskedasticity model (RePEc:ect:emjrnl:v:10:y:2007:i:2:p:408-425)
by L. Bauwens & J.V.K. Rombouts - Theory and inference for a Markov switching GARCH model (RePEc:ect:emjrnl:v:13:y:2010:i:2:p:218-244)
by Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts - Multivariate mixed normal conditional heteroskedasticity (RePEc:eee:csdana:v:51:y:2007:i:7:p:3551-3566)
by Bauwens, L. & Hafner, C.M. & Rombouts, J.V.K. - Semiparametric multivariate density estimation for positive data using copulas (RePEc:eee:csdana:v:53:y:2009:i:6:p:2040-2054)
by Bouezmarni, T. & Rombouts, J.V.K. - Nonparametric density estimation for positive time series (RePEc:eee:csdana:v:54:y:2010:i:2:p:245-261)
by Bouezmarni, Taoufik & Rombouts, Jeroen V.K. - On marginal likelihood computation in change-point models (RePEc:eee:csdana:v:56:y:2012:i:11:p:3415-3429)
by Bauwens, Luc & Rombouts, Jeroen V.K. - On loss functions and ranking forecasting performances of multivariate volatility models (RePEc:eee:econom:v:173:y:2013:i:1:p:1-10)
by Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco - Clustered panel data models: an efficient approach for nowcasting from poor data (RePEc:eee:intfor:v:21:y:2005:i:3:p:577-594)
by Mouchart, Michel & Rombouts, Jeroen V.K. - Multivariate option pricing with time varying volatility and correlations (RePEc:eee:jbfina:v:35:y:2011:i:9:p:2267-2281)
by Rombouts, Jeroen V.K. & Stentoft, Lars - Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data (RePEc:eee:jmvana:v:101:y:2010:i:1:p:1-10)
by Bouezmarni, Taoufik & Rombouts, Jeroen V.K. & Taamouti, Abderrahim - Dynamic Optimal Portfolio Selection in a VaR Framework (RePEc:iea:carech:0405)
by Jeroen Rombouts & E.W. Rengifo - Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models (RePEc:iea:carech:0414)
by Jeroen V.K. Rombouts & Marno Verbeek - Bayesian inference for the mixed conditional heteroskedasticity model (RePEc:iea:carech:0607)
by Luc Bauwens & Jeroen V.K. Rombouts - Regime switching GARCH models (RePEc:iea:carech:0608)
by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts - Nonparametric Density Estimation for Positive Time Series (RePEc:iea:carech:0609)
by Taoufik Bouezmarni & Jeroen V.K. Rombouts - Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels (RePEc:iea:carech:0616)
by Taoufik Bouezmarni & Jeroen V.K. Rombouts - Semiparametric Multivariate Density Estimation for Positive Data Using Copulas (RePEc:iea:carech:0708)
by Taoufik Bouezmarni & Jeroen V.K. Rombouts - Theory and inference for a Markov switching Garch model (RePEc:iea:carech:0709)
by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts - Nonparametric density estimation for multivariate bounded data (RePEc:iea:carech:0710)
by Taoufik Bouezmarni & Jeroen V.K. Rombouts - Mixed Exponential Power Asymmetric Conditional Heteroskedasticity (RePEc:iea:carech:0715)
by Mohammed Bouaddi & Jeroen V.K. Rombouts - Multivariate GARCH models: a survey (RePEc:jae:japmet:v:21:y:2006:i:1:p:79-109)
by Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts - Semiparametric Multivariate Density Estimation for Positive Data Using Copulas (RePEc:lvl:lacicr:0731)
by Taoufik Bouezmarni & Jeroen V.K. Rombouts - Nonparametric Density Estimation for Multivariate Bounded Data (RePEc:lvl:lacicr:0732)
by Taoufik Bouezmarni & Jeroen V.K. Rombouts - Theory and Inference for a Markov-Switching GARCH Model (RePEc:lvl:lacicr:0733)
by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts - Mixed Exponential Power Asymmetric Conditional Heteroskedasticity (RePEc:lvl:lacicr:0749)
by Mohammed Bouaddi & Jeroen V.K. Rombouts - Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models (RePEc:lvl:lacicr:0926)
by Jeroen V.K. Rombouts & Lars Stentoft - A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality (RePEc:lvl:lacicr:0927)
by Taoufik Bouezmarni & Jeroen V.K. Rombouts & Abderrahim Taamouti - On Marginal Likelihood Computation in Change-point Models (RePEc:lvl:lacicr:0942)
by Luc Bauwens & Jeroen V.K. Rombouts - On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models (RePEc:lvl:lacicr:0948)
by Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante - Multivariate Option Pricing with Time Varying Volatility and Correlations (RePEc:lvl:lacicr:1020)
by Jeroen V.K. Rombouts & Lars Stentoft - On the Forecasting Accuracy of Multivariate GARCH Models (RePEc:lvl:lacicr:1021)
by Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante - A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models (RePEc:lvl:lacicr:1104)
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts - The Contribution of Structural Break Models to Forecasting Macroeconomic Series (RePEc:rim:rimwps:38_11)
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts - Multivariate GARCH models and their Estimation (RePEc:sce:scecf2:19)
by L. Bauwens & S. Laurent & J.P. Peters & J. Rombouts - Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models (RePEc:sce:scecf5:40)
by Marno Verbeek & Jeroen VK Rombouts - A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models (RePEc:str:wpaper:1113)
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts - Bayesian Clustering of Many Garch Models (RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:365-386)
by L. Bauwens & J. V. K. Rombouts - Evaluating portfolio Value-at-Risk using semi-parametric GARCH models (RePEc:taf:quantf:v:9:y:2009:i:6:p:737-745)
by Jeroen Rombouts & Marno Verbeek - Semiparametric multivariate volatility models (RePEc:zbw:caseps:200414)
by Rombouts, Jeroen V. K. & Hafner, Christian M. - Econometrics (RePEc:zbw:caseps:200433)
by Rombouts, Jeroen V. K. & Bauwens, Luc