Kris Boudt
Names
first: | Kris |
last: | Boudt |
Affiliations
-
Universiteit Gent
→ Faculteit Economie en Bedrijfskunde
- website
- location: Gent, Belgium
Research profile
author of:
-
Hedge fund portfolio selection with modified expected shortfall
by Boudt, Kris & Peterson, Brian & Carl, Peter -
The response of multinationals’ foreign exchange rate exposure to macroeconomic news
by Kris Boudt & Christopher J. Neely & Piet Sercu & Marjan Wauters -
Robust M-estimation of multivariate GARCH models
by Boudt, Kris & Croux, Christophe -
The Peer Performance of Hedge Funds
by David Ardia & Kris Boudt -
Robust estimation of intraweek periodicity in volatility and jump detection
by Boudt, Kris & Croux, Christophe & Laurent, Sébastien -
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
by Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar -
Robust explicit estimators of Weibull parameters
by Kris Boudt & Derya Caliskan & Christophe Croux -
Outlyingness weighted covariation
by BOUDT, Kris & CROUX, Christophe & LAURENT, Sébastien -
Regime switches in the volatility and correlation of financial institutions
by Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas -
Analysts' forecast error: a robust prediction model and its short-term trading profitability
by Kris Boudt & Peter Goeij & James Thewissen & Geert Van Campenhout & Anne Wyatt -
Robust forecasting of dynamic conditional correlation GARCH models
by Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien -
The peer performance ratios of hedge funds
by Ardia, David & Boudt, Kris -
Jump robust two time scale covariance estimation and realized volatility budgets
by Kris Boudt & Jin Zhang -
Jump robust daily covariance estimation by disentangling variance and correlation components
by Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe -
Robust estimation of intraweek periodicity in volatility and jump detection
by BOUDT, Kris & CROUX, Christophe & LAURENT, Sabéastien -
The short term prediction of analysts' forecast error
by Boudt, Kris & De Goeij, Peter & Thewissen, James & Van Campenhout, Geert -
The impact of covariance misspecification in risk-based portfolios
by David Ardia & Guido Bolliger & Kris Boudt & Jean-Philippe Gagnon-Fleury -
Managers set the tone: Equity incentives and the tone of earnings press releases
by Arslan-Ayaydin, Özgür & Boudt, Kris & Thewissen, James -
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
by David Ardia & Kris Boudt & Giang Nguyen -
Smart beta and CPPI performance
by David Ardia & Kris Boudt & Marjan Wauters -
Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
by Boudt, Kris & Petitjean, Mikael -
Value-at-Risk Prediction in R with the GAS Package
by David Ardia & Kris Boudt & Leopoldo Catania -
Testing equality of modified Sharpe ratios
by Ardia, David & Boudt, Kris -
Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics
by Kris Boudt & James Thewissen -
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy
by David Ardia & Kris Boudt -
Funding liquidity, market liquidity and TED spread : A two-regime model
by Kris Boudt & Ellen C. S. Paulus & Dale W. R. Rosenthal -
Exporters’ Exposures to Currencies: Beyond the Loglinear Model
by Kris Boudt & Fang Liu & Piet Sercu -
Generalized financial ratios to predict the equity premium
by Algaba, Andres & Boudt, Kris -
When does the tone of earnings press releases matter?
by Boudt, Kris & Thewissen, James & Torsin, Wouter -
The impact of a sustainability constraint on the mean-tracking error efficient frontier
by Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe -
Higher order comoments of multifactor models and asset allocation
by Boudt, Kris & Lu, Wanbo & Peeters, Benedict -
Forecasting risk with Markov-switching GARCH models:A large-scale performance study
by Ardia, David & Bluteau, Keven & Boudt, Kris & Catania, Leopoldo -
The economic benefits of market timing the style allocation of characteristic-based portfolios
by Ardia, David & Boudt, Kris & Wauters, Marjan -
Funding liquidity, market liquidity and TED spread: A two-regime model
by Boudt, Kris & Paulus, Ellen C. S. & Rosenthal, Dale W. R. -
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization
by Ardia, David & Boudt, Kris & Carl, Peter & Mullen, Katharine M. & Peterson, Brian -
Generalized Autoregressive Score Models in R: The GAS Package
by David Ardia & Kris Boudt & Leopoldo Catania -
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
by David Ardia & Kris Boudt & Giang Nguyen -
NEAREST COMOMENT ESTIMATION WITH UNOBSERVED FACTORS
by Kris Boudt & Dries Cornilly & Tim Verdonck -
The response of multinationals’ foreign exchange rate exposure to macroeconomic news
by Boudt, Kris & Neely, Christopher J. & Sercu, Piet & Wauters, Marjan -
Macro-financial regimes and performance of Shariah-compliant equity portfolios
by Boudt, Kris & Raza, Muhammad Wajid & Ashraf, Dawood -
Evaluating the Shariah-compliance of equity portfolios: The weighting method matters
by Boudt, Kris & Raza, Muhammad Wajid & Wauters, Marjan -
Block rearranging elements within matrix columns to minimize the variability of the row sums
by Kris Boudt & Edgars Jakobsons & Steven Vanduffel -
Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values
by Ardia, David & Bluteau, Keven & Boudt, Kris -
The variance implied conditional correlation
by Andres Algaba & Kris Boudt & Steven Vanduffel -
Nearest comoment estimation with unobserved factors
by Boudt, Kris & Cornilly, Dries & Verdonck, Tim -
Robust Distribution-Based Winsorization in Composite Indicators Construction
by Kris Boudt & Valentin Todorov & Wenjing Wang -
ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS
by Andres Algaba & David Ardia & Keven Bluteau & Samuel Borms & Kris Boudt -
Climate change concerns and the performance of green versus brown stocks
by David Ardia & Keven Bluteau & Kris Boudt & Koen Inghelbrecht -
Machine Learning for Asset Managers
by Kris Boudt