Kris Boudt
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Universiteit Gent
/ Faculteit Economie en Bedrijfskunde
Research profile
author of:
- Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks (RePEc:ajf:louvlr:2014006)
by Boudt, Kris & Petitjean, Mikael - Analysts' forecast error: a robust prediction model and its short-term trading profitability (RePEc:ajf:louvlr:2015008)
by Boudt, Kris & de Goeij, Peter & Thewissen, James & Van Campenhout, Geert - When does the tone of earnings press releases matter? (RePEc:ajf:louvlr:2018001)
by Thewissen, James & Torsin, Wouter & Boudt, Kris - Generalized Autoregressive Score Models in R: The GAS Package (RePEc:arx:papers:1609.02354)
by David Ardia & Kris Boudt & Leopoldo Catania - Value-at-Risk Prediction in R with the GAS Package (RePEc:arx:papers:1611.06010)
by David Ardia & Kris Boudt & Leopoldo Catania - Media abnormal tone, earnings announcements, and the stock market (RePEc:arx:papers:2110.10800)
by David Ardia & Keven Bluteau & Kris Boudt - Generating drawdown-realistic financial price paths using path signatures (RePEc:arx:papers:2309.04507)
by Emiel Lemahieu & Kris Boudt & Maarten Wyns - Sluggish news reactions: A combinatorial approach for synchronizing stock jumps (RePEc:arx:papers:2309.15705)
by Nabil Bouamara & Kris Boudt & S'ebastien Laurent & Christopher J. Neely - Analysts' forecast error: a robust prediction model and its short-term trading profitability (RePEc:bla:acctfi:v:55:y:2015:i:3:p:683-715)
by Kris Boudt & Peter Goeij & James Thewissen & Geert Van Campenhout & Anne Wyatt - Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics (RePEc:bla:finmgt:v:48:y:2019:i:1:p:77-115)
by Kris Boudt & James Thewissen - Econometrics Meets Sentiment: An Overview Of Methodology And Applications (RePEc:bla:jecsur:v:34:y:2020:i:3:p:512-547)
by Andres Algaba & David Ardia & Keven Bluteau & Samuel Borms & Kris Boudt - Smart beta and CPPI performance (RePEc:cai:finpug:fina_373_0031)
by David Ardia & Kris Boudt & Marjan Wauters - Robust estimation of intraweek periodicity in volatility and jump detection (RePEc:cor:louvrp:2411)
by BOUDT, Kris & CROUX, Christophe & LAURENT, Sabéastien - Outlyingness weighted covariation (RePEc:cor:louvrp:2443)
by BOUDT, Kris & CROUX, Christophe & LAURENT, Sébastien - Intraday liquidity dynamics and news releases around price jumps: evidence from the DJIA stocks (RePEc:cor:louvrp:2591)
by BOUDT, Kris & PETITJEAN, Mikael - Robust M-estimation of multivariate GARCH models (RePEc:eee:csdana:v:54:y:2010:i:11:p:2459-2469)
by Boudt, Kris & Croux, Christophe - Jump robust daily covariance estimation by disentangling variance and correlation components (RePEc:eee:csdana:v:56:y:2012:i:11:p:2993-3005)
by Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe - Generalized financial ratios to predict the equity premium (RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257)
by Algaba, Andres & Boudt, Kris - The economic benefits of market timing the style allocation of characteristic-based portfolios (RePEc:eee:ecofin:v:37:y:2016:i:c:p:38-62)
by Ardia, David & Boudt, Kris & Wauters, Marjan - The impact of a sustainability constraint on the mean-tracking error efficient frontier (RePEc:eee:ecolet:v:119:y:2013:i:3:p:255-260)
by Boudt, Kris & Cornelissen, Jonathan & Croux, Christophe - Positive semidefinite integrated covariance estimation, factorizations and asynchronicity (RePEc:eee:econom:v:196:y:2017:i:2:p:347-367)
by Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar - Nearest comoment estimation with unobserved factors (RePEc:eee:econom:v:217:y:2020:i:2:p:381-397)
by Boudt, Kris & Cornilly, Dries & Verdonck, Tim - ETF Basket-Adjusted Covariance estimation (RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171)
by Boudt, Kris & Dragun, Kirill & Sauri, Orimar & Vanduffel, Steven - Robust interactive fixed effects (RePEc:eee:ecosta:v:29:y:2024:i:c:p:206-223)
by Boudt, Kris & Heyndels, Ewoud - Robust estimation of intraweek periodicity in volatility and jump detection (RePEc:eee:empfin:v:18:y:2011:i:2:p:353-367)
by Boudt, Kris & Croux, Christophe & Laurent, Sébastien - Funding liquidity, market liquidity and TED spread: A two-regime model (RePEc:eee:empfin:v:43:y:2017:i:c:p:143-158)
by Boudt, Kris & Paulus, Ellen C.S. & Rosenthal, Dale W.R. - When does the tone of earnings press releases matter? (RePEc:eee:finana:v:57:y:2018:i:c:p:231-245)
by Boudt, Kris & Thewissen, James & Torsin, Wouter - Evaluating the Shariah-compliance of equity portfolios: The weighting method matters (RePEc:eee:finana:v:63:y:2019:i:c:p:406-417)
by Boudt, Kris & Raza, Muhammad Wajid & Wauters, Marjan - Properties of the Margrabe Best-of-two strategy to tactical asset allocation (RePEc:eee:finana:v:81:y:2022:i:c:s105752191830190x)
by Ardia, David & Boudt, Kris & Hartmann, Stefan & Nguyen, Giang - Higher order comoments of multifactor models and asset allocation (RePEc:eee:finlet:v:13:y:2015:i:c:p:225-233)
by Boudt, Kris & Lu, Wanbo & Peeters, Benedict - Testing equality of modified Sharpe ratios (RePEc:eee:finlet:v:13:y:2015:i:c:p:97-104)
by Ardia, David & Boudt, Kris - Performance-sharing optimization by risk-constrained equity investors (RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320301793)
by Boudt, Kris & Khokhar, Mulazim-Ali - Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks (RePEc:eee:finmar:v:17:y:2014:i:c:p:121-149)
by Boudt, Kris & Petitjean, Mikael - Media abnormal tone, earnings announcements, and the stock market (RePEc:eee:finmar:v:61:y:2022:i:c:s1386418121000598)
by Ardia, David & Bluteau, Keven & Boudt, Kris - Macro-financial regimes and performance of Shariah-compliant equity portfolios (RePEc:eee:intfin:v:60:y:2019:i:c:p:252-266)
by Boudt, Kris & Raza, Muhammad Wajid & Ashraf, Dawood - Robust forecasting of dynamic conditional correlation GARCH models (RePEc:eee:intfor:v:29:y:2013:i:2:p:244-257)
by Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien - Forecasting risk with Markov-switching GARCH models:A large-scale performance study (RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747)
by Ardia, David & Bluteau, Keven & Boudt, Kris & Catania, Leopoldo - Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values (RePEc:eee:intfor:v:35:y:2019:i:4:p:1370-1386)
by Ardia, David & Bluteau, Keven & Boudt, Kris - Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence (RePEc:eee:intfor:v:39:y:2023:i:1:p:266-278)
by Algaba, Andres & Borms, Samuel & Boudt, Kris & Verbeken, Brecht - Managers set the tone: Equity incentives and the tone of earnings press releases (RePEc:eee:jbfina:v:72:y:2016:i:s:p:s132-s147)
by Arslan-Ayaydin, Özgür & Boudt, Kris & Thewissen, James - The peer performance ratios of hedge funds (RePEc:eee:jbfina:v:87:y:2018:i:c:p:351-368)
by Ardia, David & Boudt, Kris - The response of multinationals’ foreign exchange rate exposure to macroeconomic news (RePEc:eee:jimfin:v:94:y:2019:i:c:p:32-47)
by Boudt, Kris & Neely, Christopher J. & Sercu, Piet & Wauters, Marjan - Predictability of Belgian residential real estate rents using tree-based ML models and IML techniques (RePEc:eme:ijhmap:ijhma-11-2022-0172)
by Ian Lenaers & Kris Boudt & Lieven De Moor - The response of multinationals’ foreign exchange rate exposure to macroeconomic news (RePEc:fip:fedlwp:2017-020)
by Kris Boudt & Christopher J. Neely & Piet Sercu & Marjan Wauters - Sluggish news reactions: A combinatorial approach for synchronizing stock jumps (RePEc:fip:fedlwp:97969)
by Nabil Bouamara & Kris Boudt & Sebastien Laurent & Christopher J. Neely - Interpretability of Composite Indicators Based on Principal Components (RePEc:hin:jnljps:4155384)
by Kris Boudt & Marco d’Errico & Hong Anh Luu & Rebecca Pietrelli & Muhammad Ahsan - The short term prediction of analysts' forecast error (RePEc:hub:wpecon:201216)
by Boudt, Kris & De Goeij, Peter & Thewissen, James & Van Campenhout, Geert - Climate Change Concerns and the Performance of Green vs. Brown Stocks (RePEc:inm:ormnsc:v:69:y:2023:i:12:p:7607-7632)
by David Ardia & Keven Bluteau & Kris Boudt & Koen Inghelbrecht - Mapping Economic Growth and Employment in EU-Funded Research Projects: Trac(k)ing the SDG 8 Trajectory (RePEc:kap:decono:v:173:y:2025:i:1:d:10.1007_s10645-024-09448-0)
by Kris Boudt & Yanick Inghels & André Spithoven - Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy (RePEc:lvl:lacicr:1328)
by David Ardia & Kris Boudt - The Peer Performance of Hedge Funds (RePEc:lvl:lacicr:1329)
by David Ardia & Kris Boudt - Regime switches in the volatility and correlation of financial institutions (RePEc:nbb:reswpp:201210-227)
by Kris Boudt & Jon Danielsson & Siem Jan Koopman & Andre Lucas - Funding liquidity, market liquidity and TED spread : A two-regime model (RePEc:nbb:reswpp:201311-244)
by Kris Boudt & Ellen C.S. Paulus & Dale W.R. Rosenthal - Climate change concerns and the performance of green versus brown stocks (RePEc:nbb:reswpp:202010-395)
by David Ardia & Keven Bluteau & Kris Boudt & Koen Inghelbrecht - Daily news sentiment and monthly surveys: A mixed–frequency dynamic factor model for nowcasting consumer confidence (RePEc:nbb:reswpp:202102-396)
by Andres Algaba & Samuel Borms & Kris Boudt & Brecht Verbeken - Household Heterogeneity and Policy Relevance (RePEc:nbb:reswpp:202209-415)
by Kris Boudt & Koen Schoors & Milan van den Heuvel & Johannes Weytjens - Exporters’ Exposures to Currencies: Beyond the Loglinear Model (RePEc:oup:revfin:v:20:y:2016:i:4:p:1631-1657.)
by Kris Boudt & Fang Liu & Piet Sercu - Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization (RePEc:pra:mprapa:22135)
by Ardia, David & Boudt, Kris & Carl, Peter & Mullen, Katharine M. & Peterson, Brian - Hedge fund portfolio selection with modified expected shortfall (RePEc:pra:mprapa:7126)
by Boudt, Kris & Peterson, Brian & Carl, Peter - Estimation and decomposition of downside risk for portfolios with non-normal returns (RePEc:rsk:journ4:2160992)
by Kris Boudt & Brian Peterson & Christophe Croux - Asset allocation with conditional value-at-risk budgets (RePEc:rsk:journ4:2253117)
by Kris Boudt & Peter Carl and Brian G. Peterson - Nearest Comoment Estimation With Unobserved Factors (RePEc:rug:rugwps:19/970)
by Kris Boudt & Dries Cornilly & Tim Verdonck - Beta-Adjusted Covariance Estimation (RePEc:rug:rugwps:21/1010)
by Kirill Dragun & Kris Boudt & Orimar Sauri & Steven Vanduffel - Climate change concerns and the performance of green versus brown stocks (RePEc:rug:rugwps:21/1011)
by David Ardia & Keven Bluteau & Kris Boudt & Koen Inghelbrecht - Taming the Zoo of Consumption Responses to Labour Income Changes (RePEc:rug:rugwps:23/1067)
by Kris Boudt & Koen Schoors & Milan van den Heuvel & Johannes Weytjens - Trac(k)ing the trajectory: Mapping Sustainable Development Goal 8 in EU-funded research projects (RePEc:rug:rugwps:24/1084)
by Kris Boudt & Yanick Inghels & André Spithoven - Estimation of Non-Gaussian Factors Using Higher-order Multi-cumulants in Weak Factor Models (RePEc:rug:rugwps:24/1085)
by Wanbo Lu & Guanglin Huang & Kris Boudt - Pro-Debtor Bias, Court Shopping, and Bankruptcy Outcomes (RePEc:rug:rugwps:24/1088)
by Kris Boudt & Florencio López-de-Silanes & Rafael Matta & Shilin Zhang - The impact of covariance misspecification in risk-based portfolios (RePEc:spr:annopr:v:254:y:2017:i:1:d:10.1007_s10479-017-2474-7)
by David Ardia & Guido Bolliger & Kris Boudt & Jean-Philippe Gagnon-Fleury - Block rearranging elements within matrix columns to minimize the variability of the row sums (RePEc:spr:aqjoor:v:16:y:2018:i:1:d:10.1007_s10288-017-0344-4)
by Kris Boudt & Edgars Jakobsons & Steven Vanduffel - Cardinality-Constrained Higher-Order Moment Portfolios Using Particle Swarm Optimization (RePEc:spr:isochp:978-3-030-70281-6_10)
by Mulazim-Ali Khokhar & Kris Boudt & Chunlin Wan - Robust explicit estimators of Weibull parameters (RePEc:spr:metrik:v:73:y:2011:i:2:p:187-209)
by Kris Boudt & Derya Caliskan & Christophe Croux - Robust Distribution-Based Winsorization in Composite Indicators Construction (RePEc:spr:soinre:v:149:y:2020:i:2:d:10.1007_s11205-019-02259-w)
by Kris Boudt & Valentin Todorov & Wenjing Wang - Estimation and decomposition of food price inflation risk (RePEc:spr:stmapp:v:31:y:2022:i:2:d:10.1007_s10260-021-00574-6)
by Kris Boudt & Hong Anh Luu - The variance implied conditional correlation (RePEc:taf:eurjfi:v:26:y:2020:i:2-3:p:200-222)
by Andres Algaba & Kris Boudt & Steven Vanduffel - Jump robust two time scale covariance estimation and realized volatility budgets (RePEc:taf:quantf:v:15:y:2015:i:6:p:1041-1054)
by Kris Boudt & Jin Zhang - Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation (RePEc:taf:quantf:v:18:y:2018:i:8:p:1249-1259)
by David Ardia & Kris Boudt & Giang Nguyen - Machine Learning for Asset Managers (RePEc:taf:quantf:v:20:y:2020:i:11:p:1761-1762)
by Kris Boudt - The optimal payoff for a Yaari investor (RePEc:taf:quantf:v:22:y:2022:i:10:p:1839-1852)
by K. Boudt & K. Dragun & S. Vanduffel - Dynamic core-satellite investing using higher order moments: an explicit solution (RePEc:taf:quantf:v:23:y:2023:i:12:p:1815-1831)
by Yanfeng Wang & Wanbo Lu & Kris Boudt - Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation (RePEc:ulb:ulbeco:2013/286494)
by David Ardia & Kris Boudt & Giang Nguyen - The variance implied conditional correlation (RePEc:ulb:ulbeco:2013/290161)
by Andres Algaba & Kris Boudt & Steven Vanduffel