Kris Boudt

Names

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 Boudt, Kris & Neely, Christopher J. & Sercu, Piet & Wauters, Marjan
• 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, SÃbastien
• 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, SabÃastien
• 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
• The variance implied conditional correlation
  by Andres Algaba & Kris Boudt & Steven Vanduffel
• 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