← All authors Jeroen V.K. Rombouts Maastricht University (from arXiv:2402.09033, 2024) · OpenAlex
39 papers in scope · 38 published · 2 on the econ.EM arXiv · 3,116 citations · h-index 18 (over the papers listed here)
Related authors The 13 authors closest to this one in our weighted citation graph, most related first.
Florian Ziel Yu Jeffrey Hu Ines Wilms Rafał Weron Fotios Petropoulos Feng Li Alisa Yusupova Paul Ghelasi Souhaib Ben Taieb Bartosz Uniejewski Marie Ternes Gael M. Martin David T. Frazier Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 39)
working paper 2025 · arXiv
published 2024 · International Journal of Forecasting · 11 citations
published 2024 · Information Systems Research · 2 citations · first circulated 2023
Fast Filtering with Large Option Panels: Implications for Asset Pricing
published 2023 · Journal of Financial and Quantitative Analysis · 9 citations · first circulated 2022
with Arnaud Dufays, Kris Jacobs, Yuguo Liu
Sparse change‐point VAR models
published 2021 · Journal of Applied Econometrics · 6 citations · first circulated 2019
Multivariate volatility forecasts for stock market indices
published 2020 · International Journal of Forecasting · 48 citations
Dynamics of variance risk premia: A new model for disentangling the price of risk
published 2019 · Journal of Econometrics · 6 citations
with Lars Stentoft, Francesco Violante
Relevant parameter changes in structural break models
published 2019 · Journal of Econometrics · 12 citations
with Arnaud Dufays
Nonlinear financial econometrics JoE special issue introduction
published 2019 · Journal of Econometrics · 2 citations
Pricing individual stock options using both stock and market index information
published 2019 · Journal of Banking & Finance · 5 citations
with Lars Stentoft, Francesco Violante
Variance swap payoffs, risk premia and extreme market conditions
published 2019 · Econometrics and Statistics
with Lars Stentoft, Francesco Violante
Sparse Change-point HAR Models for Realized Variance
published 2018 · Econometric Reviews · 3 citations · first circulated 2016
with Arnaud Dufays
Root-T consistent density estimation in GARCH models
published 2015 · Journal of Econometrics · 4 citations
with Aurore Delaigle, Alexander Meister
Option pricing with asymmetric heteroskedastic normal mixture models
published 2015 · International Journal of Forecasting · 15 citations · first circulated 2010
with Lars Stentoft
CFEnetwork: The Annals of Computational and Financial Econometrics
published 2014 · Computational Statistics & Data Analysis
The Contribution of Structural Break Models to Forecasting Macroeconomic Series
published 2014 · Journal of Applied Econometrics · 74 citations · first circulated 2011
Marginal likelihood for Markov-switching and change-point GARCH models
published 2013 · Journal of Econometrics · 101 citations · first circulated 2011
with Luc Bauwens, Arnaud Dufays
On loss functions and ranking forecasting performances of multivariate volatility models
published 2012 · Journal of Econometrics · 143 citations · first circulated 2009
Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality
published 2012 · Journal of Business and Economic Statistics · 77 citations · first circulated 2009
The Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options
published 2012 · International Journal of Forecasting · 3 citations
with Lars Stentoft, Francesco Violante
On the forecasting accuracy of multivariate GARCH models
published 2011 · Journal of Applied Econometrics · 36 citations
Multivariate option pricing with time varying volatility and correlations
published 2011 · Journal of Banking & Finance · 34 citations · first circulated 2010
with Lars Stentoft
On marginal likelihood computation in change-point models
published 2010 · Computational Statistics & Data Analysis · 24 citations · first circulated 2009
with Luc Bauwens
Theory and inference for a Markov switching GARCH model
published 2010 · Econometrics Journal · 44 citations · first circulated 2007
with Luc Bauwens, Arie Preminger
Nonparametric density estimation for positive time series
published 2009 · Computational Statistics & Data Analysis · 37 citations · first circulated 2006
with Taoufik Bouezmarni
Nonparametric density estimation for multivariate bounded data
published 2009 · Journal of Statistical Planning and Inference · 77 citations · first circulated 2007
with Taoufik Bouezmarni
Evaluating portfolio Value-at-Risk using semi-parametric GARCH models
published 2009 · Quantitative Finance · 27 citations
with Marno Verbeek
Asymptotic properties of the Bernstein density copula estimator for α -mixing data
published 2009 · Journal of Multivariate Analysis · 48 citations
Mixed Exponential Power Asymmetric Conditional Heteroskedasticity
published 2009 · Studies in Nonlinear Dynamics and Econometrics · 12 citations · first circulated 2007
with Mohammed Bouaddi
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
published 2009 · Computational Statistics & Data Analysis · 2 citations
with Lars Stentoft
Density and hazard rate estimation for censored and α-mixing data using gamma kernels
published 2008 · Journal of nonparametric statistics · 8 citations · first circulated 2006
with Taoufik Bouezmarni
Semiparametric multivariate density estimation for positive data using copulas
published 2008 · Computational Statistics & Data Analysis · 21 citations · first circulated 2007
with Taoufik Bouezmarni
Bayesian inference for the mixed conditional heteroskedasticity model
published 2007 · Econometrics Journal · 5 citations · first circulated 2005
with Luc Bauwens
Bayesian Clustering of Many Garch Models
published 2007 · Econometric Reviews · 50 citations · first circulated 2003
with Luc Bauwens
SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS
published 2007 · Econometric Theory · 22 citations · first circulated 2004
with Christian Hafner
Multivariate mixed normal conditional heteroskedasticity
published 2006 · Computational Statistics & Data Analysis · 58 citations
with Luc Bauwens, Christian Hafner
Estimation of temporally aggregated multivariate GARCH models
published 2006 · Journal of Statistical Computation and Simulation · 3 citations · first circulated 2002
Multivariate GARCH models: a survey
published 2006 · Journal of Applied Econometrics · 2079 citations · first circulated 2003
Clustered panel data models: an efficient approach for nowcasting from poor data
published 2005 · International Journal of Forecasting · 8 citations · first circulated 2003
with Michel Mouchart
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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