← All authors Kris Boudt Ghent University (from arXiv:2309.15705, 2023) · ORCID · OpenAlex
67 papers in scope · 66 published · 1 on the econ.EM arXiv · 3,277 citations · h-index 28 (over the papers listed here)
Papers (1 of 67)
A HEAVY Model for Skewed Returns and Fat-Tailed Realized Covariances with Dynamic Shape
published 2026 · Journal of Management Science and Engineering
Estimation of factors using higher-order multi-cumulants in weak factor models
published 2026 · Journal of Business and Economic Statistics · 2 citations
The performance of Chinese real estate firms: media concerns and special treatment status
published 2025 · Journal of the Asia Pacific Economy
with Xianda Liang
Dynamic core-satellite investing using higher order moments: an explicit solution
published 2023 · Quantitative Finance · 5 citations
with Yanfeng Wang, Wanbo Lu
working paper 2023 · arXiv
Predictability of Belgian residential real estate rents using tree-based ML models and IML techniques
published 2023 · International Journal of Housing Markets and Analysis · 19 citations
with Ian Lenaers, Lieven De Moor
Climate Change Concerns and the Performance of Green vs. Brown Stocks
published 2022 · Management Science · 603 citations · first circulated 2020
ETF Basket-Adjusted Covariance estimation
published 2022 · Journal of Econometrics · 2 citations
with Kirill Dragun, Orimar Sauri, Steven Vanduffel
The optimal payoff for a Yaari investor
published 2022 · Quantitative Finance · 7 citations · first circulated 2020
with Kirill Dragun, Steven Vanduffel, Qihe Tang
Robust interactive fixed effects
published 2022 · Econometrics and Statistics · 1 citations
with Ewoud Heyndels
Analyzing Intraday Financial Data in R : The highfrequency Package
published 2022 · Journal of Statistical Software · 11 citations · first circulated 2021
with Onno Kleen, Emil Sjørup
Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence
published 2021 · International Journal of Forecasting · 37 citations
with Andres Algaba, Samuel Borms, Brecht Verbeken
Media abnormal tone, earnings announcements, and the stock market
published 2021 · Journal of Financial Markets · 27 citations
Estimation and decomposition of food price inflation risk
published 2021 · Statistical Methods & Applications · 1 citations
with Hong Anh Luu
The R Package sentometrics to Compute, Aggregate, and Predict with Textual Sentiment
published 2021 · Journal of Statistical Software · 25 citations · first circulated 2017
Machine Learning for Asset Managers
published 2020 · Quantitative Finance · 16 citations
ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS
published 2020 · Journal of Economic Surveys · 139 citations · first circulated 2019
Performance-sharing optimization by risk-constrained equity investors
published 2020 · Finance research letters · 2 citations
with Mulazim-Ali Khokhar
Algorithmic portfolio tilting to harvest higher moment gains
published 2020 · Heliyon · 23 citations · first circulated 2019
with Dries Cornilly, Frederiek Van Holle, Joeri Willems
Nearest comoment estimation with unobserved factors
published 2020 · Journal of Econometrics · 18 citations · first circulated 2017
Robust Distribution-Based Winsorization in Composite Indicators Construction
published 2020 · Social Indicators Research · 25 citations
with Valentin Todorov, Wenjing Wang
The variance implied conditional correlation
published 2019 · European Journal of Finance · 1 citations
with Andres Algaba, Steven Vanduffel
Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values
published 2019 · International Journal of Forecasting · 87 citations
The response of multinationals’ foreign exchange rate exposure to macroeconomic news
published 2019 · Journal of International Money and Finance · 24 citations · first circulated 2017
with Christopher J. Neely, Piet Sercu, Marjan Wauters
Macro-financial regimes and performance of Shariah-compliant equity portfolios
published 2019 · Journal of International Financial Markets Institutions and Money · 29 citations · first circulated 2018
with Muhammad Wajid Raza, Dawood Ashraf
A misspecification test for the higher order co-moments of the factor model
published 2019 · Statistics · 2 citations
with Wanbo Lu, Dong Yang
Properties of the Margrabe Best-of-two strategy to tactical asset allocation
published 2019 · International Review of Financial Analysis · 1 citations · first circulated 2017
Markov-Switching GARCH Models in R : The MSGARCH Package
published 2019 · Journal of Statistical Software · 107 citations · first circulated 2016
Generalized Autoregressive Score Models in R : The GAS Package
published 2019 · Journal of Statistical Software · 66 citations · first circulated 2016
Downside Risk Evaluation with the R Package GAS
published 2019 · The R Journal · 17 citations
A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables*
published 2018 · Journal of Financial Econometrics · 36 citations · first circulated 2016
Forecasting risk with Markov-switching GARCH models:A large-scale performance study
published 2018 · International Journal of Forecasting · 164 citations · first circulated 2017
Avoiding Interest-Based Revenues while Constructing Shariah-Compliant Portfolios: False Negatives and False Positives
published 2018 · The Journal of Portfolio Management · 19 citations · first circulated 2017
with Özgür Arslan-Ayaydin, Muhammad Wajid Raza, zggr Arslan-Ayaydin
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
published 2018 · Quantitative Finance · 9 citations · first circulated 2016
When does the tone of earnings press releases matter?
published 2018 · International Review of Financial Analysis · 41 citations · first circulated 2016
with James Thewissen, Wouter Torsin
Evaluating the Shariah-compliance of equity portfolios: The weighting method matters
published 2017 · International Review of Financial Analysis · 31 citations
with Muhammad Wajid Raza, Marjan Wauters
The peer performance ratios of hedge funds
published 2017 · Journal of Banking & Finance · 26 citations · first circulated 2012
Smart beta and CPPI performance
published 2017 · Finance · 8 citations
Generalized financial ratios to predict the equity premium
published 2017 · Economic Modelling · 10 citations · first circulated 2016
with Andres Algaba
Funding liquidity, market liquidity and TED spread: A two-regime model
published 2017 · Journal of Empirical Finance · 53 citations · first circulated 2010
with Ellen C. S. Paulus, Dale W. R. Rosenthal
The impact of covariance misspecification in risk-based portfolios
published 2017 · Annals of Operations Research · 55 citations · first circulated 2015
RiskPortfolios: Computation of Risk-Based Portfolios in R
published 2017 · The Journal of Open Source Software · 23 citations
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
published 2016 · Journal of Econometrics · 32 citations · first circulated 2014
The economic benefits of market timing the style allocation of characteristic-based portfolios
published 2016 · The North American Journal of Economics and Finance · 11 citations
Managers set the tone: Equity incentives and the tone of earnings press releases
published 2015 · Journal of Banking & Finance · 197 citations
with Özgür Arslan-Ayaydin, James Thewissen
Exporters’ Exposures to Currencies: Beyond the Loglinear Model
published 2015 · European Finance Review · 5 citations · first circulated 2012
with Fang Liu, Piet Sercu
Implied Expected Returns and the Choice of a Mean–Variance Efficient Portfolio Proxy
published 2015 · The Journal of Portfolio Management · 19 citations · first circulated 2013
Testing equality of modified Sharpe ratios
published 2015 · Finance research letters · 30 citations · first circulated 2014
Higher order comoments of multifactor models and asset allocation
published 2015 · Finance research letters · 43 citations
with Wanbo Lu, Benedict Peeters
Analysts' forecast error: a robust prediction model and its short‐term trading profitability
published 2014 · Accounting and Finance · 13 citations · first circulated 2011
with Peter de Goeij, James Thewissen, Geert Van Campenhout
Asset allocation with risk factors
published 2013 · Quantitative Finance Letters · 7 citations
with Benedict Peeters
Dynamic Risk-Based Asset Allocation
published 2013 · Wilmott · 2 citations
with Joakim Darras, Benedict Peeters
Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
published 2013 · Journal of Financial Markets · 95 citations · first circulated 2010
with Mikaël Petitjean, Hendrik Ghys, Mikael Petitjean
The impact of a sustainability constraint on the mean-tracking error efficient frontier
published 2013 · Economics Letters · 17 citations
with Jonathan Cornelissen, Christophe Croux
Asset allocation with conditional value-at-risk budgets
published 2013 · The Journal of Risk · 80 citations · first circulated 2012
with Peter Carl, Brian G. Peterson
Jump robust two time scale covariance estimation and realized volatility budgets
published 2013 · Quantitative Finance · 40 citations · first circulated 2010
with Jin Zhang
Robust forecasting of dynamic conditional correlation GARCH models
published 2012 · International Journal of Forecasting · 84 citations · first circulated 2010
Outlyingness Weighted Covariation
published 2011 · Journal of Financial Econometrics · 77 citations · first circulated 2008
Jump robust daily covariance estimation by disentangling variance and correlation components
published 2011 · Computational Statistics & Data Analysis · 17 citations · first circulated 2010
with Jonathan Cornelissen, Christophe Croux
The Gaussian rank correlation estimator: robustness properties
published 2011 · Statistics and Computing · 78 citations · first circulated 2010
with Jonathan Cornelissen, Christophe Croux
Differential Evolution with DEoptim
published 2011 · The R Journal · 233 citations
Robust estimation of intraweek periodicity in volatility and jump detection
published 2010 · Journal of Empirical Finance · 194 citations · first circulated 2008
Robust M-estimation of multivariate GARCH models
published 2009 · Computational Statistics & Data Analysis · 45 citations · first circulated 2007
with Christophe Croux
Robust explicit estimators of Weibull parameters
published 2009 · Metrika · 43 citations
with Derya Caliskan, Christophe Croux
Nowcasting manufacturing value added for cross-country comparison
published 2009 · Statistical Journal of the IAOS · 8 citations
with Valentin Todorov, Shyam Upadhyaya
Estimation and decomposition of downside risk for portfolios with non-normal returns
published 2008 · The Journal of Risk · 131 citations · first circulated 2007
with Brian G. Peterson, Christophe Croux
Hedge fund portfolio selection with modified expected shortfall
published 2008 · WIT transactions on information and communication technologies · 4 citations
with Brian G. Peterson, Peter Carl
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