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ECONIS (ZBW)
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1
Relevant parameter changes in structural break models
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 46-78
Persistent link: https://www.econbiz.de/10012482738
Saved in:
2
Sparse change-point HAR Models for Realized Variance
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Econometric reviews
38
(
2019
)
8
,
pp. 857-880
Persistent link: https://www.econbiz.de/10012181370
Saved in:
3
Mixed exponential power asymmetric conditional heteroskedasticity
Rombouts, Jeroen V. K.
;
Bouaddi, Mohammed
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
13
(
2009
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10009513576
Saved in:
4
Option pricing with asymmetric heteroskedastic normal mixture models
Rombouts, Jeroen V. K.
;
Stentoft, Lars
- In:
International journal of forecasting
31
(
2015
)
3
,
pp. 635-650
Persistent link: https://www.econbiz.de/10011474435
Saved in:
5
Root-T consistent density estimation in GARCH models
Delaigle, Aurore
;
Meister, Alexander
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 55-63
Persistent link: https://www.econbiz.de/10011610662
Saved in:
6
Pricing individual stock options using both stock and market index information
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
- In:
Journal of banking & finance
111
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012221075
Saved in:
7
Multivariate volatility forecasts for stock market indices
Wilms, Ines
;
Rombouts, Jeroen V. K.
;
Croux, Christophe
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 484-499
Persistent link: https://www.econbiz.de/10012792845
Saved in:
8
Nonlinear financial econometrics JoE special issue introduction
Rombouts, Jeroen V. K.
;
Scaillet, Olivier
;
Veredas, David
; …
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 203-206
Persistent link: https://www.econbiz.de/10012482746
Saved in:
9
Dynamics of variance risk premia : a new model for disentangling the price of risk
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 312-334
Persistent link: https://www.econbiz.de/10012482765
Saved in:
10
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Jacobs, Kris
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 410-412
Persistent link: https://www.econbiz.de/10011987533
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