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The sustainability of mean-variance and mean-tracking error efficient portfolios
Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe - 2012
Persistent link: https://www.econbiz.de/10009673600
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Jump robust daily covariance estimation by disentangling variance and correlation components
Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe - 2010
Persistent link: https://www.econbiz.de/10008989131
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The Gaussian rank correlation estimator : robustness properties
Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe - 2010
Persistent link: https://www.econbiz.de/10008989132
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Robust M-estimation of multivariate conditionally heteroscedastic time series models with elliptical innovations
Boudt, Kris (contributor); Croux, Christophe (contributor) - 2007
Persistent link: https://www.econbiz.de/10003624500
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Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - 2008
Persistent link: https://www.econbiz.de/10003977900