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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

On loss functions and ranking forecasting performances of multivariate volatility models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of econometrics 173 (2013) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10009719647

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

Consistent ranking of multivariate volatility models

Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - 2009

Persistent link: https://www.econbiz.de/10003850918

Mixed exponential power asymmetric conditional heteroskedasticity

Bouaddi, Mohammed (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003646288

Mixed exponential power asymmetric conditional heteroskedasticity

Bouaddi, Mohammed (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003628635

Dynamics of variance risk premia, investors' sentiment and return predictability

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2017

Persistent link: https://www.econbiz.de/10011624137

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

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Laurent, Sébastien - 2012

A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability. The ranking of multivariate volatility models is...

Persistent link: https://www.econbiz.de/10013116642

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