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Researcher
Kris Boudt
Profile
Projects
Publications
Activities
62
Results
2021
Cardinality-Constrained Higher-Order Moment Portfolios Using Particle Swarm Optimization
Mulazim-Ali Khokhar
Kris Boudt
Chunlin Wan
Bookchapter
in
Applying Particle Swarm Optimization
2021
Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence
Andres Algaba
Samuel Borms
Kris Boudt
Brecht Verbeken
U
Journal Article
in
International Journal of Forecasting
2021
Estimation and decomposition of food price inflation risk
Kris Boudt
Hong Anh Luu
A1
Journal Article
in
STATISTICAL METHODS AND APPLICATIONS
2021
Media abnormal tone, earnings announcements, and the stock market
David Ardia
Keven Bluteau
Kris Boudt
A1
Journal Article
in
JOURNAL OF FINANCIAL MARKETS
2021
Performance-sharing optimization by risk-constrained equity investors
Kris Boudt
Mulazim-Ali Khokhar
A1
Journal Article
in
FINANCE RESEARCH LETTERS
2021
Properties of the Margrabe best–of–two strategy to tactical asset allocation
David Ardia
Kris Boudt
Stefan Hartmann
Giang Nguyen
A1
Journal Article
in
NTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
2021
The R package sentometrics to compute, aggregate and predict with textual sentiment
David Ardia
Keven Bluteau
Samuel Borms
Kris Boudt
A1
Journal Article
in
JOURNAL OF STATISTICAL SOFTWARE
2021
2020
A coskewnesss shrinkage approach for estimating the skewness of linear combinations of random variables
Kris Boudt
Dries Cornilly
Tim Verdonck
A1
Journal Article
in
JOURNAL OF FINANCIAL ECONOMETRICS
2020
Academici in actie voor een comfortabel pensioen in België : vijf lessen en een oproep aan de VUB
Kris Boudt
Steven Vanduffel
Bookchapter
in
Post viraal naar een nieuw normaal : VUB-stemmen over de impact van corona op onze samenleving
2020
Algorithmic portfolio tilting to harvest higher moment gains
Kris Boudt
Dries Cornilly
Frederiek Van Holle
Joeri Willems
A2
Journal Article
in
HELIYON
2020
Econometrics meets sentiment : an overview of methodology and applications
Andres Algaba
David Ardia
Keven Bluteau
Samuel Borms
Kris Boudt
A1
Journal Article
in
JOURNAL OF ECONOMIC SURVEYS
2020
In search of return predictability : application of machine learning algorithms in tactical allocation
Kris Boudt
Muzafer Cela
Majeed Simaan
Bookchapter
in
Machine learning for asset management : new developments and financial applications
2020
Machine learning for asset managers
Kris Boudt
Bookreview
2020
Nearest comoment estimation with unobserved factors
Kris Boudt
Dries Cornilly
Tim Verdonck
A1
Journal Article
in
JOURNAL OF ECONOMETRICS
2020
Predictive data filters for timely economic and financial decision making
Andres Algaba
Kris Boudt
Koen Inghelbrecht
Dissertation
2020
Robust distribution-based winsorization in composite indicators construction
Kris Boudt
Valentin Todorov
Wenjing Wang
A1
Journal Article
in
SOCIAL INDICATORS RESEARCH
2020
The economic policy uncertainty index for Flanders, Wallonia and Belgium
Andres Algaba
Samuel Borms
Kris Boudt
Jeroen Van Pelt
A4
Journal Article
in
Belgian Financial Forum
2020
The effect of velocity sparsity on the performance of cardinality constrained particle swarm optimization
Kris Boudt
Chunlin Wan
A1
Journal Article
in
OPTIMIZATION LETTERS
2020
The minimum regularized covariance determinant estimator
Kris Boudt
Peter J Rousseeuw
Steven Vanduffel
Tim Verdonck
A1
Journal Article
in
STATISTICS AND COMPUTING
2020
The variance implied conditional correlation
Andres Algaba
Kris Boudt
Steven Vanduffel
A1
Journal Article
in
EUROPEAN JOURNAL OF FINANCE
2020
2019
A misspecification test for the higher order co-moments of the factor model
Wanbo Lu
Dong Yang
Kris Boudt
A1
Journal Article
in
STATISTICS
2019
Evaluating the Shariah-compliance of equity portfolios : the weighting method matters
Kris Boudt
Muhammad Wajid Raza
Marjan Wauters
A1
Journal Article
in
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
2019
Generalized autoregressive score models in R : the GAS package
David Ardia
Kris Boudt
Leopoldo Catania
A1
Journal Article
in
JOURNAL OF STATISTICAL SOFTWARE
2019
Jockeying for position in CEO letters : impression management and sentiment analytics
Kris Boudt
James Thewissen
A1
Journal Article
in
FINANCIAL MANAGEMENT
2019
Macro-financial regimes and performance of Shariah-compliant equity portfolios
Kris Boudt
Muhammad Wajid Raza
Dawood Ashraf
A1
Journal Article
in
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
2019
Markov-switching GARCH models in R : the MSGARCH package
David Ardia
Keven Bluteau
Kris Boudt
Leopoldo Catania
Denis-Alexandre Trottier
A1
Journal Article
in
JOURNAL OF STATISTICAL SOFTWARE
2019
Multivariate GARCH models for large-scale applications : a survey
Kris Boudt
Alexios Galanos
Scott Payseur
Eric Zivot
Bookchapter
in
Conceptual econometrics using R
2019
Questioning the news about economic growth : sparse forecasting using thousands of news-based sentiment values
David Ardia
Keven Bluteau
Kris Boudt
A1
Journal Article
in
INTERNATIONAL JOURNAL OF FORECASTING
2019
The informativeness of the technical conversion factor for the price ratio of processing livestock
Kris Boudt
Hong Anh Luu
A2
Journal Article
in
STATISTIKA-STATISTICS AND ECONOMY JOURNAL
2019
The response of multinationals’ foreign exchange rate exposure to macroeconomic news
Kris Boudt
Christopher J. Neely
Piet Sercu
Marjan Wauters
A1
Journal Article
in
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
2019
2018
Avoiding interest-based revenues while constructing shariah-compliant portfolios : false negatives and false positives
Ozgur Arslan-Ayaydin
Kris Boudt
Muhammad Wajid Raza
A1
Journal Article
in
JOURNAL OF PORTFOLIO MANAGEMENT
2018
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
David Ardia
Kris Boudt
Giang Nguyen
A1
Journal Article
in
QUANTITATIVE FINANCE
2018
Block rearranging elements within matrix columns to minimize the variability of the row sums
Kris Boudt
Edgars Jakobsons
Steven Vanduffel
A1
Journal Article
in
4OR-A QUARTERLY JOURNAL OF OPERATIONS RESEARCH
2018
Downside risk evaluation with the R package GAS
David Ardia
Kris Boudt
Leopoldo Catania
A1
Journal Article
in
R JOURNAL
2018
Forecasting risk with Markov-switching GARCH models : a large-scale performance study
David Ardia
Keven Bluteau
Kris Boudt
Leopoldo Catania
A1
Journal Article
in
INTERNATIONAL JOURNAL OF FORECASTING
2018
The peer performance ratios of hedge funds
David Ardia
Kris Boudt
A1
Journal Article
in
JOURNAL OF BANKING & FINANCE
2018
When does the tone of earnings press releases matter?
Kris Boudt
James Thewissen
Wouter Torsin
A1
Journal Article
in
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
2018
2017
Funding liquidity, market liquidity and TED spread : a two-regime model
Kris Boudt
Ellen C. S. Paulus
Dale W. R. Rosenthal
A1
Journal Article
in
JOURNAL OF EMPIRICAL FINANCE
2017
Generalized financial ratios to predict the equity premium
Andres Algaba
Kris Boudt
A1
Journal Article
in
ECONOMIC MODELLING
2017
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Kris Boudt
Sebastien Laurent
Asger Lunde
Rogier Quaedvlieg
Orimar Sauri
A1
Journal Article
in
JOURNAL OF ECONOMETRICS
2017
The impact of covariance misspecification in risk-based portfolios
David Ardia
Guido Bolliger
Kris Boudt
Jean-Philippe Gagnon-Fleury
A1
Journal Article
in
ANNALS OF OPERATIONS RESEARCH
2017
2016
Exporters' exposures to currencies : beyond the loglinear model
Kris Boudt
Fang Liu
Piet Sercu
A1
Journal Article
in
REVIEW OF FINANCE
2016
Managers set the tone : equity incentives and the tone of earnings press releases
Ozgur Arslan-Ayaydin
Kris Boudt
James Thewissen
A1
Journal Article
in
JOURNAL OF BANKING & FINANCE
2016
The economic benefits of market timing the style allocation of characteristic-based portfolios
David Ardia
Kris Boudt
Marjan Wauters
A1
Journal Article
in
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
2016
2015
Analysts' forecast error : a robust prediction model and its short-term trading profitability
Kris Boudt
Peter de Goeij
James Thewissen
Geert Van Campenhout
A1
Journal Article
in
ACCOUNTING AND FINANCE
2015
Higher order comoments of multifactor models and asset allocation
Kris Boudt
Wanbo Lu
Benedict Peeters
A1
Journal Article
in
FINANCE RESEARCH LETTERS
2015
Implied expected returns and the choice of a mean-variance efficient portfolio proxy
David Ardia
Kris Boudt
A1
Journal Article
in
JOURNAL OF PORTFOLIO MANAGEMENT
2015
Jump robust two time scale covariance estimation and realized volatility budgets
Kris Boudt
Jin Zhang
A1
Journal Article
in
QUANTITATIVE FINANCE
2015
Testing equality of modified Sharpe ratios
David Ardia
Kris Boudt
A1
Journal Article
in
FINANCE RESEARCH LETTERS
2015
2014
Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks
Kris Boudt
Mikael Petitjean
A1
Journal Article
in
JOURNAL OF FINANCIAL MARKETS
2014
2013
Asset allocation with conditional value-at-risk budgets
Kris Boudt
Peter Carl
Brian G. Peterson
A1
Journal Article
in
JOURNAL OF RISK
2013
Asset allocation with risk factors
Kris Boudt
Benedict Peeters
A2
Journal Article
in
QUANTITATIVE FINANCE LETTERS
2013
Robust forecasting of dynamic conditional correlation GARCH models
Kris Boudt
Jon Danielsson
Sebastien Laurent
A1
Journal Article
in
INTERNATIONAL JOURNAL OF FORECASTING
2013
The impact of a sustainability constraint on the mean-tracking error efficient frontier
Kris Boudt
Jonathan Cornelissen
Christophe Croux
A1
Journal Article
in
ECONOMICS LETTERS
2013
2012
Jump robust daily covariance estimation by disentangling variance and correlation components
Kris Boudt
Jonathan Cornelissen
Christophe Croux
A1
Journal Article
in
COMPUTATIONAL STATISTICS & DATA ANALYSIS
2012
The Gaussian rank correlation estimator : robustness properties
Kris Boudt
Jonathan Cornelissen
Christophe Croux
A1
Journal Article
in
STATISTICS AND COMPUTING
2012
2011
Differential evolution with DEoptim : an application to non-convex portfolio optimization
David Ardia
Kris Boudt
Peter Carl
Katharine M. Mullen
Brian G. Peterson
A1
Journal Article
in
R JOURNAL
2011
Outlyingness weighted covariation
Kris Boudt
Christophe Croux
Sebastien Laurent
A1
Journal Article
in
JOURNAL OF FINANCIAL ECONOMETRICS
2011
Robust estimation of intraweek periodicity in volatility and jump detection
Kris Boudt
Christophe Croux
Sebastien Laurent
A1
Journal Article
in
JOURNAL OF EMPIRICAL FINANCE
2011
Robust explicit estimators of Weibull parameters
Kris Boudt
Derya Caliskan
Christophe Croux
A1
Journal Article
in
METRIKA
2011
2010
Robust M-estimation of multivariate GARCH models
Kris Boudt
Christophe Croux
A1
Journal Article
in
COMPUTATIONAL STATISTICS & DATA ANALYSIS
2010
2008
Estimation and decomposition of downside risk for portfolios with non-normal returns
Kris Boudt
Brian Peterson
Christophe Croux
A1
Journal Article
in
JOURNAL OF RISK
2008
