Research Explorer

Your browser does not support JavaScript or JavaScript is not enabled. Without JavaScript some functions of this webapplication may be disabled or cause error messages. To enable JavaScript, please consult the manual of your browser or contact your system administrator.

Researcher

Kris Boudt

70 Results

2023

Climate change concerns and the performance of green vs. brown stocks

Kris BoudtKoen Inghelbrecht

A1 Journal Article in MANAGEMENT SCIENCE

Daily news sentiment and monthly surveys : a mixed-frequency dynamic factor model for nowcasting consumer confidence

Andres AlgabaKris Boudt

A1 Journal Article in INTERNATIONAL JOURNAL OF FORECASTING

ETF Basket-Adjusted Covariance estimation

Kris BoudtKirill Dragun

A1 Journal Article in JOURNAL OF ECONOMETRICS

2022

Analyzing intraday financial data in R : the highfrequency package

A1 Journal Article in JOURNAL OF STATISTICAL SOFTWARE

Estimation and decomposition of food price inflation risk

A1 Journal Article in STATISTICAL METHODS AND APPLICATIONS

Financiële gemoedsrust met het omgekeerd hypothecair krediet

Kris BoudtKoen InghelbrechtMaarten Van Besien

A4 Journal Article in BANK- EN FINANCIEWEZEN = REVUE BANCAIRE ET FINANCIÈRE

Interpretability of composite indicators based on principal components

A2 Journal Article in JOURNAL OF PROBABILITY AND STATISTICS

Media abnormal tone, earnings announcements, and the stock market

A1 Journal Article in JOURNAL OF FINANCIAL MARKETS

Properties of the Margrabe best–of–two strategy to tactical asset allocation

A1 Journal Article in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

Robust interactive fixed effects

U Journal Article in ECONOMETRICS AND STATISTICS

The optimal payoff for a Yaari investor

Kris BoudtKirill Dragun

A1 Journal Article in QUANTITATIVE FINANCE

Win-for-life met de tontine

Kris BoudtMathias Celis

A4 Journal Article in BANK- EN FINANCIEWEZEN = REVUE BANCAIRE ET FINANCIÈRE

2021

Cardinality-constrained higher-order moment portfolios using particle swarm optimization

Bookchapter in Applying particle swarm optimization : new solutions and cases for optimized portfolios

Performance-sharing optimization by risk-constrained equity investors

A1 Journal Article in FINANCE RESEARCH LETTERS

The R package sentometrics to compute, aggregate and predict with textual sentiment

A1 Journal Article in JOURNAL OF STATISTICAL SOFTWARE

2020

A coskewnesss shrinkage approach for estimating the skewness of linear combinations of random variables

A1 Journal Article in JOURNAL OF FINANCIAL ECONOMETRICS

Academici in actie voor een comfortabel pensioen in België : vijf lessen en een oproep aan de VUB

Bookchapter in Post viraal naar een nieuw normaal : VUB-stemmen over de impact van corona op onze samenleving

Algorithmic portfolio tilting to harvest higher moment gains

A1 Journal Article in HELIYON

Econometrics meets sentiment : an overview of methodology and applications

Andres AlgabaKeven BluteauKris Boudt

A1 Journal Article in JOURNAL OF ECONOMIC SURVEYS

In search of return predictability : application of machine learning algorithms in tactical allocation

Bookchapter in Machine learning for asset management : new developments and financial applications

Machine learning for asset managers

Nearest comoment estimation with unobserved factors

A1 Journal Article in JOURNAL OF ECONOMETRICS

Predictive data filters for timely economic and financial decision making

Andres AlgabaKris BoudtKoen Inghelbrecht

Robust distribution-based winsorization in composite indicators construction

A1 Journal Article in SOCIAL INDICATORS RESEARCH

The economic policy uncertainty index for Flanders, Wallonia and Belgium

Andres AlgabaKris Boudt

The effect of velocity sparsity on the performance of cardinality constrained particle swarm optimization

A1 Journal Article in OPTIMIZATION LETTERS

The minimum regularized covariance determinant estimator

A1 Journal Article in STATISTICS AND COMPUTING

The variance implied conditional correlation

A1 Journal Article in EUROPEAN JOURNAL OF FINANCE

2019

A misspecification test for the higher order co-moments of the factor model

A1 Journal Article in STATISTICS

Evaluating the Shariah-compliance of equity portfolios : the weighting method matters

A1 Journal Article in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

Generalized autoregressive score models in R : the GAS package

A1 Journal Article in JOURNAL OF STATISTICAL SOFTWARE

Jockeying for position in CEO letters : impression management and sentiment analytics

A1 Journal Article in FINANCIAL MANAGEMENT

Macro-financial regimes and performance of Shariah-compliant equity portfolios

A1 Journal Article in JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

Markov-switching GARCH models in R : the MSGARCH package

A1 Journal Article in JOURNAL OF STATISTICAL SOFTWARE

Multivariate GARCH models for large-scale applications : a survey

Bookchapter in Conceptual econometrics using R

Questioning the news about economic growth : sparse forecasting using thousands of news-based sentiment values

A1 Journal Article in INTERNATIONAL JOURNAL OF FORECASTING

The informativeness of the technical conversion factor for the price ratio of processing livestock

A2 Journal Article in STATISTIKA-STATISTICS AND ECONOMY JOURNAL

The response of multinationals’ foreign exchange rate exposure to macroeconomic news

A1 Journal Article in JOURNAL OF INTERNATIONAL MONEY AND FINANCE

2018

Avoiding interest-based revenues while constructing shariah-compliant portfolios : false negatives and false positives

A1 Journal Article in JOURNAL OF PORTFOLIO MANAGEMENT

Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation

A1 Journal Article in QUANTITATIVE FINANCE

Block rearranging elements within matrix columns to minimize the variability of the row sums

A1 Journal Article in 4OR-A QUARTERLY JOURNAL OF OPERATIONS RESEARCH

Downside risk evaluation with the R package GAS

A1 Journal Article in R JOURNAL

Forecasting risk with Markov-switching GARCH models : a large-scale performance study

A1 Journal Article in INTERNATIONAL JOURNAL OF FORECASTING

The peer performance ratios of hedge funds

A1 Journal Article in JOURNAL OF BANKING & FINANCE

When does the tone of earnings press releases matter?

A1 Journal Article in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

2017

Funding liquidity, market liquidity and TED spread : a two-regime model

A1 Journal Article in JOURNAL OF EMPIRICAL FINANCE

Generalized financial ratios to predict the equity premium

A1 Journal Article in ECONOMIC MODELLING

Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

A1 Journal Article in JOURNAL OF ECONOMETRICS

The impact of covariance misspecification in risk-based portfolios

A1 Journal Article in ANNALS OF OPERATIONS RESEARCH

2016

Exporters' exposures to currencies : beyond the loglinear model

A1 Journal Article in REVIEW OF FINANCE

Managers set the tone : equity incentives and the tone of earnings press releases

A1 Journal Article in JOURNAL OF BANKING & FINANCE

The economic benefits of market timing the style allocation of characteristic-based portfolios

A1 Journal Article in NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

2015

Analysts' forecast error : a robust prediction model and its short-term trading profitability

A1 Journal Article in ACCOUNTING AND FINANCE

Higher order comoments of multifactor models and asset allocation

A1 Journal Article in FINANCE RESEARCH LETTERS

Implied expected returns and the choice of a mean-variance efficient portfolio proxy

A1 Journal Article in JOURNAL OF PORTFOLIO MANAGEMENT

Jump robust two time scale covariance estimation and realized volatility budgets

A1 Journal Article in QUANTITATIVE FINANCE

Testing equality of modified Sharpe ratios

A1 Journal Article in FINANCE RESEARCH LETTERS

2014

Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks

A1 Journal Article in JOURNAL OF FINANCIAL MARKETS

2013

Asset allocation with conditional value-at-risk budgets

A1 Journal Article in JOURNAL OF RISK

Asset allocation with risk factors

A2 Journal Article in QUANTITATIVE FINANCE LETTERS

Robust forecasting of dynamic conditional correlation GARCH models

A1 Journal Article in INTERNATIONAL JOURNAL OF FORECASTING

The impact of a sustainability constraint on the mean-tracking error efficient frontier

A1 Journal Article in ECONOMICS LETTERS

2012

Jump robust daily covariance estimation by disentangling variance and correlation components

A1 Journal Article in COMPUTATIONAL STATISTICS & DATA ANALYSIS

The Gaussian rank correlation estimator : robustness properties

A1 Journal Article in STATISTICS AND COMPUTING

2011

Differential evolution with DEoptim : an application to non-convex portfolio optimization

A1 Journal Article in R JOURNAL

Outlyingness weighted covariation

A1 Journal Article in JOURNAL OF FINANCIAL ECONOMETRICS

Robust estimation of intraweek periodicity in volatility and jump detection

A1 Journal Article in JOURNAL OF EMPIRICAL FINANCE

Robust explicit estimators of Weibull parameters

A1 Journal Article in METRIKA

2010

Robust M-estimation of multivariate GARCH models

A1 Journal Article in COMPUTATIONAL STATISTICS & DATA ANALYSIS

2008

Estimation and decomposition of downside risk for portfolios with non-normal returns

A1 Journal Article in JOURNAL OF RISK