Kris Boudt

Ghent University

Sint-Pietersplein 5

Gent, 9000

Belgium

Vrije Universiteit Brussel

Pleinlaan 2

http://www.vub.ac.be/

Brussels, 1050

Belgium

Vrije Universiteit Amsterdam

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

SCHOLARLY PAPERS

70

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28,472

SSRN CITATIONS
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SSRN RANKINGS

Top 5,204

in Total Papers Citations

154

CROSSREF CITATIONS

98

Ideas:
“  Sentometrics!  ”

Scholarly Papers (70)

1.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Vol. 91, Issue 4, 2019
Number of pages: 38 Posted: 02 Oct 2016 Last Revised: 20 Nov 2019
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 5,002 (1,930)
Citation 21

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GARCH, MSGARCH, Markov-switching, conditional volatility, forecasting, R software

2.

Asset Allocation with Conditional Value-at-Risk Budgets

Journal of Risk 15 (3), Spring 39-68
Number of pages: 36 Posted: 16 Jul 2011 Last Revised: 30 Aug 2013
Kris Boudt, Peter Carl and Brian G. Peterson
Ghent University, William Blair & Co. and University of Washington
Downloads 1,794 (10,869)
Citation 10

Abstract:

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Asset Allocation, CVaR, Risk budgets

3.

Generalized Autoregressive Score Models in R: The GAS Package

Journal of Statistical Software, Vol. 88, Issue 6, pp. 1-28, 2019
Number of pages: 28 Posted: 21 Aug 2016 Last Revised: 04 Feb 2019
David Ardia, Kris Boudt and Leopoldo Catania
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,651 (12,435)
Citation 4

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GAS, Time Series Models, Score Models, Dynamic Conditional Score, R Software

4.

Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns

Journal of Risk, Vol. 11, No. 2, pp. 79-103, 2008
Number of pages: 33 Posted: 12 Nov 2007 Last Revised: 04 Mar 2012
Ghent University, University of Washington and Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)
Downloads 1,598 (13,089)
Citation 15

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Customer lifetime value, Value, Companies, Order, Model, Product, Expected

5.

Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study

International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018
Number of pages: 36 Posted: 16 Feb 2017 Last Revised: 28 Mar 2019
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,590 (13,181)
Citation 10

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GARCH, MSGARCH, forecasting performance, large-scale study, Value-at-Risk, Expected Shortfall, risk management

6.

Higher Order Comoments of Multifactor Models and Asset Allocation

Finance Research Letters, 13, 225-233, 2014
Number of pages: 13 Posted: 18 Mar 2014 Last Revised: 21 Nov 2017
Kris Boudt, Wanbo Lu and Benedict Peeters
Ghent University, Southwestern University of Finance and Economics (SWUFE) and Finvex Group
Downloads 1,030 (25,486)
Citation 5

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factor models, higher order comoments, portfolio selection

7.

The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment

Journal of Statistical Software, Forthcoming
Number of pages: 40 Posted: 11 Nov 2017 Last Revised: 23 May 2020
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Vrije Universiteit Brussel and Ghent University
Downloads 1,024 (25,698)
Citation 8

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Aggregation, Penalized Regression, Prediction, R, sentometrics, Textual Sentiment, Time Series

8.

The Peer Performance Ratios of Hedge Funds

Journal of Banking and Finance, Vol. 87, pp. 351-368, 2018
Number of pages: 35 Posted: 08 Feb 2012 Last Revised: 04 Nov 2018
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 989 (27,024)
Citation 4

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False discoveries, hedge fund, multiple hypothesis testing, peer performance, performance measurement

9.

Differential Evolution with DEoptim: An Application to Non-Convex Portfolio Optimization

The R Journal, Vol. 3, No. 1, pp. 27-34, 2011
Number of pages: 8 Posted: 05 Apr 2010 Last Revised: 03 Aug 2018
HEC Montreal - Department of Decision Sciences, Ghent University, William Blair & Co., Government of the United States of America - National Institute of Standards and Technology (NIST) and University of Washington
Downloads 954 (28,499)
Citation 1

Abstract:

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Differential optimization, non-convex portfolio optimization, DEoptim, R software

10.

Downside Risk Evaluation with the R Package GAS

R Journal, Vol. 10, Issue 2, pp. 410-421, 2018
Number of pages: 12 Posted: 17 Nov 2016 Last Revised: 27 Feb 2019
David Ardia, Kris Boudt and Leopoldo Catania
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 804 (36,107)

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GAS, Time Series Models, Score Models, Dynamic Conditional Score, Risk Management, VaR, R Software

11.

Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation

Quantitative Finance, Vol. 18, Issue 8, pp.1249-1259, 2018
Number of pages: 42 Posted: 11 Aug 2016 Last Revised: 31 Jul 2018
David Ardia, Kris Boudt and Giang Nguyen
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 755 (39,400)
Citation 2

Abstract:

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Asset Allocation, Performance/Risk Contribution, Target Relative Performance Portfolio

12.

The Impact of Covariance Misspecification in Risk-Based Portfolios

Annals of Operation Research, Vol. 254, No. 1, pp. 1-16, 2017
Number of pages: 17 Posted: 28 Aug 2015 Last Revised: 15 Nov 2017
HEC Montreal - Department of Decision Sciences, University of Neuchatel - Institute of Financial Analysis, Ghent University and Université Laval - Département de Finance et Assurance
Downloads 710 (42,811)
Citation 5

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Covariance misspecification, Monte Carlo study, Risk-based portfolios

Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model

Journal of Empirical Finance, 43, 143-158, 2017
Number of pages: 33 Posted: 31 Aug 2010 Last Revised: 21 Nov 2017
Ghent University, London Business School - Department of Finance and Department of Finance
Downloads 532 (61,538)
Citation 1

Abstract:

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Financial distress, funding liquidity, market liquidity, systemic risk, two-regime model

Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model

National Bank of Belgium Working Paper No. 244
Number of pages: 40 Posted: 19 Nov 2013
Ghent University, London Business School - Department of Finance and Department of Finance
Downloads 74 (380,096)
Citation 22

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equity-collateralized funding liquidity; market liquidity; two-regime model; financial distress

14.

Econometrics Meets Sentiment: An Overview of Methodology and Applications

Journal of Economic Surveys, Vol. 34, Issue 3, pp. 512-547, 2020
Number of pages: 39 Posted: 12 Jan 2016 Last Revised: 03 Feb 2021
Vrije Universiteit Brussel (VUB), HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Vrije Universiteit Brussel and Ghent University
Downloads 466 (73,357)
Citation 6

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qualitative data, sentiment analysis, sentometrics, survey, textual analysis

15.

Analysts' Forecast Error: A Robust Prediction Model and its Short Term Trading Profitability

Accounting and Finance, 55, 683-715, 2012
Number of pages: 55 Posted: 18 Mar 2012 Last Revised: 21 Nov 2017
Ghent University, Tilburg University, Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and KU Leuven - FEB@HUBrussel
Downloads 456 (75,329)

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financial analysts, forecast error, short term prediction, trading strategy

16.

Algorithmic Portfolio Tilting to Harvest Higher Moment Gains

Number of pages: 15 Posted: 13 May 2019 Last Revised: 19 Apr 2020
Ghent University, Vrije Universiteit Brussel (VUB), Degroof Petercam Asset Management and Degroof Petercam Asset Management
Downloads 426 (81,686)

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mean-variance-skewness-kurtosis, non-normality, portfolio allocation, tilting

17.

Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy

Journal of Portfolio Management, Vol. 41, Number 4, pp.68-81, July 2015
Number of pages: 21 Posted: 12 Feb 2013 Last Revised: 10 Aug 2018
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 408 (85,922)
Citation 1

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Implied expected return, mean-variance, portfolio allocation, reverse engineering, risk-based allocation

18.

Generalized Financial Ratios to Predict the Equity Premium

Economic Modelling, 66, 244-257, 2017
Number of pages: 40 Posted: 08 Sep 2016 Last Revised: 17 May 2019
Andres Algaba and Kris Boudt
Vrije Universiteit Brussel (VUB) and Ghent University
Downloads 401 (87,624)
Citation 1

Abstract:

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Equity premium, ERP, Forecast combination, Price-dividend ratio, Financial ratios, Time-varying parameters

19.

Robust Estimation of Intraweek Periodicity in Volatility and Jump Detection

Journal of Empirical Finance, Vol. 18, pp. 353-367
Number of pages: 35 Posted: 10 Nov 2008 Last Revised: 06 Feb 2012
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and AMSE
Downloads 390 (90,473)
Citation 24

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high-frequency data, jump detection, periodicity, long memory, robust statistics

20.

Smart Beta and CPPI Performance

Finance, Vol. 37, No. 3, pp. 32-65, 2016
Number of pages: 37 Posted: 05 May 2015 Last Revised: 15 Nov 2017
David Ardia, Kris Boudt and Marjan Wauters
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 380 (93,282)
Citation 2

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Bootstrap evaluation; CPPI; Portfolio insurance; Gap risk; Smart beta

21.

Questioning the News About Economic Growth: Sparse Forecasting Using Thousands of News-Based Sentiment Values

International Journal of Forecasting, Vol 35, Issue 4, pp. 1370-1386, 2019
Number of pages: 31 Posted: 30 May 2017 Last Revised: 27 Sep 2019
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 379 (93,593)
Citation 6

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elastic-net, US industrial production, sentiment analysis, time-series aggregation, topic-sentiment

22.

Regime Switches in the Volatility and Correlation of Financial Institutions

National Bank of Belgium Working Paper No. 227
Number of pages: 54 Posted: 13 Oct 2012
Ghent University, London School of Economics - Systemic Risk Centre, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 375 (94,751)
Citation 16

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23.

The Economic Benefits of Market Timing the Style Allocation of Characteristic-Based Portfolios

North American Journal of Economics and Finance, Vol. 37, pp. 38-62, 2016
Number of pages: 47 Posted: 27 Jun 2014 Last Revised: 19 Sep 2016
David Ardia, Kris Boudt and Marjan Wauters
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 351 (102,100)
Citation 3

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ETFs; Factor models; Market timing; Portfolio choice; Stock characteristics

24.

Intraday Liquidity Dynamics and News Releases around Price Jumps: Evidence from the DJIA Stocks

Journal of Financial Markets, 17, 121–149
Number of pages: 39 Posted: 03 Dec 2010 Last Revised: 22 Jan 2016
Kris Boudt and Mikael Petitjean
Ghent University and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 351 (102,100)
Citation 9

Abstract:

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High-frequency data, liquidity, news, price jumps, volatility

25.

Beta-Adjusted Covariance Estimation

Number of pages: 46 Posted: 02 Mar 2021 Last Revised: 06 Apr 2021
Ghent University, Vrije Universiteit Brussel (VUB), Aalborg University - Department of Mathematical Sciences and Vrije Universiteit Brussel (VUB)
Downloads 342 (105,101)

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High-frequency data; realized covariances, ETF, asynchronicity, stock-ETF beta, Localized Hayashi-Yoshida, Index tracking

26.

Managers Set the Tone: Equity Incentives and the Tone of Earnings Press Releases

Journal of Banking and Finance, 72, S132-S147, 2015
Number of pages: 41 Posted: 16 Feb 2014 Last Revised: 21 Nov 2017
University of Illinois at Chicago - Department of Finance, Ghent University and Catholic University of Louvain (UCL) - Louvain Finance (LFIN)
Downloads 323 (111,978)
Citation 10

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Equity incentives, Market efficiency, Textual tone, Voluntary disclosure

27.

Robust Forecasting of Dynamic Conditional Correlation GARCH Models

International Journal of Forecasting 29, 244-257
Number of pages: 37 Posted: 30 Nov 2010 Last Revised: 30 Aug 2013
Ghent University, London School of Economics - Systemic Risk Centre and AMSE
Downloads 319 (113,472)
Citation 12

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28.

A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables

Journal of Financial Econometrics, Forthcoming
Number of pages: 32 Posted: 20 Sep 2016 Last Revised: 15 Aug 2018
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 306 (118,684)
Citation 9

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

29.

Jump Robust Two Time Scale Covariance Estimation and Realized Volatility Budgets

Quantitative Finance, Vol. 15, No. 6, 1041-1054
Number of pages: 30 Posted: 01 Nov 2010 Last Revised: 08 Nov 2017
Kris Boudt and Jin Zhang
Ghent University and Bank of America
Downloads 298 (122,034)
Citation 1

Abstract:

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High frequency data, Integrated (co)variance, Jumps, Market microstructure noise, Realized volatility budget

30.

Testing Equality of Modified Sharpe Ratios

Finance Research Letters, Vol.13, pp. 97-104, May 2015
Number of pages: 12 Posted: 31 Oct 2014 Last Revised: 15 Nov 2017
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 280 (130,287)
Citation 4

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bootstrap test, hedge fund, modified Sharpe ratio, non-normal returns, performance measurement

31.

Properties of the Margrabe Best-of-Two Strategy to Tactical Asset Allocation

International Review of Financial Analysis, Forthcoming
Number of pages: 26 Posted: 06 Dec 2017 Last Revised: 31 Dec 2018
HEC Montreal - Department of Decision Sciences, Ghent University, Finvex Group and Vrije Universiteit Brussel (VUB)
Downloads 273 (133,828)

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Best-of-Two, Bond-Equity, Margrabe, Tactical Asset Allocation, Upside Potential, Downside Protection

32.

Climate Change Concerns and the Performance of Green Versus Brown Stocks

National Bank of Belgium, Working Paper Research, October 2020 No 395
Number of pages: 46 Posted: 18 Dec 2020 Last Revised: 27 Feb 2021
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University and Ghent University - Department of Economics
Downloads 246 (148,643)
Citation 1

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Asset Pricing, Climate Change, Sustainable Investing, ESG, Greenhouse Gas Emission, Sentometrics, Textual Analysis

33.

Robust M-Estimation of Multivariate GARCH models

Computational Statistics and Data Analysis, Vol. 54, pp. 2459-2469, 2010
Number of pages: 32 Posted: 21 Jan 2008 Last Revised: 04 Mar 2012
Kris Boudt and Christophe Croux
Ghent University and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 243 (150,379)
Citation 4

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GARCH models, M-estimators, multivariate time series, outliers, robust methods

34.

Evaluating the Shariah-Compliance of Equity Portfolios: The Weighting Method Matters

International Review of Financial Analysis, Forthcoming
Number of pages: 30 Posted: 22 Jul 2016 Last Revised: 05 Jan 2018
Ghent University, Shadeed Benazir Bhutto University, Dir, Pakistan and Vrije Universiteit Brussel (VUB)
Downloads 225 (162,013)
Citation 4

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Shariah equity portfolio, Market capitalization, Fundamental weighting, Equal weighting, Low risk weighting

35.

Outlyingness Weighted Covariation

Journal of Financial Econometrics, Vol. 9, pp. 657-684, 2011
Number of pages: 38 Posted: 23 Jun 2008 Last Revised: 04 Mar 2012
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and AMSE
Downloads 222 (164,124)
Citation 18

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Continuous-time methods, high-frequency data, quadratic covariation, realized covolatility, semi-martingales

36.

Predicting and Decomposing the Risk of Data-driven Portfolios

Number of pages: 26 Posted: 14 Sep 2018 Last Revised: 05 Mar 2020
Katholieke Universiteit Leuven, Ghent University and University of Antwerp
Downloads 219 (166,181)

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Co-moments; Decomposition; Fund management; Risk management; Risk factors; Square-root-of-time

37.

Media Abnormal Tone, Earnings Announcements, and the Stock Market

Number of pages: 59 Posted: 21 Jun 2018 Last Revised: 26 May 2020
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 216 (168,306)

Abstract:

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abnormal return, abnormal tone, earnings announcements, event study, news media, sentometrics

38.

The Economic Policy Uncertainty Index for Flanders, Wallonia and Belgium

BFW digitaal / RBF numérique 2020/6
Number of pages: 16 Posted: 21 Apr 2020 Last Revised: 28 Jan 2021
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel, Ghent University and Vrije Universiteit Brussel
Downloads 182 (196,972)
Citation 2

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Belgium, COVID-19, EPU index, news data, sentometrics, textual analysis, uncertainty

39.

Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components

Computational Statistics and Data Analysis 56, 2993-3005
Number of pages: 35 Posted: 17 Oct 2010 Last Revised: 14 Jun 2012
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 172 (206,822)

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Epps Effect, High Frequency Data, Integrated Covariance, Jumps, Non-Synchronous Trading, Realized Covariance

40.

Block Rearranging Elements within Matrix Columns to Minimize the Variability of the Row Sums

40R, Forthcoming
Number of pages: 20 Posted: 24 Jul 2015 Last Revised: 21 Nov 2017
Ghent University, ETH Zürich - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 170 (208,984)
Citation 2

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Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm

41.

The Variance Implied Conditional Correlation

The European Journal of Finance, 26 (2-3), 200-220, 2020.
Number of pages: 30 Posted: 27 Feb 2018 Last Revised: 18 Jan 2020
Vrije Universiteit Brussel (VUB), Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 168 (210,960)

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conditional correlation, cross hedging, Dynamic Conditional Correlation (DCC), GARCH, hedge ratio, regularization

42.

The Gaussian Rank Correlation Estimator: Robustness Properties

Statistics and Computing, Vol. 22, pp. 471-483, 2012
Number of pages: 25 Posted: 13 Oct 2010 Last Revised: 04 Mar 2012
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 160 (219,843)
Citation 1

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Breakdown, Correlation, Efficiency, Robustness, Van der Waerden

43.

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Journal of Econometrics, 196, 347-367, 2016
Number of pages: 58 Posted: 24 Jan 2014 Last Revised: 21 Nov 2017
Ghent University, AMSE, Aarhus University - School of Business and Social Sciences, Erasmus University Rotterdam (EUR) - Department of Business Economics and Aalborg University - Department of Mathematical Sciences
Downloads 148 (234,505)
Citation 3

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Cholesky decomposition, Integrated covariance, Positive semidefinite

44.

Exporters' Exposures to Currencies: Beyond the Loglinear Model

Review of Finance, 20, 1631-1657, 2014
Number of pages: 36 Posted: 08 Apr 2012 Last Revised: 21 Nov 2017
Kris Boudt, Fang Liu and Piet Sercu
Ghent University, Central University of Finance and Economics, Beijing and FEB at KU Leuven
Downloads 133 (255,451)
Citation 1

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Forex, exposure, real options, threshold model

45.

Nearest Comoment Estimation with Unobserved Factors

Number of pages: 35 Posted: 13 Dec 2017 Last Revised: 19 Apr 2020
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 105 (303,044)
Citation 5

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Higher-order multivariate moments; latent factor model; minimum distance estimation; risk assessment; structural equation modelling

46.

The Minimum Regularized Covariance Determinant Estimator

Number of pages: 27 Posted: 03 Feb 2017 Last Revised: 01 Dec 2018
Ghent University, KU Leuven - Department of Mathematics, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 90 (334,891)
Citation 8

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Breakdown value, High-dimensional data, Regularization, Robust covariance estimation

47.

Supplementary Appendix to: A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables

Number of pages: 40 Posted: 18 May 2017 Last Revised: 04 Jun 2018
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 88 (339,644)

Abstract:

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

48.

Supplementary Appendix to Beta-Adjusted Covariance Estimation

Number of pages: 21 Posted: 14 Apr 2021
Ghent University, Vrije Universiteit Brussel (VUB), Aalborg University - Department of Mathematical Sciences and Vrije Universiteit Brussel (VUB)
Downloads 80 (359,487)

Abstract:

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BAC, Covariance, ETF, Python, R

49.

The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News

FRB St. Louis Working Paper No. 2017-20
Number of pages: 28 Posted: 01 Aug 2017 Last Revised: 13 Mar 2019
Ghent University, Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 74 (375,973)

Abstract:

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Foreign exchange exposure, High-frequency data, Macro

50.

The Impact of a Sustainability Constraint on the Mean-Tracking Error Efficient Frontier

Economics Letters 119, 255-260
Number of pages: 13 Posted: 09 May 2012 Last Revised: 30 May 2014
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 74 (375,973)

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Mean-variance optimization, Minimum tracking error, Portfolio optimization, Socially responsible investment, Sustainability

51.

Daily News Sentiment and Monthly Surveys: A Mixed-Frequency Dynamic Factor Model for Nowcasting Consumer Confidence

Number of pages: 36 Posted: 26 May 2020 Last Revised: 27 Jan 2021
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 69 (390,725)

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dynamic factor model, mixed-frequency, nowcasting, sentiment index, sentometrics, state space

52.

Macro-Financial Regimes and the Performance of Dynamic Shariah-Compliant Equity Portfolios

Number of pages: 31 Posted: 22 Aug 2018
Ghent University, Shadeed Benazir Bhutto University, Dir, Pakistan and Islamic Development Bank - Islamic Research and Training Institute
Downloads 63 (409,700)
Citation 1

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Shariah-Compliant Investing, Market Capitalization, Fundamental Weighting, Equal Weighting, Low-Risk Weighting

53.

Web Appendix to 'Beyond Risk-Based Portfolios: Balancing Performance and Risk Contributions in Asset Allocation'

Number of pages: 14 Posted: 03 Jan 2018 Last Revised: 19 Jan 2018
David Ardia, Kris Boudt and Giang Nguyen
HEC Montreal - Department of Decision Sciences, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 55 (437,334)

Abstract:

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Asset allocation, Performance/Risk Contribution, Target relative performance portfolio

54.

Robust Distribution-Based Winsorization in Composite Indicators Construction

Number of pages: 22 Posted: 14 Jan 2019 Last Revised: 22 Dec 2019
Kris Boudt, Valentin Todorov and Wenjing Wang
Ghent University, United Nations Industrial Development Organization (UNIDO) and Vrije Universiteit Brussel (VUB) - Solvay Business School
Downloads 51 (452,104)

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Composite Indicator, Invariance, Robust Estimation, Winsorization

55.

The Optimal Payoff for a Yaari Investor

Number of pages: 17 Posted: 13 Jan 2021 Last Revised: 10 Mar 2021
Ghent University, Vrije Universiteit Brussel (VUB), UNSW Sydney and Vrije Universiteit Brussel (VUB)
Downloads 35 (522,011)

Abstract:

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Preferences, Optimization, Hoeffding-Fréchet bounds.

56.

Is the Technical Conversion Factor Informative About the Price Ratio of Processing Livestock?

Statistika, Forthcoming
Number of pages: 15 Posted: 19 Jan 2018 Last Revised: 25 Jul 2019
Kris Boudt and Hong Anh Luu
Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 34 (527,166)

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agriculture, carcass weight, live weight, pass-through, price effect

57.

Higher-order Multi-cumulant Factor Analysis

Number of pages: 62 Posted: 12 Feb 2021
Wanbo Lu, Guanglin Huang and Kris Boudt
Southwestern University of Finance and Economics (SWUFE), Southwestern University of Finance and Economics (SWUFE) and Ghent University
Downloads 31 (542,800)

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Higher-order multi-cumulants, High-dimensional factor models, Number of factors, Eigenvalues

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Economic viability, Electricity investment, energy, hurdle rate, investment risk, model risk

59.

The Effect of Velocity Sparsity on the Performance of Cardinality Constrained Particle Swarm Optimization

Optimization Letters, Forthcoming
Number of pages: 14 Posted: 02 Feb 2018 Last Revised: 31 Jan 2019
Kris Boudt and Chunlin Wan
Ghent University and Sichuan University - School of Economics
Downloads 23 (590,959)
Citation 1

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Binary Particle Swarm Optimization, Cardinality Mapping, Portfolio Optimization

60.

Supplementary Appendix to: Nearest Comoment Estimation with Unobserved Factors

Number of pages: 27 Posted: 12 Nov 2018 Last Revised: 30 Mar 2019
Kris Boudt, Dries Cornilly and Tim Verdonck
Ghent University, Vrije Universiteit Brussel (VUB) and KU Leuven
Downloads 21 (604,200)

Abstract:

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higher-order multivariate moments; latent factor model; minimum distance estimation; risk assessment; structural equation modelling

61.

Supplementary Appendix to: The Response of Multinationals’ Foreign Exchange Rate Exposure to Macroeconomic News

Number of pages: 3 Posted: 28 Jul 2017
Ghent University, Federal Reserve Bank of St. Louis - Research Division, FEB at KU Leuven and Vrije Universiteit Brussel (VUB)
Downloads 11 (674,487)
Citation 1

Abstract:

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foreign exchange exposure, high-frequency data, macroeconomic news

62.

Supplementary Appendix To: Higher-Order Multi-Cumulant Factor Analysis

Number of pages: 5 Posted: 30 Mar 2021
Wanbo Lu, Guanglin Huang and Kris Boudt
Southwestern University of Finance and Economics (SWUFE), Southwestern University of Finance and Economics (SWUFE) and Ghent University
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Higher-Order Multi-Cumulants, High-Dimensional Factor Models, Number of Factors, Eigenvalues

63.

Analysts' Forecast Error: A Robust Prediction Model and its Short‐Term Trading Profitability

Accounting & Finance, Vol. 55, Issue 3, pp. 683-715, 2015
Number of pages: 33 Posted: 03 Sep 2015
Ghent University, Tilburg University, Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and KU Leuven - FEB@HUBrussel
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Financial analysts, Forecast error, Short‐term prediction, Trading strategy

64.

Avoiding Interest-Based Revenues While Constructing Shariah-Compliant Portfolios: False Negatives and False Positives

Journal of Portfolio Management, Forthcoming
Posted: 30 May 2017 Last Revised: 28 Jul 2017
University of Illinois at Chicago - Department of Finance, Ghent University and Shadeed Benazir Bhutto University, Dir, Pakistan

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Interest-based revenues, Islamic finance, Misclassification, Shariah screening

65.

RiskPortfolios: Computation of Risk-based Portfolios in R

Journal of Open Source Software, Vol 10, No. 2, 2017
Posted: 04 Feb 2017 Last Revised: 06 Feb 2017
HEC Montreal - Department of Decision Sciences, Ghent University and Université Laval - Département de Finance et Assurance

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Risk-based portfolios, optimization, R software

66.

When Does the Tone of Earnings Press Releases Matter?

International Review of Financial Analysis, Forthcoming
Posted: 10 Oct 2016 Last Revised: 20 Mar 2018
Kris Boudt, James Thewissen and Wouter Torsin
Ghent University, Catholic University of Louvain (UCL) - Louvain Finance (LFIN) and HEC Liège, Management School of the University of Liège

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Textual Sentiment, Firm Performance, Investor Reaction, Tone Informativeness, Information Asymmetry

67.

The Low Risk Anomaly Revisited on High-Frequency Data

The Handbook of High Frequency Trading, Edited by Greg N. Gregoriou, Elsevier 2015
Posted: 14 Jan 2015 Last Revised: 16 Jan 2015
Kris Boudt, Giang Nguyen and Benedict Peeters
Ghent University, Vrije Universiteit Brussel (VUB) and Finvex Group

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low risk anomaly, CAPM, high-frequency data, downside risk measures

68.

Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics

Financial Management, Forthcoming
Posted: 16 Sep 2013 Last Revised: 31 Jan 2018
Kris Boudt and James Thewissen
Ghent University and Catholic University of Louvain (UCL) - Louvain Finance (LFIN)

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CEO sentiment, Sentiment dynamics, Intratextual analysis, Firm profitability

69.

The Short-Run Performance Persistence in Funds of Hedge Funds

In G. N. Gregoriou (Ed.), Reconsidering Funds of Hedge Funds: The Financial Crisis and Best Practices in UCITS, Tail Risk, Performance, and Due Diligence (pp. 289-301). Academic Press: Elsevier Inc., 2013
Posted: 15 Dec 2012 Last Revised: 31 Jan 2013
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University

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Financial crisis, Fund of funds, Persistence, Return, Risk, Selection, Stability, Time-variation

70.

Nowcasting Manufacturing Value Added for Cross-Country Comparison

Statistical Journal of the IAOS: Journal of the International Association of Official Statistics, Vol. 26, Nos. 1-2, pp. 15-20, 2009
Posted: 13 Jan 2009 Last Revised: 04 Mar 2012
Ghent University, affiliation not provided to SSRN and UNIDO

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Nowcasting, manufacturing value added

Other Papers (1)

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1.

The Short-Run Persistence of Performance in Funds of Hedge Funds

Elsevier Handbook on Funds of Hedge Funds during and after the crisis, Forthcoming
Posted: 04 Apr 2012
David Ardia and Kris Boudt
HEC Montreal - Department of Decision Sciences and Ghent University

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Alpha, Funds of Hedge funds, Hot hands, Performance, Sharpe ratio