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Information about:
Jeroen Vk Rombouts

Personal Details | Affiliation | Works
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Personal Details

First Name: Jeroen
Middle Name: Vk
Last Name: Rombouts
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RePEc Short-ID: pro399

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Homepage: http://neumann.hec.ca/pages/jeroen.rombouts/
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Taoufik Bouezmarni & Jeroen V. K. Rombouts & Abderrahim Taamouti, 2008. "Asymptotic properties of the Bernstein density copula for dependent data," Economics Working Papers we083619, Universidad Carlos III, Departamento de Economía. [Downloadable!]

  2. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2007. "Semiparametric Multivariate Density Estimation for Positive Data Using Copulas," Cahiers de recherche 07-08, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
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  3. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2007. "Nonparametric density estimation for multivariate bounded data," Cahiers de recherche 07-10, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
    Other versions:

  4. Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 07-15, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
    Other versions:

  5. Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and inference for a Markov switching Garch model," Cahiers de recherche 07-09, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
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  6. Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS, 2006. "Multivariate mixed normal conditional heteroskedasticity," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2006007, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    Published as:

  7. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006. "Nonparametric Density Estimation for Positive Time Series," Cahiers de recherche 06-09, HEC Montréal, Institut d'économie appliquée. [Downloadable!]

  8. Luc Bauwens & Jeroen V.K. Rombouts, 2006. "Bayesian inference for the mixed conditional heteroskedasticity model," Cahiers de recherche 06-07, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
    Other versions:
    Published as:

  9. Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2006. "Regime switching GARCH models," Cahiers de recherche 06-08, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
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  10. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006. "Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels," Cahiers de recherche 06-16, HEC Montréal, Institut d'économie appliquée. [Downloadable!]

  11. Jeroen Rombouts & E.W. Rengifo, 2004. "Dynamic Optimal Portfolio Selection in a VaR Framework," Cahiers de recherche 04-05, HEC Montréal, Institut d'économie appliquée. [Downloadable!]

  12. Luc Bauwens & Jeroen Rombouts, 2004. "Bayesian Clustering Of Similar Multivariate Garch Models," Econometric Society 2004 North American Winter Meetings 370, Econometric Society. [Downloadable!]

  13. Jeroen V.K. Rombouts & Marno Verbeek, 2004. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche 04-14, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
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  14. L. Bauwens & S. Laurent & J.P. Peters & J. Rombouts, 2002. "Multivariate GARCH models and their Estimation," Computing in Economics and Finance 2002 19, Society for Computational Economics.

Articles

  1. L. Bauwens & J. V. K. Rombouts, 2007. "Bayesian Clustering of Many Garch Models," Econometric Reviews, Taylor and Francis Journals, vol. 26(2-4), pages 365-386. [Downloadable!] (restricted)

  2. Bauwens, L. & Hafner, C.M. & Rombouts, J.V.K., 2007. "Multivariate mixed normal conditional heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3551-3566, April. [Downloadable!] (restricted)
    Other versions:

  3. L. Bauwens & J.V.K. Rombouts, 2007. "Bayesian inference for the mixed conditional heteroskedasticity model," Econometrics Journal, Royal Economic Society, vol. 10(2), pages 408-425, 07. [Downloadable!] (restricted)
    Other versions:

  4. Hafner, Christian M. & Rombouts, Jeroen V.K., 2007. "Semiparametric Multivariate Volatility Models," Econometric Theory, Cambridge University Press, vol. 23(02), pages 251-280, January. [Downloadable!]

  5. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]

  6. Mouchart, Michel & Rombouts, Jeroen V.K., 2005. "Clustered panel data models: an efficient approach for nowcasting from poor data," International Journal of Forecasting, Elsevier, vol. 21(3), pages 577-594. [Downloadable!] (restricted)

NEP Fields

22 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (14) 2004-12-02 2005-01-02 2006-03-25 2006-03-25 2006-03-25 2006-11-25 2006-12-09 2007-03-17 2007-09-09 2007-09-09 2007-09-09 2007-10-13 2008-02-16 2008-07-14 Author is listed
  2. NEP-ETS: Econometric Time Series (12) 2004-12-02 2005-01-02 2005-03-13 2006-03-25 2006-03-25 2006-03-25 2006-11-25 2006-12-09 2007-09-09 2007-09-30 2007-10-13 2008-03-01 Author is listed
  3. NEP-FIN: Finance (4) 2004-08-09 2004-12-02 2005-01-02 2005-03-13
  4. NEP-FMK: Financial Markets (3) 2007-09-09 2007-09-09 2007-10-13
  5. NEP-MST: Market Microstructure (1) 2006-12-09
  6. NEP-ORE: Operations Research (2) 2008-02-16 2008-03-01
  7. NEP-RMG: Risk Management (4) 2005-03-13 2005-11-19 2008-02-16 2008-03-01
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This page was last updated on 2008-8-24.

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