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person:"Rombouts, Jeroen V. K."
~subject:"Multivariate Analyse"
~subject:"Prognoseverfahren"
~subject:"Risikoprämie"
~subject:"Stochastic process"
~subject:"Stochastischer Prozess"
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Multivariate Analyse
Prognoseverfahren
Risikoprämie
Stochastic process
Stochastischer Prozess
ARCH model
38
ARCH-Modell
38
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18
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1950-2006
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Rombouts, Jeroen V. K.
McAleer, Michael
75
Ma, Feng
61
Gupta, Rangan
50
Zhang, Yaojie
33
Hafner, Christian M.
29
Caporin, Massimiliano
26
Liang, Chao
23
Paolella, Marc S.
21
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Asai, Manabu
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Mittnik, Stefan
17
Bouri, Elie
16
Engle, Robert F.
15
Kumar, Dilip
15
Molnár, Peter
15
Trojani, Fabio
15
Audrino, Francesco
14
Bauwens, Luc
14
Wu, Xinyu
14
Ñíguez, Trino-Manuel
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Allen, David E.
13
Ardia, David
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Chen, Cathy W. S.
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Hansen, Peter Reinhard
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12
Lu, Xinjie
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Nonejad, Nima
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Wang, Jiqian
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11
Catania, Leopoldo
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ECONIS (ZBW)
18
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1
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
Saved in:
2
Pricing individual stock options using both stock and market index information
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Francesco
- In:
Journal of banking & finance
111
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012221075
Saved in:
3
On the forecasting accuracy of multivariate GARCH models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
-
2010
Persistent link: https://www.econbiz.de/10008648891
Saved in:
4
Multivariate option pricing with time varying volatility and correlations
Rombouts, Jeroen V. K.
;
Stent, Lars
-
2010
Persistent link: https://www.econbiz.de/10008648918
Saved in:
5
Multivariate option pricing with time varying volatility and correlations
Rombouts, Jeroen V. K.
;
Stentoft, Lars
-
2010
Persistent link: https://www.econbiz.de/10003963064
Saved in:
6
Consistent ranking of multivariate volatility models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
-
2009
Persistent link: https://www.econbiz.de/10003850918
Saved in:
7
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
Saved in:
8
The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V. K.
;
Stentoft, Lars
;
Violante, Franceso
- In:
International journal of forecasting
30
(
2013
)
1
,
pp. 78-98
Persistent link: https://www.econbiz.de/10010247010
Saved in:
9
Regime switching GARCH models
Bauwens, Luc
(
contributor
);
Preminger, Arie
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003326701
Saved in:
10
Regime switching GARCH models
Bauwens, Luc
(
contributor
);
Preminger, Arie
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003396156
Saved in:
1
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