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

73

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30,998

SSRN CITATIONS
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SSRN RANKINGS

Top 4,947

in Total Papers Citations

178

CROSSREF CITATIONS

97

Ideas:
“  Sentometrics!  ”

Scholarly Papers (73)

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, Université de Sherbrooke - Faculty of Administration, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 5,332 (1,903)
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
Ghent University, Guidance Capital ManagementWilliam Blair & Co. and University of Washington
Downloads 1,846 (11,412)
Citation 10

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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 1,810 (11,783)
Citation 4

Abstract:

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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 1,656 (13,582)
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: 15 Posted: 16 Feb 2017 Last Revised: 06 Jun 2021
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,653 (13,614)
Citation 10

Abstract:

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

6.

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

Journal of Statistical Software, Vol. 99, Issue 2, pp. 1-40, 2021
Number of pages: 40 Posted: 11 Nov 2017 Last Revised: 19 Aug 2021
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Vrije Universiteit Brussel and Ghent University
Downloads 1,174 (22,931)
Citation 12

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aggregation, penalized regression, prediction, R, sentometrics, textual sentiment, time series

7.

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 1,085 (25,732)
Citation 5

Abstract:

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factor models, higher order comoments, portfolio selection

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 1,018 (28,204)
Citation 5

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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, Guidance Capital ManagementWilliam Blair & Co., Government of the United States of America - National Institute of Standards and Technology (NIST) and University of Washington
Downloads 996 (29,088)
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 828 (37,663)

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

11.

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, Université de Sherbrooke - Faculty of Administration, Ghent University and Ghent University - Department of Economics
Downloads 782 (40,811)
Citation 1

Abstract:

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

12.

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 766 (41,905)
Citation 2

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

13.

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, Asteria Investment Managers, Ghent University and Université Laval - Département de Finance et Assurance
Downloads 737 (44,164)
Citation 6

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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 Q36 LLC
Downloads 538 (65,532)
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 Q36 LLC
Downloads 75 (401,930)
Citation 24

Abstract:

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

15.

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: 18 Aug 2021
Vrije Universiteit Brussel (VUB), HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Vrije Universiteit Brussel and Ghent University
Downloads 504 (71,895)
Citation 8

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

16.

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 479 (76,500)
Citation 2

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

17.

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 458 (80,776)

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

18.

Algorithmic Portfolio Tilting to Harvest Higher Moment Gains

Number of pages: 15 Posted: 13 May 2019 Last Revised: 19 Apr 2020
Ghent University, Asteria Investment Managers, Degroof Petercam Asset Management and Degroof Petercam Asset Management
Downloads 435 (85,805)

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

19.

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 403 (93,765)
Citation 1

Abstract:

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

20.

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 401 (94,286)
Citation 24

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

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: 17 Posted: 30 May 2017 Last Revised: 06 Jun 2021
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and Ghent University
Downloads 394 (96,182)
Citation 7

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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 389 (97,626)
Citation 16

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23.

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 386 (98,556)
Citation 2

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

24.

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 382 (99,748)
Citation 1

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

25.

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 361 (106,300)
Citation 9

Abstract:

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

26.

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 360 (106,644)
Citation 3

Abstract:

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

27.

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 342 (112,928)
Citation 4

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

28.

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 332 (116,687)
Citation 10

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Equity incentives, Market efficiency, Textual tone, Voluntary disclosure

29.

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 321 (120,997)
Citation 12

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30.

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, Asteria Investment Managers and KU Leuven
Downloads 312 (124,695)
Citation 9

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

31.

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 305 (127,783)
Citation 1

Abstract:

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

32.

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 299 (130,582)

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

33.

Media Abnormal Tone, Earnings Announcements, and the Stock Market

Journal of Financial Markets, Forthcoming
Number of pages: 41 Posted: 21 Jun 2018 Last Revised: 21 Oct 2021
David Ardia, Keven Bluteau and Kris Boudt
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration and Ghent University
Downloads 275 (142,464)

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abnormal return, abnormal tone, earnings announcements, event study, news media, sentometrics, Structural Topic Model (STM)

34.

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 255 (153,678)
Citation 3

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

35.

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 248 (158,030)
Citation 4

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

36.

Analyzing intraday financial data in R: The highfrequency package

Number of pages: 37 Posted: 07 Sep 2021 Last Revised: 06 Nov 2021
Kris Boudt, Onno Kleen and Emil Sjørup
Ghent University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and affiliation not provided to SSRN
Downloads 235 (166,463)

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financial markets, high-frequency data, realized measures, jumps, R

37.

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 235 (166,463)
Citation 5

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

38.

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 226 (172,838)

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

39.

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 225 (173,547)
Citation 18

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

40.

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 174 (219,053)

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

41.

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 173 (220,111)
Citation 2

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Assembly line scheduling, Rearrangements, Karmarkar-Karp difference algorithm

42.

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 170 (223,418)

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

43.

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 163 (231,488)

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Breakdown, Correlation, Efficiency, Robustness, Van der Waerden

44.

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, CREATESAarhus University - School of Business and Social Sciences, Erasmus University Rotterdam (EUR) - Department of Business Economics and Aalborg University - Department of Mathematical Sciences
Downloads 152 (245,423)
Citation 3

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Cholesky decomposition, Integrated covariance, Positive semidefinite

45.

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 134 (271,404)
Citation 1

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Forex, exposure, real options, threshold model

46.

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, Asteria Investment Managers and KU Leuven
Downloads 106 (321,173)
Citation 5

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

47.

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 93 (349,629)
Citation 8

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

48.

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, Asteria Investment Managers and KU Leuven
Downloads 89 (359,445)

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Coskewness, MSE, multiple targets, portfolio optimisation, shrinkage

49.

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 88 (361,944)

Abstract:

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BAC, Covariance, ETF, Python, R

50.

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

Number of pages: 30 Posted: 26 May 2020 Last Revised: 16 Oct 2021
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel, Ghent University and Vrije Universiteit Brussel (VUB)
Downloads 88 (361,944)

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dynamic factor model, mixed-frequency, nowcasting, sentometrics, state space, Toeplitz matrix

51.

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

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 76 (394,718)

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Foreign exchange exposure, High-frequency data, Macro

52.

Estimation of Factors Using Higher-order Multi-cumulants in Weak Factor Models

Number of pages: 48 Posted: 12 Feb 2021 Last Revised: 20 Aug 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 75 (397,603)

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Higher-order multi-cumulants; High-dimensional factor models; Weak factors; Consistency; Singular values

53.

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 75 (397,603)
Citation 1

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

54.

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 70 (412,950)
Citation 2

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

55.

The Optimal Payoff for a Yaari Investor

Number of pages: 32 Posted: 13 Jan 2021 Last Revised: 10 Nov 2021
Ghent University, Vrije Universiteit Brussel (VUB) and Vrije Universiteit Brussel (VUB)
Downloads 64 (432,927)
Citation 1

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Preferences, Optimization, Hoeffding-Fréchet bounds.

Abstract:

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

57.

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 58 (454,327)

Abstract:

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

58.

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 52 (477,336)

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Composite Indicator, Invariance, Robust Estimation, Winsorization

59.

Semi-Supervised Text Mining for Monitoring the News About the ESG Performance of Companies

Data Science for Economics and Finance: Methodologies and Applications, pp. 217-239, 2021
Number of pages: 23 Posted: 29 Jun 2021 Last Revised: 19 Aug 2021
Vrije Universiteit Brussel, Ghent University, Degroof Petercam Asset Management and Degroof Petercam Asset Management
Downloads 51 (481,415)

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ESG, News Monitoring, Sentiment Analysis, Sustainable Investment, Textual Analysis, Time Series

60.

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 37 (545,343)

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

61.

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 25 (615,022)
Citation 1

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Binary Particle Swarm Optimization, Cardinality Mapping, Portfolio Optimization

62.

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, Asteria Investment Managers and KU Leuven
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higher-order multivariate moments; latent factor model; minimum distance estimation; risk assessment; structural equation modelling

63.

Supplementary appendix to: Estimation of factors using higher-order multi-cumulants in weak factor models

Number of pages: 22 Posted: 30 Mar 2021 Last Revised: 20 Aug 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 16 (678,910)

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Higher-Order Multi-Cumulants, High-Dimensional Factor Models, Number of Factors, Eigenvalues

64.

Interpretability of composite indicators based on principal components

Number of pages: 26 Posted: 27 Aug 2021
Ghent University, Vrije Universiteit Brussel (VUB), United Nations - Food and Agriculture Organization (FAO) and affiliation not provided to SSRN
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principal components, loadings, constraint, composite indicator, interpretability

65.

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 (717,723)
Citation 2

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foreign exchange exposure, high-frequency data, macroeconomic news

66.

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

67.

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

68.

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

69.

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

70.

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

71.

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

72.

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

73.

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