Jeroen V. K. Rombouts

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality Journal of Business and Economic Statistics	2025-01-20	Paper
Sparse change-point HAR models for realized variance Econometric Reviews	2022-03-04	Paper
Dynamics of variance risk premia: a new model for disentangling the price of risk Journal of Econometrics	2020-06-18	Paper
Relevant parameter changes in structural break models Journal of Econometrics	2020-06-18	Paper
Bayesian option pricing using mixed normal heteroskedasticity models Computational Statistics and Data Analysis	2018-11-23	Paper
On loss functions and ranking forecasting performances of multivariate volatility models Journal of Econometrics	2017-05-12	Paper
On loss functions and ranking forecasting performances of multivariate volatility models Journal of Econometrics	2017-05-12	Paper
Root-\(T\) consistent density estimation in GARCH models Journal of Econometrics	2016-03-01	Paper
Marginal likelihood for Markov-switching and change-point GARCH models Journal of Econometrics	2014-08-07	Paper
On marginal likelihood computation in change-point models Computational Statistics and Data Analysis	2012-12-30	Paper
Semiparametric multivariate volatility models Econometric Theory	2012-05-14	Paper
Theory and inference for a Markov switching GARCH model Econometrics Journal	2011-05-31	Paper
Mixed exponential power asymmetric conditional heteroskedasticity Studies in Nonlinear Dynamics & Econometrics	2010-07-02	Paper
Nonparametric density estimation for positive time series Computational Statistics and Data Analysis	2010-04-06	Paper
Semiparametric multivariate density estimation for positive data using copulas Computational Statistics and Data Analysis	2010-03-30	Paper
Asymptotic properties of the Bernstein density copula estimator for \(\alpha \)-mixing data Journal of Multivariate Analysis	2009-11-27	Paper
Nonparametric density estimation for multivariate bounded data Journal of Statistical Planning and Inference	2009-11-13	Paper
Multivariate mixed normal conditional heteroskedasticity Computational Statistics and Data Analysis	2009-05-29	Paper
Density and hazard rate estimation for censored and α-mixing data using gamma kernels Journal of Nonparametric Statistics	2008-11-14	Paper
Estimation of temporally aggregated multivariate GARCH models Journal of Statistical Computation and Simulation	2007-12-19	Paper
Bayesian inference for the mixed conditional heteroskedasticity model Econometrics Journal	2007-11-21	Paper
Bayesian Clustering of Many Garch Models Econometric Reviews	2007-06-20	Paper

Research outcomes over time

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