Jeroen V. K. Rombouts

Available identifiers

zbMath Open rombouts.jeroen-v-kMaRDI QIDQ528159

List of research outcomes

Publication	Date of Publication	Type
Sparse Change-point HAR Models for Realized Variance	2022-03-04	Paper
Relevant parameter changes in structural break models	2020-06-18	Paper
Dynamics of variance risk premia: a new model for disentangling the price of risk	2020-06-18	Paper
Bayesian option pricing using mixed normal heteroskedasticity models	2018-11-23	Paper
On loss functions and ranking forecasting performances of multivariate volatility models	2017-05-12	Paper
Root-\(T\) consistent density estimation in GARCH models	2016-03-01	Paper
Marginal likelihood for Markov-switching and change-point GARCH models	2014-08-07	Paper
On marginal likelihood computation in change-point models	2012-12-30	Paper
SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS	2012-05-14	Paper
Theory and inference for a Markov switching GARCH model	2011-05-31	Paper
Mixed Exponential Power Asymmetric Conditional Heteroskedasticity	2010-07-02	Paper
Nonparametric density estimation for positive time series	2010-04-06	Paper
Semiparametric multivariate density estimation for positive data using copulas	2010-03-30	Paper
Asymptotic properties of the Bernstein density copula estimator for \(\alpha \)-mixing data	2009-11-27	Paper
Nonparametric density estimation for multivariate bounded data	2009-11-13	Paper
Multivariate mixed normal conditional heteroskedasticity	2009-05-29	Paper
Density and hazard rate estimation for censored and α-mixing data using gamma kernels	2008-11-14	Paper
Estimation of temporally aggregated multivariate GARCH models	2007-12-19	Paper
Bayesian inference for the mixed conditional heteroskedasticity model	2007-11-21	Paper
Bayesian Clustering of Many Garch Models	2007-06-20	Paper

Research outcomes over time

Doctoral students

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