Access Statistics for Kris Boudt

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Analysts' forecast error: a robust prediction model and its short-term trading profitability 0 0 0 0 0 0 4 6
Beta-Adjusted Covariance Estimation 0 3 7 33 0 6 21 64
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation 0 0 0 0 0 0 2 21
Climate change concerns and the performance of green versus brown stocks 5 12 40 79 15 57 187 313
Climate change concerns and the performance of green versus brown stocks 2 9 18 56 5 16 48 133
Daily news sentiment and monthly surveys: A mixed–frequency dynamic factor model for nowcasting consumer confidence 0 1 9 25 1 3 19 44
Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization 0 0 0 145 2 3 8 417
Funding liquidity, market liquidity and TED spread: A two-regime model 0 1 2 41 0 5 9 191
Generalized Autoregressive Score Models in R: The GAS Package 1 3 4 29 1 3 13 103
Hedge fund portfolio selection with modified expected shortfall 0 0 0 208 0 0 2 435
Household Heterogeneity and Policy Relevance 3 4 8 8 3 8 17 17
Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy 0 0 2 28 0 3 11 175
Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks 0 0 0 0 0 0 1 9
Intraday liquidity dynamics and news releases around price jumps: evidence from the DJIA stocks 0 0 0 0 0 0 0 0
Media abnormal tone, earnings announcements, and the stock market 0 0 1 11 0 0 5 15
NEAREST COMOMENT ESTIMATION WITH UNOBSERVED FACTORS 0 0 2 46 0 0 2 93
Outlyingness weighted covariation 0 0 0 0 0 2 3 17
Regime switches in the volatility and correlation of financial institutions 0 1 2 100 0 3 6 185
Robust estimation of intraweek periodicity in volatility and jump detection 0 0 2 7 0 0 2 43
The Peer Performance of Hedge Funds 0 0 0 31 0 1 2 111
The response of multinationals’ foreign exchange rate exposure to macroeconomic news 0 0 1 68 0 0 2 60
The short term prediction of analysts' forecast error 0 0 0 38 0 1 4 181
The variance implied conditional correlation 0 0 0 0 0 0 0 3
Value-at-Risk Prediction in R with the GAS Package 0 0 0 48 1 2 2 56
When does the tone of earnings press releases matter? 0 0 0 0 0 0 1 9
Total Working Papers 11 34 98 1,001 28 113 371 2,701


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Analysts' forecast error: a robust prediction model and its short-term trading profitability 0 0 0 2 0 0 1 32
Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation 0 0 1 9 1 1 3 39
Block rearranging elements within matrix columns to minimize the variability of the row sums 0 0 0 0 0 1 3 15
ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS 0 2 4 21 0 4 20 103
Estimation and decomposition of food price inflation risk 0 0 6 6 2 3 17 17
Evaluating the Shariah-compliance of equity portfolios: The weighting method matters 0 1 1 3 0 1 3 29
Exporters’ Exposures to Currencies: Beyond the Loglinear Model 0 0 0 2 0 0 0 24
Forecasting risk with Markov-switching GARCH models:A large-scale performance study 1 4 6 19 2 8 18 78
Funding liquidity, market liquidity and TED spread: A two-regime model 0 1 3 15 1 2 10 65
Generalized financial ratios to predict the equity premium 0 0 2 21 0 1 5 102
Higher order comoments of multifactor models and asset allocation 1 1 2 26 1 1 6 88
Interpretability of Composite Indicators Based on Principal Components 0 0 0 0 0 0 0 0
Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks 0 0 5 71 0 2 13 201
Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics 0 0 1 13 0 1 9 53
Jump robust daily covariance estimation by disentangling variance and correlation components 0 0 0 10 0 0 0 48
Jump robust two time scale covariance estimation and realized volatility budgets 0 1 2 3 0 1 3 24
Machine Learning for Asset Managers 1 1 7 11 1 1 11 32
Macro-financial regimes and performance of Shariah-compliant equity portfolios 0 0 0 3 0 0 3 20
Managers set the tone: Equity incentives and the tone of earnings press releases 1 5 10 47 2 9 29 152
Nearest comoment estimation with unobserved factors 0 0 0 1 0 0 2 16
Performance-sharing optimization by risk-constrained equity investors 0 0 0 2 0 0 0 4
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 11 0 0 2 71
Properties of the Margrabe Best-of-two strategy to tactical asset allocation 0 0 1 1 0 1 9 9
Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values 0 1 4 13 0 1 12 61
Robust Distribution-Based Winsorization in Composite Indicators Construction 0 2 2 3 0 2 4 12
Robust M-estimation of multivariate GARCH models 0 0 0 19 0 0 1 70
Robust estimation of intraweek periodicity in volatility and jump detection 0 1 4 90 1 3 17 315
Robust explicit estimators of Weibull parameters 0 0 0 4 0 0 0 64
Robust forecasting of dynamic conditional correlation GARCH models 1 2 4 36 1 9 13 127
Smart beta and CPPI performance 0 0 1 16 0 0 2 45
Testing equality of modified Sharpe ratios 0 0 2 18 1 2 10 92
The economic benefits of market timing the style allocation of characteristic-based portfolios 0 0 1 8 0 0 1 50
The impact of a sustainability constraint on the mean-tracking error efficient frontier 0 0 0 2 0 0 0 34
The impact of covariance misspecification in risk-based portfolios 0 0 4 18 2 2 9 69
The optimal payoff for a Yaari investor 0 0 0 0 0 0 0 0
The peer performance ratios of hedge funds 0 0 2 14 0 2 6 74
The response of multinationals’ foreign exchange rate exposure to macroeconomic news 0 0 3 9 0 2 6 56
The variance implied conditional correlation 0 0 0 1 0 1 2 11
When does the tone of earnings press releases matter? 0 0 0 6 3 5 5 48
Total Journal Articles 5 22 78 554 18 66 255 2,350


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Cardinality-Constrained Higher-Order Moment Portfolios Using Particle Swarm Optimization 0 0 0 0 0 0 2 7
Total Chapters 0 0 0 0 0 0 2 7


Statistics updated 2023-06-05