Multivariate GARCH models: a survey von Bauwens, Luc, Laurent, Sébastien, Rombouts, Jeroen V. K.

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On the forecasting accuracy of multivariate GARCH models von Laurent, Sébastien, Rombouts, Jeroen V. K., Violante, Francesco

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On loss functions and ranking forecasting performances of multivariate volatility models von Laurent, Sébastien, Rombouts, Jeroen V.K., Violante, Francesco

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The Contribution of Structural Break Models to Forecasting Macroeconomic Series von Bauwens, Luc, Koop, Gary, Korobilis, Dimitris, Rombouts, Jeroen V.K.

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Dynamics of variance risk premia: A new model for disentangling the price of risk von Rombouts, Jeroen V.K., Stentoft, Lars, Violante, Francesco

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Marginal likelihood for Markov-switching and change-point GARCH models von Bauwens, Luc, Dufays, Arnaud, Rombouts, Jeroen V.K.

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Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality von Bouezmarni, Taoufik, Rombouts, Jeroen V.K., Taamouti, Abderrahim

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Theory and inference for a Markov switching GARCH model von Bauwens, Luc, Preminger, Arie, Rombouts, Jeroen V. K.

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Multivariate option pricing with time varying volatility and correlations von Rombouts, Jeroen V.K., Stentoft, Lars

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Relevant parameter changes in structural break models von Dufays, Arnaud, Rombouts, Jeroen V.K.

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Option pricing with asymmetric heteroskedastic normal mixture models von Rombouts, Jeroen V.K., Stentoft, Lars

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Sparse change‐point VAR models von Dufays, Arnaud, Li, Zhuo, Rombouts, Jeroen V.K., Song, Yong

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Sparse Change-point HAR Models for Realized Variance von Dufays, Arnaud, Rombouts, Jeroen V. K.

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Nonlinear financial econometrics JoE special issue introduction von Rombouts, Jeroen V.K., Scaillet, Olivier, Veredas, David, Zakoian, Jean-Michel

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Pricing individual stock options using both stock and market index information von Rombouts, Jeroen V.K., Stentoft, Lars, Violante, Francesco

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Nonparametric density estimation for positive time series von Bouezmarni, Taoufik, Rombouts, Jeroen V.K.

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Mixed Exponential Power Asymmetric Conditional Heteroskedasticity von Rombouts, Jeroen V. K, Bouaddi, Mohammed

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Nonparametric density estimation for multivariate bounded data von Bouezmarni, Taoufik, Rombouts, Jeroen V.K.

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Evaluating portfolio Value-at-Risk using semi-parametric GARCH models von Rombouts, Jeroen V.K., Verbeek, Marno

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Bayesian option pricing using mixed normal heteroskedasticity models von Rombouts, Jeroen V.K., Stentoft, Lars

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