Welcome to the website of Jeroen V.K. Rombouts 

Associate professor at HEC-Montreal and Research Associate at CORE

My CV (pdf)

Email: jeroen.rombouts@hec.ca

Phone:    1-514-340-6466

Address:    3000, chemin de la Côte Sainte-Catherine, Montréal (Québec), H3T 2A7, Canada.

Research interests: Finance, Econometrics and Statistics.

Publications

1. Bouezmarni, T., Rombouts, J.V.K., Taamouti, A., (2011), A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality, forthcoming in Journal of Business and Economic Statistics.

2. Laurent, S., Rombouts, J.V.K., Violante, F., (2011), On the Forecasting Accuracy of Multivariate GARCH Models, forthcoming in Journal of Applied Econometrics.

3. Rombouts, J.V.K., Stentoft, L. (2011), Multivariate Option Pricing with Time Varying Volatility and Correlations, forthcoming in Journal of Banking and Finance

4. Bauwens, L., Bauwens, J.V.K., (2010), On Marginal Likelihood Computation in Change-Point Models, forthcoming in Computational Statistics and Data Analysis.

5. Bauwens, L., Preminger, A., Rombouts, J.V.K., (2010), Theory and Inference for a Markov Switching GARCH Model, Econometrics Journal, 13, 218-244 .

6. Bouezmarni, T., Rombouts, J.V.K., (2010), Nonparametric Density Estimation for Multivariate Bounded Data, Journal of Statistical Planning and Inference, 140, 139-152.

7. Bouezmarni, T., Rombouts, J.V.K., Taamouti, A., (2010), Asymptotic Properties of the Bernstein Density Copula for Dependent Data, Journal of Multivariate Analysis, 101, 1-10.

8. Bouezmarni, T., Rombouts, J.V.K., (2009), Nonparametric Density Estimation for Positive Time Series, Computational Statistics and Data Analysis, 53, 2040-2054.

9. Bouaddi, M., Rombouts, J.V.K., (2009), Mixed Exponential Power Asymmetric Conditional Heteroskedasticity, Studies on Nonlinear Dynamics and Econometrics, 13, 1-30.

10. Verbeek, M., Rombouts, J.V.K., (2009), Evaluating Portfolio Value-at-Risk using Semi-parametric GARCH Models, Quantitative Finance, 9, 737-745.

11. Bouezmarni, T., Rombouts, J.V.K., (2008), Nonparametric Density and Hazard Function Estimation for Censored Positive Time Series, Journal of Nonparametric statistics, 7, 627-643.

12. Bouezmarni, T., Rombouts, J.V.K., (2008), Semiparametric Multivariate Density Estimation for Positive Data Using Copulas, Computational Statistics and Data Analysis, 53, 2040-2054.

13. Bauwens, L., Rombouts, J.V.K., (2007), Bayesian Inference for the Mixed Conditional Heteroskedasticity Model. Econometrics Journal, 10, 408-425.

14. Bauwens, L., Hafner, C.M., Rombouts, J.V.K., (2007), Mixed Normal Multivariate Conditional Heteroskedasticity. Computational Statistics and Data Analysis, 51, 3551-3566.

15. Bauwens, L., Rombouts, J.V.K., (2007), Bayesian Clustering of Many GARCH Models. Econometric Reviews. 26, 365-386.

16. Hafner, C.M., Rombouts, J.V.K., (2007), Semiparametric Multivariate Volatility Models. Econometric Theory, 23, 251-280.

17. Hafner, C.M., Rombouts, J.V.K., (2007), Estimation of Temporally Aggregated Multivariate GARCH Models, Journal of Statistical Computation and Simulation, 77, 629-650.

18. Bauwens, L., Laurent, S., Rombouts, J.V.K., (2006), multivariate GARCH models: A survey, Journal of Applied Econometrics, 21, 79-109.

19. Mouchart, M., Rombouts, J.V.K., (2005), Clustered Panel data models: An efficient approach for nowcasting from poor data, International Journal of Forecasting, 21, 577-594.

20.  Bauwens, L., Rombouts, J.V.K., (2004), Econometrics, Handbook of Computational Statistics, Springer-Verlag, Berlin.

Working papers

1. Bauwens, L., Dufays, A., Rombouts, J.V.K., (2011), Marginal Likelihood Computation for Markov Switching and Change-point GARCH Models.

2. Bauwens, L., Koop, G., Korobilis, D., Rombouts, J.V.K., (2011), A Comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models (submitted).

3. Rombouts, J.V.K., Stentoft, L., (2010), Option Pricing with Asymmetric Heteroskedastic Normal Mixture models, CIRANO, CIRPEE, CREATES and CORE discussion paper (submitted).

4. Rombouts, J.V.K., Stentoft, L., (2008), Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models, CORE discussion paper (submitted).

5. Laurent, S., Rombouts, J.V.K., Violante, F., (2009), On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models, CIRANO and CIRPEE discussion paper (submitted). Previously circulated as “Consistent Ranking of Multivariate Volatility Models”.

Work in progress

1. Rombouts, J.V.K., Stentoft, L., Violante, F., (2011), The Predictive Ability of DCC Models in Terms of Option Pricing.

2. Bauwens, L., Dufays, A., Rombouts, J.V.K., (2011), The Change-Point DCC Model.