| Cross-temporal forecast reconciliation at digital platforms with machine learning J Rombouts, M Ternes, I Wilms International Journal of Forecasting, 2024 | | 2024 |
| Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms YJ Hu, J Rombouts, I Wilms Information Systems Research, 2024 | | 2024 |
| Monitoring Machine Learning Forecasts for Platform Data Streams J Rombouts, I Wilms arXiv preprint arXiv:2401.09144, 2024 | | 2024 |
| Fast filtering with large option panels: Implications for asset pricing A Dufays, K Jacobs, Y Liu, J Rombouts Journal of Financial and Quantitative Analysis, 1-32, 2023 | 3 | 2023 |
| Sparse change‐point VAR models A Dufays, Z Li, JVK Rombouts, Y Song Journal of Applied Econometrics 36 (6), 703-727, 2021 | 7 | 2021 |
| Multivariate volatility forecasts for stock market indices I Wilms, J Rombouts, C Croux International Journal of Forecasting 37 (2), 484-499, 2021 | 41 | 2021 |
| Dynamics of variance risk premia: A new model for disentangling the price of risk JVK Rombouts, L Stentoft, F Violante Journal of Econometrics 217 (2), 312-334, 2020 | 7 | 2020 |
| Nonlinear financial econometrics JoE special issue introduction JVK Rombouts, O Scaillet, D Veredas, JM Zakoian Journal of Econometrics 217 (2), 203-206, 2020 | 1 | 2020 |
| Relevant parameter changes in structural break models A Dufays, JVK Rombouts Journal of Econometrics 217 (1), 46-78, 2020 | 9 | 2020 |
| Pricing individual stock options using both stock and market index information JVK Rombouts, L Stentoft, F Violante Journal of Banking & Finance 111, 105727, 2020 | 4 | 2020 |
| Nonlinear Financial Econometrics JVK Rombouts, O Scaillet, D Veredas, JM Zakoïan Elsevier, 2020 | | 2020 |
| Variance swap payoffs, risk premia and extreme market conditions JVK Rombouts, L Stentoft, F Violante Econometrics and Statistics 13, 106-124, 2020 | 4 | 2020 |
| Sparse change-point HAR models for realized variance A Dufays, JVK Rombouts Econometric Reviews, 2019 | 6 | 2019 |
| Multivariate lasso-based forecast combinations for stock market volatility C Croux, J Rombouts, I Wilms Working paper, Faculty of Economics and Business, KU Leuven, 2018 | 6 | 2018 |
| MS 2016147 submitted to Econometric Reviews A Dufays, JVK Rombouts | | 2018 |
| Testing for time-varying loadings in dynamic factor models JVK Rombouts, JG Mikkelsen CREATES Research Papers, 2017 | | 2017 |
| Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability JVK Rombouts, L Stentoft, F Violante | | 2017 |
| Lasso-based forecast combinations for forecasting realized variances I Wilms, J Rombouts, C Croux arXiv preprint arXiv:1610.02653, 2016 | 6 | 2016 |
| Root-T consistent density estimation in GARCH models A Delaigle, A Meister, J Rombouts Journal of Econometrics 192 (1), 55-63, 2016 | 6 | 2016 |
| Sparse change-point time series models A Dufays, J Rombouts LIDAM Discussion Papers CORE, 2015 | 2 | 2015 |
Luc BauwensProfessor of Economics, Université catholique de LouvainVerified email at uclouvain.be