Discover open access scientific publications

Search, annotate, share and cite publications

Publications by Jeroen V. K. Rombouts

On the Forecasting Accuracy of Multivariate GARCH Models

Journal of Applied Econometrics

Social Sciences

English

Sparse Change-Point HAR Models for Realized Variance

Econometric Reviews

English

Related publications

Semiparametric Estimation of Multivariate GARCH Models

SSRN Electronic Journal

English

Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models

SSRN Electronic Journal

English

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

SSRN Electronic Journal

English

Prediction Accuracy in Multivariate Repeated-Measures Bayesian Forecasting Models With Examples Drawn From Research on Sleep and Circadian Rhythms

Computational and Mathematical Methods in Medicine

Molecular Biology

Applied Mathematics

English

Asymmetric GARCH Type Models for Asymmetric Volatility Characteristics Analysis and Wind Power Forecasting

Protection and Control of Modern Power Systems

Electronic Engineering

Energy Engineering

Power Technology

English

Estimating and Forecasting Volatility of Financial Markets Using Asymmetric GARCH Models: An Application on Turkish Financial Markets

International Journal of Economics and Finance

English

Measuring Spot Variance Spillovers When (Co)variances Are Time-Varying - The Case of Multivariate GARCH Models

Oxford Bulletin of Economics and Statistics

Social Sciences

English

The Forecasting Ability of GARCH Models for the 2003–07 Crisis: Evidence From S&P500 Index Volatility

Lahore Journal of Business

English

Currency Hedging Strategies Using Dynamic Multivariate GARCH

SSRN Electronic Journal

English