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Browsing by Author « Rombouts, Jeroen »

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Showing results 1 to 8 of 8
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
Rombouts, Jeroen; Stentoft, Lars Peter
Issue Date : 2009-05

A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models
Bauwens, Luc; Koop, Gary; Korobilis, Dimitris; Rombouts, Jeroen
Issue Date : 2011-01

Marginal Likelihood for Markov-Switching and Change-Point Garch Models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen
Issue Date : 2011-11

Multivariate Option Pricing With Time Varying Volatility and Correlations
Rombouts, Jeroen; Stentoft, Lars Peter
Issue Date : 2010-05

A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
Bouezmarni, Taoufik; Rombouts, Jeroen; Taamouti, Abderrahim
Issue Date : 2009-06

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
Laurent, Sébastien; Rombouts, Jeroen; Violente, Francesco
Issue Date : 2009-11

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
Rombouts, Jeroen; Stentoft, Lars Peter
Issue Date : 2010-09

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options
Rombouts, Jeroen; Stentoft, Lars Peter; Violente, Francesco
Issue Date : 2012-02

Showing results 1 to 8 of 8

 

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