Kris Boudt

Assistant Professor of Finance Lessius/KULeuven and VU University Amsterdam
Naamsestraat 69, 3000 Leuven - Belgium
Tel. +32 16 326728 E-mail: Kris.Boudt (at) econ.kuleuven.be

Research

Peer-reviewed international publications:

Boudt K., Cornelissen J. and Croux C. 2012. Jump robust daily covariance estimation by disentangling variance and correlation components. Computational Statistics and Data Analysis, forthcoming. pdf
Boudt K., Cornelissen J. and Croux C. 2012. The Gaussian rank correlation estimator: robustness properties. Statistics and Computing 22, 471-483. pdf
Boudt K., Croux C. and Laurent S. 2011. Outlyingness weighted covariation. Journal of Financial Econometrics 9, 657-684. pdf webappendix
Ardia, D., Boudt, K., Carl, P., Mullen, K. and Peterson, B. 2011. Differential evolution (DEoptim) for non-convex portfolio optimization. R Journal 3 , 27-34 . pdf
Boudt K., Croux C. and Laurent S. 2011. Robust estimation of intraweek periodicity in volatility and jump detection. Journal of Empirical Finance 18, 353-367. pdf code
Boudt K, Caliskan D. and Croux C. 2011. Robust explicit estimators of Weibull parameters. Metrika 73(2), 187-209. pdf
Boudt K. and Croux C. 2010. Robust M-estimation of multivariate GARCH models. Computational Statistics and Data Analysis 54, 2459-2469. pdf code
Boudt K., Todorov V. and Upadhyaya S. 2009. Nowcasting manufacturing value added for cross-country comparison. Statistical Journal of the IAOS: Journal of the International Association of Official Statistics 26 (1-2), 15-20. pdf
Peterson B. and Boudt K. Component VaR for a non-normal world. Risk, November 2008. Reprint in Asia Risk. pdf
Boudt K., Peterson B. and Croux C. 2008. Estimation and decomposition of downside risk for portfolios with non-normal returns. Journal of Risk 11(2), 79-103. pdf

Book chapters:

Boudt K., Cornelissen, J., Croux, C. and S. Laurent. 2011. Non-parametric tests for intraday jumps: Impact of periodicity and microstructure noise. In L. Bauwens, C. Hafner and S. Laurent (Eds). Volatility models and their applications (handbook of financial econometrics). Wiley.
Boudt K., Lahaye J. and Laurent S. 2009. Realized volatility and intraday periodicity. In S. Laurent (Ed.) G@RCH 6, Estimating and forecasting ARCH models (pp. 149-193). London, Timberlake Consultants. link
Boudt K., Peterson B. and Carl P. 2008. Hedge fund portfolio selection with modified expected shortfall. In C. Brebbia, M. Constantino, and M. Larran (Eds.), Computational Finance and its Applications III, WIT Transactions on Modelling and Simulation. WIT, Southampton. pdf

Software:

Cornelissen J. and Boudt K. RTAQ: Tools for the analysis of trades and quotes in R. link CRAN
Boudt K., Carl P. and Peterson B. PortfolioAnalytics: Portfolio Analysis, including numeric methods for optimization of portfolios. link
Contributions to Ox-package G@RCH, the R package PerformanceAnalytics and the VBA applications of PerformanceAnalysis.

Working papers:

Boudt K., Danielsson J. and Laurent S. Robust forecasting of dynamic conditional correlation GARCH models. Submitted. pdf webappendix
Boudt K. and Zhang, J. 2010. Jump robust two time scale covariance estimation and realized volatility budgets. Submitted. pdf
Boudt K., Carl P. and Peterson B. 2011. Asset allocation with Conditional Value-at-Risk Budgets. Submitted pdf
Boudt K., Paulus, E. and Rosenthal, D. 2010. Funding liquidity, market liquidity and TED spread: A two-regime model. Work in progress pdf
Boudt K., Ghys H. and Petitjean M. 2011. The dynamics of liquidity around price jumps. Work in progress pdf
Ardia, D. and Boudt K. 2012. The peer performance of hedge funds. Work in progress pdf
Boudt, K., Cornelissen, J. and Croux C. 2012. The sustainability of mean variance and mean tracking error efficient portfolios. Work in progress
Boudt, K, Liu, F. and Sercu P. 2012. Equity's exposure to currencies: Beyonds the loglinear model. Work in progress
Boudt, K, De Goei, P, Thewissen, J and Van Campenhout G. 2012. Testing the profitability of predicting analysts' forecast errors: A short horizon approach. Work in progress.

Education and skills

PhD Econometrics and statistics, KULeuven, Belgium. Sept 2006-Nov 2008.
- Title: Estimation of financial risk under non-normal distributions
- Committee: C. Croux, G. Dhaene, I. Gijbels, P. Sercu, O.Scaillet.
MA Economics, FUNDP Namur, Belgium. Sept 2003-June 2006.
Candidate Commercial Engineering, FUNDP Namur, Belgium. Sept 2001-June 2003.
Languages: Fluent in English and French, Good notions in German and Italian, Dutch is mother tongue;
Programming: R, Ox, SAS;
FWO aspirant scholarship.

Teaching

Research methods for financial management (2009-present, Lessius)
Finance: Theory and practice (2009-present, Lessius)
Fixed Income (2010-present)
Econometrics & Statistics (2010, KULeuven)

Presentations and research stays

2012: AFA, Chicago. Intern Workshop on Nonlinear and asymmetric models in applied economics, Paris.
2011: XII Workshop on Quantitative Finance, Padova, R/Finance conference, Chicago, Oxmetrics, Maastricht, Computational and financial econometrics workshop, London. Invited seminar at CORE, VU University Amsterdam.
2011 Research stay at the statistics and research branch of UNIDO, Vienna and the finance department of the University of Illinois at Chicago.
2010: XI Workshop on Quantitative Finance, Palermo, OxMetrics conference, London, Computational and financial econometrics workshop, London.
2010: Research stay at the statistics and research branch of UNIDO, Vienna and the finance department of the University of Illinois at Chicago.
2009: Humbold-Copenhagen conference on recent development in financial econometrics, Berlin, Leuven statistical day and Leuven/Louvain workshop on finance, second meeting of the society of financial econometrics, Geneva and third international workshop on computational and financial econometrics, Limassol (Cyprus). Invited seminar at CREST (France), Lille 3 (France), Maastricht University (The Netherlands) and the University of Illinois at Chicago (US).
2009: Research stay at the statistics and research branch of UNIDO, Vienna and at the finance department of the University of Illinois at Chicago.
2008: First meeting of the society of financial econometrics, New York, Second international workshop on computational and financial econometrics, Neuchatel (Switzerland); R/RMetrics workshop, Meielisalp (Switzerland); Financial Econometrics and Vast Data Conference, Oxford; OxMetrics, London. Invited seminars at Ecares (Brussels, Belgium), CORE-STAT (Louvain-La-Neuve, Belgium), Int. workshop on flexible modeling and smoothing (Leuven, Belgium).
2008: Research stay at the statistics and research branch of UNIDO, Vienna.

2007: First international workshop on computational and financial econometrics, Geneva; R/RMetrics workshop, Meielisalp (Switzerland), workshop on robust statistics and R, Banff (Canada) and EC2 meeting on recent advances in econometric time series analysis, Faro (Portugal).