Assocate Professor of Finance at
Vrije Universiteit Brussel
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
Recent research
news:
April 2013: Intraday liquidity
dynamics and news releases around price jumps: Evidence from
the DJIA stocks is accepted for publication in the Journal
of Financial Markets
March 2013: Paper on The impact of a sustainability
constraint on the mean-tracking error efficient frontier is
accepted for publication in Economics Letters.
February 2013: I am now affiliated with the Vrije
Universiteit Brussel and VU University Amsterdam.
December 2012: R package highfrequency is available on CRAN.
This package is a merger of the packages RTAQ and realized,
and is a collaboration between Jonathan Cornelissen, Scott
Payseur and myself. Jonathan is the lead maintainer of the
package. For documentation, see the highfex website.
Peer-reviewed
international publications:
Boudt K. and Petitjean M. 201x. Intraday
liquidity dynamics and news releases around price jumps:
Evidence from the DJIA stocks. Journal of Financial
Markets, forthcoming. pdf
Boudt K. and Zhang, J. 201x. Jump robust
two time scale covariance estimation and realized volatility
budgets. Quantitative Finance, forthcoming. pdf
Boudt K., Cornelissen J. and Croux
C. 2013. The impact of a sustainability constraint on the
mean-tracking error efficient frontier.
Economics Letters 119, 255-260. pdfwebappendix
Boudt K., Carl P. and Peterson B. 2013.
Asset allocation with Conditional Value-at-Risk Budgets.
Journal of Risk 15 (3), Spring 39-68. pdf
Boudt K., Danielsson J. and Laurent S.
2013. Robust forecasting of dynamic conditional correlation
GARCH models. International Journal of Forecasting 29,
244-257. pdf
webappendix
Boudt K., Cornelissen J. and Croux
C. 2012. Jump robust daily covariance estimation by
disentangling variance and correlation components.
Computational Statistics and Data Analysis 56,
2993-3005. 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.
pdfwebappendix
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. pdfcode
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:
Ardia, D. and K. Boudt. 2013. The
short-run persistence of performance in funds of hedge funds.
In G. Gregoriou (Ed.) Reconsidering funds of hedge funds,
Elsevier (pp. 289-301).
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 (pp
565-584).
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
2012: AFA, Chicago. Intern Workshop on Nonlinear and
asymmetric models in applied economics, Paris. R/Finance
Chicago. Netherlands Econometrics Group
conference. Computational and financial econometrics
workshop, Oviedo.
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).
Education
and skills
PhD Econometrics and statistics, KULeuven, Belgium. Sept
2006-Nov 2008.