Kris Boudt
Research
Peer-reviewed international
publications:
- Boudt K., Peterson B. and Croux C. 2008.
Estimation and decomposition of downside risk for portfolios with non-normal
returns. The Journal of Risk 11(2), 79-103. pdf
- 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
-
Peterson B. and Boudt K. Component VaR for a
non-normal world. Risk, November
2008. Reprint in Asia Risk.
pdf
- Boudt K.,
Todorov V. and Upadhyaya S. 2009. Nowcasting manufacturing value added
for cross-country comparison. Statistical Journal of the IAOS,
forthcoming. pdf
- Boudt K, Caliskan D. and Croux C. 2009. Robust
explicit estimators of Weibull parameters. Metrika, forthcoming.
pdf
-
Boudt K. and Croux C. 2007. Robust
M-Estimation of Multivariate GARCH Models.
Computational Statistics and Data Analysis, forthcoming.
pdf code
Working papers:
-
Boudt K.,
Croux C. and Laurent S. 2008. Outlyingness weighted quadratic
covariation.
Submitted.
pdf
- Technical report: Boudt K.,
Croux C. and Laurent S. 2008. Asymptotic variance of the ROWVar.
pdf
- Boudt K., Croux C. and Laurent S. 2008.
Robust estimation of intraweek periodicity in volatility and jump detection.
Submitted. pdf
Work in progress:
- Boudt K., Carl P. and Peterson B. Portfolio
optimization and risk budgets.
- Boudt K., Ghys H. and Petitjean M. The dynamics of
liquidity around price jumps.
- Boudt K., Danielsson J. and Laurent S. Robust
estimation of dynamic conditional correlation models.
Miscellaneous:
-
Boudt K. 2008. Presentation on robust statistical analysis. UNIDO
research update 2008(2). pdf
-
Boudt K., Lahaye J. and Laurent S. 2009.
Realized volatility and intraday periodicity. Chapter 6 in GARCH 6.0. link
- Contribution to UNIDO (2009). International
Yearbook of Industrial Statistics 2009. link
Some of these estimators are
implemented in the
Ox-package G@RCH, the R package
PerformanceAnalytics and the VBA applications
of
PerformanceAnalysis. For all papers, R code is available
directly from the authors.
Education
and skills
-
PhD Econometrics and statistics, KULeuven, Belgium.
Sept 2006-Nov 2008.
- 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.
Presentations
-
2009: Humbold-Copenhagen
conference on recent development in financial econometrics, Berlin (Germany),
Leuven statistical day and Leuven/Louvain workshop on finance,
second meeting of the society of financial
econometrics, Geneva (Switzerland) 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). 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 (US),
Second international workshop on computational and financial
econometrics, Neuchatel (Switzerland); R/RMetrics workshop, Meielisalp (Switzerland);
Financial Econometrics and Vast Data Conference, Oxford (UK); OxMetrics,
London (UK). Invited seminars at
Ecares (Brussels, Belgium), CORE-STAT (Louvain-La-Neuve, Belgium), Int.
workshop on flexible modeling and smoothing (Leuven, Belgium). Research stay
at the statistics and research branch of UNIDO, Vienna.
-
2007: First international workshop on computational and financial econometrics,
Geneva (Switzerland); 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).