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:

  1. 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
  2. Boudt K., Cornelissen J. and Croux C. 2012. The Gaussian rank correlation estimator: robustness properties. Statistics and Computing 22, 471-483. pdf
  3. Boudt K., Croux C. and Laurent S. 2011.  Outlyingness weighted covariation. Journal of Financial Econometrics 9, 657-684. pdf  webappendix   
  4. 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   
  5. 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
  6. Boudt K, Caliskan D.  and Croux C. 2011. Robust explicit estimators of Weibull parameters. Metrika 73(2), 187-209. pdf
  7. Boudt K. and Croux C. 2010.  Robust M-estimation of multivariate GARCH models. Computational Statistics and Data Analysis 54, 2459-2469. pdf  code
  8. 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
  9. Peterson B. and Boudt K. Component VaR for a non-normal world. Risk,  November 2008.  Reprint in Asia Risk. pdf
  10. 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:

  1. 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.  
  2. 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      
  3. 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:

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

    Working papers:

  1. Boudt K., Danielsson J. and Laurent S. Robust forecasting of dynamic conditional correlation GARCH models. Submitted. pdf  webappendix
  2. Boudt K. and Zhang, J. 2010. Jump robust two time scale covariance estimation and realized volatility budgets. Submitted. pdf
  3. Boudt K., Carl P. and Peterson B. 2011. Asset allocation with Conditional Value-at-Risk Budgets. Submitted pdf
  4. Boudt K., Paulus, E. and Rosenthal, D. 2010. Funding liquidity, market liquidity and TED spread: A two-regime model. Work in progress pdf
  5. Boudt K., Ghys H. and Petitjean M. 2011. The dynamics of liquidity around price jumps.  Work in progress pdf
  6. Ardia, D. and Boudt K. 2012. The peer performance of hedge funds. Work in progress pdf
  7. Boudt, K., Cornelissen, J. and Croux C. 2012. The sustainability of mean variance and mean tracking error efficient portfolios. Work in progress 
  8. Boudt, K, Liu, F. and Sercu P. 2012. Equity's exposure to currencies: Beyonds the loglinear model. Work in progress
  9. 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

 Teaching

 Presentations and research stays