Kris Boudt

 

Assistant Professor of Finance at Lessius University College
Affiliated Researcher K.U.Leuven
Naamsestraat 69, 3000 Leuven - Belgium
Tel. +32 16 326728   E-mail:
Kris.Boudt (at) econ.kuleuven.be            
Curriculum vitae                                                                                   


 Research

    Peer-reviewed international publications:

  1. 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   
  2. 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
  3. Peterson B. and Boudt K. Component VaR for a non-normal world. Risk,  November 2008.  Reprint in Asia Risk. pdf
  4. Boudt K., Todorov V. and Upadhyaya S. 2009.  Nowcasting manufacturing value added for cross-country comparison.  Statistical Journal of the IAOS, forthcoming. pdf
  5. Boudt K, Caliskan D.  and Croux C. 2009. Robust explicit estimators of Weibull parameters. Metrika, forthcoming. pdf
  6. Boudt K. and Croux C. 2007.  Robust M-Estimation of Multivariate GARCH Models. Computational Statistics and Data Analysis, forthcoming. pdf  code

    Working papers:

  1. Boudt K., Croux C. and Laurent S. 2008.  Outlyingness weighted quadratic covariation. Submitted. pdf  
  2. Boudt K., Croux C. and Laurent S. 2008.  Robust estimation of intraweek periodicity in volatility and jump detection. Submitted. pdf  

    Work in progress:

  1. Boudt K., Carl P. and Peterson B. Portfolio optimization and risk budgets. 
  2. Boudt K., Ghys H. and Petitjean M. The dynamics of liquidity around price jumps. 
  3. Boudt K., Danielsson J. and Laurent S. Robust estimation of dynamic conditional correlation models. 

   Miscellaneous:

  1. Boudt K. 2008.  Presentation on robust statistical analysis. UNIDO research update 2008(2). pdf 
  2. Boudt K., Lahaye J. and Laurent S. 2009.  Realized volatility and intraday periodicity. Chapter 6 in GARCH 6.0. link    
  3. 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

 Presentations