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:

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
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: Journal of the International Association of Official Statistics 26 (1-2), 15-20. 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 code

Miscellaneous publications:

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
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

Work in progress:

Boudt K., Carl P. and Peterson B. Portfolio Optimization with Conditional Value-at-Risk Budgets. link
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.
Boudt K., Cornelissen J. and Croux C. Robust realized covariance estimation.

Software:

Cornelissen J. and Boudt K. RTAQ: Tools for the analysis of trades and quotes in R. link
Contributions to Ox-package G@RCH, the R package PerformanceAnalytics and the VBA applications of PerformanceAnalysis.

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.

Presentations

2010: XI Workshop on Quantitative Finance, Palermo, R/Finance conference, 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).