Research:

contact information

• Papers:
  • Boudt K., Cornelissen, J. and Croux C. (2012).
    The Gaussian rank correlation estimator: robustness properties. Statistics and Computing 22, 471-483.
     
  • Boudt K., Cornelissen J. and Croux C. 
    Jump robust daily covariance estimation by disentangling variance and correlation components. Forthcoming in Computational Statistics
    and Data Analysis.
     
  • Boudt K., Cornelissen, J., Croux, C. and S. Laurent. Nonparametric tests for intraday jumps:  Impact of periodicity and microstructure noise. Chapter in Handbook of financial econometrics 2011. (forthcoming)
     
  • Boudt K., Cornelissen, J., Croux, C. (2011). The sustainability of mean-variance and mean-tracking error efficient portfolios. Working paper.

   

• Software:
  • Cornelissen J. and Boudt K. RTAQ: Tools for the analysis of trades and quotes in R.

Jonathan Cornelissen
PhD student K.U.Leuven

Naamsestraat 69 (HOG 05.123)
3000 Leuven - Belgium
Tel. +32 16 326728  

E-mail: Jonathan.cornelissen at econ.kuleuven.be