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Papers:
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Boudt K., Cornelissen, J. and Croux C. (2012).
The Gaussian rank correlation estimator: robustness
properties.
Statistics and Computing 22,
471-483.
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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.
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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)
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Boudt K., Cornelissen, J., Croux, C. (2011). The
sustainability of mean-variance and mean-tracking error
efficient portfolios. Working paper.
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Software:
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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
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