Nonlinear financial econometrics JoE special issue introduction

Autor: David Veredas, Olivier Scaillet, Jean-Michel Zakoian, Jeroen V.K. Rombouts

Publikováno v: Journal of Econometrics. 217:203-206

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::ceb2c74c33d18b6ee7f54e7dab4484f5
https://doi.org/10.1016/j.jeconom.2019.12.001

Relevant parameter changes in structural break models

Autor: Jeroen V.K. Rombouts, Arnaud Dufays

Publikováno v: Journal of Econometrics. 217:46-78

Structural break time series models, which are commonly used in macroeconomics and finance, capture unknown structural changes by allowing for abrupt changes to model parameters. However, many specifications suffer from an over-parametrization issue,

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::158cc5ded058631e35b7d762330571ea
https://doi.org/10.1016/j.jeconom.2019.10.008

Variance swap payoffs, risk premia and extreme market conditions

Autor: Jeroen V.K. Rombouts, Francesco Violante, Lars Stentoft

Publikováno v: Econometrics and Statistics
Econometrics and Statistics, Elsevier, 2020, 13, pp.106-124. ⟨10.1016/j.ecosta.2019.05.003⟩
Rombouts, J V K, Stentoft, L & Violante, F 2019, ' Variance swap payoffs, risk premia and extreme market conditions ', Econometrics and Statistics . https://doi.org/10.1016/j.ecosta.2019.05.003

The variance risk premium (VRP) is estimated directly from synthetic variance swap payoffs. Since variance swap payoffs are highly volatile, the VRP is extracted by using signal extraction techniques based on a state-space representation of the model

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9095e7c1c8e4f6f4f8ac356e0e957abe
https://hal.archives-ouvertes.fr/hal-03490098

A Hybrid Solid-State NMR and Electron Microscopy Structure-Determination Protocol for Engineering Advanced para-Crystalline Optical Materials

Autor: Karthick Babu Sai Sankar Gupta, Francesco Buda, Jeroen A. Rombouts, Koop Lammertsma, Gert T. Oostergetel, Huub J. M. de Groot, Brijith Thomas, Romano V. A. Orru

Publikováno v: Chemistry-a European Journal
Chemistry (Weinheim an Der Bergstrasse, Germany)
Chemistry, 23(14), 3280-3284. Wiley-VCH Verlag GmbH & Co. KGaA
Thomas, B, Rombouts, J, Oostergetel, G T, Gupta, K B S S, Buda, F, Lammertsma, K, Orru, R & de Groot, H J M 2017, ' A Hybrid Solid-State NMR and Electron Microscopy Structure-Determination Protocol for Engineering Advanced para-Crystalline Optical Materials ', Chemistry-A European Journal, vol. 23, no. 14, pp. 3280-3284 . https://doi.org/10.1002/chem.201700324
Chemistry-a European Journal, 23, 3280-3284
Chemistry-A European Journal, 23(14), 3280-3284. Wiley-VCH Verlag

Hybrid magic-angle spinning (MAS) NMR spectroscopy and TEM were demonstrated for de novo structure determination of para-crystalline materials with a bioinspired fused naphthalene diimide (NDI)–salphen–phenazine prototype light-harvesting compoun

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3f275461f5ee574bf2f9e8c16e779c96
http://www.scopus.com/inward/record.url?scp=85013350106&partnerID=8YFLogxK

Root-Tconsistent density estimation in GARCH models

Autor: Aurore Delaigle, Jeroen V.K. Rombouts, Alexander Meister

Publikováno v: Journal of Econometrics. 192:55-63

We consider a new nonparametric estimator of the stationary density of the logarithm of the volatility of the GARCH(1,1) model. This problem is particularly challenging since this density is still unknown, even in cases where the model parameters are

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::f5dbd9da2d647389c41b6dd84a974ddd
https://doi.org/10.1016/j.jeconom.2015.10.009