| Multivariate GARCH models: a survey L Bauwens, S Laurent, JVK Rombouts Journal of applied econometrics 21 (1), 79-109, 2006 | 3084 | 2006 |
| On the forecasting accuracy of multivariate GARCH models S Laurent, JVK Rombouts, F Violante Journal of Applied Econometrics 27 (6), 934-955, 2012 | 284 | 2012 |
| Theory and inference for a Markov switching GARCH model L Bauwens, A Preminger, JVK Rombouts The Econometrics Journal 13 (2), 218-244, 2010 | 249 | 2010 |
| On loss functions and ranking forecasting performances of multivariate volatility models S Laurent, JVK Rombouts, F Violante Journal of Econometrics 173 (1), 1-10, 2013 | 176 | 2013 |
| Marginal likelihood for Markov-switching and change-point GARCH models L Bauwens, A Dufays, JVK Rombouts Journal of Econometrics 178, 508-522, 2014 | 129 | 2014 |
| Nonparametric density estimation for multivariate bounded data T Bouezmarni, JVK Rombouts Journal of statistical planning and inference 140 (1), 139-152, 2010 | 111 | 2010 |
| Nonparametric copula-based test for conditional independence with applications to Granger causality T Bouezmarni, JVK Rombouts, A Taamouti Journal of Business & Economic Statistics 30 (2), 275-287, 2012 | 93 | 2012 |
| Regime switching GARCH models L Bauwens, A Preminger, JVK Rombouts CORE Discussion Paper, 2006 | 77 | 2006 |
| The contribution of structural break models to forecasting macroeconomic series L Bauwens, G Koop, D Korobilis, JVK Rombouts Journal of Applied Econometrics 30 (4), 596-620, 2015 | 74 | 2015 |
| Multivariate mixed normal conditional heteroskedasticity L Bauwens, CM Hafner, JVK Rombouts Computational Statistics & Data Analysis 51 (7), 3551-3566, 2007 | 72 | 2007 |
| Semiparametric multivariate volatility models CM Hafner, JVK Rombouts Econometric Theory 23 (2), 251-280, 2007 | 64 | 2007 |
| Bayesian clustering of many GARCH models L Bauwens, JVK Rombouts Econometric Reviews 26 (2-4), 365-386, 2007 | 63 | 2007 |
| Asymptotic properties of the Bernstein density copula estimator for α-mixing data T Bouezmarni, JVK Rombouts, A Taamouti Journal of Multivariate Analysis 101 (1), 1-10, 2010 | 56 | 2010 |
| Nonparametric density estimation for positive time series T Bouezmarni, JVK Rombouts Computational Statistics & Data Analysis 54 (2), 245-261, 2010 | 52 | 2010 |
| Multivariate volatility forecasts for stock market indices I Wilms, J Rombouts, C Croux International Journal of Forecasting 37 (2), 484-499, 2021 | 50 | 2021 |
| Evaluating portfolio Value-at-Risk using semi-parametric GARCH models JVK Rombouts, M Verbeek Quantitative Finance 9 (6), 737-745, 2009 | 38 | 2009 |
| The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options J Rombouts, L Stentoft, F Violante International Journal of Forecasting 30 (1), 78-98, 2014 | 34* | 2014 |
| Multivariate option pricing with time varying volatility and correlations JVK Rombouts, L Stentoft Journal of Banking & Finance 35 (9), 2267-2281, 2011 | 33 | 2011 |
| On marginal likelihood computation in change-point models L Bauwens, JVK Rombouts Computational Statistics & Data Analysis 56 (11), 3415-3429, 2012 | 31 | 2012 |
| Estimation of temporally aggregated multivariate GARCH models CM Hafner, JVK Rombouts Journal of Statistical Computation and Simulation 77 (8), 629-650, 2007 | 31 | 2007 |
Luc BauwensProfessor of Economics, Université catholique de LouvainVerified email at uclouvain.be