Jeroen V K Rombouts

Datos Biográficos

ID8920150
NOMBREJeroen V K Rombouts
NOMBRESJeroen V K
APELLIDORombouts
FIRMAROMBOUTS J V K
AFILIACIONESUCLouvain
VERIFICADONo
TOTAL DE OBRAS3
TOTAL DE CITAS0
TOTAL COMO AUTOR3
TOTAL COMO EDITOR0
PRIMER AÑO DE PUBLICACIÓN2006
AÑO MÁS RECIENTE DE PUBLICACIÓN2021
ÍNDICE H0

  • Sparse change‐point VAR models

    Open AccessArnaud Dufays, Zhuo Li et al.ARTICLEJournal of Applied Econometrics2021

    Change‐point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP‐VAR model which determines which parameters truly vary when a break is detected. By doing so, the number of new parameters to be estimated at each regime is drastically reduced and the break dynamics becomes easier to be interpreted. The Sparse CP‐VAR model disentangles the dynamics o…

  • Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality

    Taoufik Bouezmarni, Jeroen V K Rombouts et al.ARTICLEJournal of Business and Economic…2012

    This article proposes a new nonparametric test for conditional independence that can directly be applied to test for Granger causality. Based on the comparison of copula densities, the test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in general settings since there is no restriction on the dimension of the time series data. In fact, to apply the test, only a bandwidth is neede…

  • Multivariate GARCH models

    Open AccessLuc Bauwens, Sébastien Laurent et al.ARTICLEJournal of Applied Econometrics2006

    This paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.