Financial econometrics, Quantitative risk management, Option pricing, Forecasting, Statistics, Time series analysis, Bayesian inference


Professor Jeroen VK Rombouts joined ESSEC Business School in January 2013. He combines rich data sets with analytics tools in a variety of contexts. His research outcomes are published in international peer reviewed journals. He teaches courses from Basic Statistics, Big data Strategy/Analytics to Advanced Econometrics in Master of Science, PhD and Executive programs. He has been Visiting Scholar at several universities such as University of Pittsburg, Tilburg University, Erasmus University Rotterdam, Aarhus University, KULeuven, and CORE (Université catholique de Louvain) as a research associate among others. He is an expert consultant in business analytics, finance and forecasting. Prior to joining ESSEC Business School, Jeroen was Associate Professor at HEC Montréal (2004-2012).

Professor Rombouts research interests focus on financial econometrics, forecasting, time series, nonparametric statistics and Bayesian inference with applications in the field of finance and macro-economics. He serves on the editorial board of Journal of Business and Economics Statistics, International Journal of Forecasting, and Computational Statistics and Data Analysis.

He has published in various international journals such as Journal of Econometrics, Journal of Business and Economics Statistics, Journal of Applied Econometrics, Econometric Theory, Econometrics Journal, Journal of Multivariate Analysis, Computational Statistics and Data Analysis, Quantitative Finance, Journal of Banking and Finance, among others.

He organizes invited sessions for the International Conference on Computational and Financial Econometrics (CFE) and the International Symposium on Forecasting (ISF). Thanks to a major individual European Marie Curie Grant, he organizes workshops and conferences at ESSEC in the field of big data analytics, econometrics and finance.
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CIRANO Publications by Jeroen Rombouts

As an author