Member's Details
Associate Fellows
ESSEC Business School (France)
+33 (0) 6 18 70 51 54
Ph.D., Econometrics, Université catholique de Louvain (Belgium)
Department of Information Systems, Decision Sciences and Statistics (IDS)
ESSEC Business School (France)
Domain(s) of interest
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...

List of scientific publications at CIRANO by Jeroen Rombouts

Code Publications
2012s-05 WP Jeroen Rombouts, Lars Peter Stentoft et Francesco Violente. The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options
2011s-72 WP Luc Bauwens, Arnaud Dufays et Jeroen Rombouts. Marginal Likelihood for Markov-Switching and Change-Point Garch Models
2011s-13 WP Luc Bauwens, Gary Koop, Dimitris Korobilis et Jeroen Rombouts. A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models
2010s-38 WP Jeroen Rombouts et Lars Peter Stentoft. Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
2010s-23 WP Jeroen Rombouts et Lars Peter Stentoft. Multivariate Option Pricing With Time Varying Volatility and Correlations
2009s-45 WP Sébastien Laurent, Jeroen Rombouts et Francesco Violente. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
2009s-28 WP Taoufik Bouezmarni, Jeroen Rombouts et Abderrahim Taamouti. A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality
2009s-19 WP Jeroen Rombouts et Lars Peter Stentoft. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models

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