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Biography

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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Publications by Jeroen Rombouts

8 publications
CS
February 1, 2012

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options

Jeroen Rombouts, Lars Peter Stentoft and Francesco Violente

Innovation and Simulation
CS
November 1, 2011

Marginal Likelihood for Markov-Switching and Change-Point Garch Models

Luc Bauwens, Arnaud Dufays and Jeroen Rombouts

Simulation
CS
January 1, 2011

A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models

Luc Bauwens, Gary Koop, Dimitris Korobilis and Jeroen Rombouts

Simulation
CS
September 1, 2010

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

Jeroen Rombouts and Lars Peter Stentoft

Simulation
CS
May 1, 2010

Multivariate Option Pricing With Time Varying Volatility and Correlations

Jeroen Rombouts and Lars Peter Stentoft

Simulation
CS
November 1, 2009

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Sébastien Laurent, Jeroen Rombouts and Francesco Violente

Simulation
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