2020

• Dynamics of variance risk premia: a new model for disentangling the price of risk

  Journal of econometrics, vol. 217, iss. 2, pp. 312-334, 2020.
  By J. V. K. Rombouts, L. Stentoft, and F. Violante

  [Bibtex]

  @article{Rombouts2020312,
  author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
  title={Dynamics of variance risk premia: A new model for disentangling the price of risk},
  journal={Journal of Econometrics},
  year={2020},
  volume={217},
  number={2},
  pages={312-334},
  doi={10.1016/j.jeconom.2019.12.006},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076853471&doi=10.1016%2fj.jeconom.2019.12.006&partnerID=40&md5=bf1b4723a0c7e7676f60edf4b05e382b},
  publisher={Elsevier Ltd},
  }

• Pricing individual stock options using both stock and market index information

  Journal of banking and finance, vol. 111, 2020.
  By J. V. K. Rombouts, L. Stentoft, and F. Violante

  [Bibtex]

  @article{Rombouts2020,
  author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
  title={Pricing individual stock options using both stock and market index information},
  journal={Journal of Banking and Finance},
  year={2020},
  volume={111},
  doi={10.1016/j.jbankfin.2019.105727},
  art_number={105727},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076827272&doi=10.1016%2fj.jbankfin.2019.105727&partnerID=40&md5=bce213a531596495a52f2059c11320c7},
  publisher={Elsevier B.V.},
  }

• Variance swap payoffs, risk premia and extreme market conditions

  Econometrics and statistics, vol. 13, pp. 106-124, 2020.
  By J. V. K. Rombouts, L. Stentoft, and F. Violante

  [Bibtex]

  @article{Rombouts2020106,
  author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
  title={Variance swap payoffs, risk premia and extreme market conditions},
  journal={Econometrics and Statistics},
  year={2020},
  volume={13},
  pages={106-124},
  doi={10.1016/j.ecosta.2019.05.003},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85068093458&doi=10.1016%2fj.ecosta.2019.05.003&partnerID=40&md5=80d32ecdc375592021fc41838ea7ec99},
  publisher={Elsevier B.V.},
  }

2014

• Cfenetwork: the annals of computational and financial econometrics: 2nd issue

  Computational statistics and data analysis, vol. 76, pp. 1-3, 2014.
  By E. J. Kontoghiorghes, H. K. Van Dijk, D. A. Belsley, T. Bollerslev, F. X. Diebold, J. -M. Dufour, R. Engle, A. Harvey, S. J. Koopman, H. Pesaran, P. C. B. Phillips, R. J. Smith, M. West, Q. Yao, A. Amendola, M. Billio, C. W. S. Chen, C. Chiarella, A. Colubi, M. Deistler, C. Francq, M. Hallin, E. Jacquier, K. Judd, G. Koop, H. Lütkepohl, J. G. MacKinnon, S. Mittnik, Y. Omori, D. S. G. Pollock, T. Proietti, J. V. K. Rombouts, O. Scaillet, W. Semmler, M. K. P. So, M. Steel, R. Taylor, E. Tzavalis, J. -M. Zakoian, H. Peter Boswijk, A. Luati, and J. Maheu

  [Bibtex]

  @article{Kontoghiorghes20141,
  author={Kontoghiorghes, E.J. and Van Dijk, H.K. and Belsley, D.A. and Bollerslev, T. and Diebold, F.X. and Dufour, J.-M. and Engle, R. and Harvey, A. and Koopman, S.J. and Pesaran, H. and Phillips, P.C.B. and Smith, R.J. and West, M. and Yao, Q. and Amendola, A. and Billio, M. and Chen, C.W.S. and Chiarella, C. and Colubi, A. and Deistler, M. and Francq, C. and Hallin, M. and Jacquier, E. and Judd, K. and Koop, G. and Lütkepohl, H. and MacKinnon, J.G. and Mittnik, S. and Omori, Y. and Pollock, D.S.G. and Proietti, T. and Rombouts, J.V.K. and Scaillet, O. and Semmler, W. and So, M.K.P. and Steel, M. and Taylor, R. and Tzavalis, E. and Zakoian, J.-M. and Peter Boswijk, H. and Luati, A. and Maheu, J.},
  title={CFEnetwork: The Annals of computational and financial econometrics: 2nd issue},
  journal={Computational Statistics and Data Analysis},
  year={2014},
  volume={76},
  pages={1-3},
  doi={10.1016/j.csda.2014.04.006},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901451542&doi=10.1016%2fj.csda.2014.04.006&partnerID=40&md5=74f8e8ce1c760e8a1f879dfd8dce5089},
  publisher={Elsevier B.V.},
  }