Ghent University Academic Bibliography

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Spillovers between cryptocurrencies and financial markets in a global framework

Darko B. Vuković, Michael Frömmel (UGent) , Samuel A. Vigne and Vyacheslav Zinovev

(2025) JOURNAL OF INTERNATIONAL MONEY AND FINANCE. 150.
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The variance implied conditional correlation

Andres Algaba, Kris Boudt (UGent) and Steven Vanduffel

(2020) EUROPEAN JOURNAL OF FINANCE. 26(2-3). p.200-222
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High-dimensional multivariate forecasting with low-rank Gaussian Copula processes

David Salinas, Michael Bohlke-Schneider, Laurent Callot, Roberto Medico and Jan Gasthaus

(2019) ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 32 (NIPS 2019). In Advances in Neural Information Processing Systems 32.
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Markov-switching GARCH models in R : the MSGARCH package

David Ardia, Keven Bluteau, Kris Boudt (UGent) , Leopoldo Catania and Denis-Alexandre Trottier

(2019) JOURNAL OF STATISTICAL SOFTWARE. 91(4).
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Forecasting risk with Markov-switching GARCH models : a large-scale performance study

David Ardia, Keven Bluteau, Kris Boudt (UGent) and Leopoldo Catania

(2018) INTERNATIONAL JOURNAL OF FORECASTING. 34(4). p.733-747
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Packet loss reduction during rerouting using network traffic analysis

Wouter Tavernier (UGent) , D Papadimitriou, Didier Colle (UGent) , Mario Pickavet (UGent) and Piet Demeester (UGent)

(2013) TELECOMMUNICATION SYSTEMS. 52(2). p.861-879
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Estimation of stable distributions by indirect inference

René Garcia, Eric Renault and David Veredas (UGent)

(2011) JOURNAL OF ECONOMETRICS. 161(2). p.325-337
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Temporal aggregation of univariate and multivariate time series models : a survey

Andrea Silvestrini and David Veredas (UGent)

(2008) JOURNAL OF ECONOMIC SURVEYS. 22(3). p.458-497
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The stochastic conditional duration model : a latent variable model for the analysis of financial durations

Luc Bauwens and David Veredas (UGent)

(2004) JOURNAL OF ECONOMETRICS. 119(2). p.381-412

Academic Bibliography

Spillovers between cryptocurrencies and financial markets in a global framework

The variance implied conditional correlation

High-dimensional multivariate forecasting with low-rank Gaussian Copula processes

Markov-switching GARCH models in R : the MSGARCH package

Forecasting risk with Markov-switching GARCH models : a large-scale performance study

Packet loss reduction during rerouting using network traffic analysis

Estimation of stable distributions by indirect inference

Temporal aggregation of univariate and multivariate time series models : a survey

The stochastic conditional duration model : a latent variable model for the analysis of financial durations

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