Personal profile

Personal information

Kris Boudt is part time Associate Professor at the Econometrics and Finance Department at the Vrije Universiteit Amsterdam, and associate professor in Finance of the Vrije Univesiteit Brussel (VUB). He is a research partner of Finvex Group and affiliated researcher at KU Leuven. By training he has a MSc degree in economics from the University of Namur and a PhD from the KU Leuven (2008). Previously he was Assistant Professor at the KU Leuven (2009-2012) and guest lecturer at the University of Illinois at Chicago, Southwestern University of Finance and Economics and the University of Aix-Marseille. 

Research

The research of Kris Boudt aims at developing econometric methodology for analyzing financial markets and optimizing portfolio risk. His research results were used to create several innovative financial products, such as the NYSE/Euronext CAC low risk index. Kris Boudt has published in leading international finance and statistics journals including the International Journal of Forecasting, Journal of Financial Econometrics, Journal of Financial Markets, Journal of Portfolio Management, Review of Finance and Statistics and Computing, among others. Kris Boudt is in the editorial board of quantitative finance letters and is a coauthor of the highfrequency and PortfolioAnalytics packages.

Ancillary activities

No ancillary activities

Last update Ancillary Activities: Amsterdam (2018-02-23)

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Research Output 2008 2018

Block rearranging elements within matrix columns to minimize the variability of the row sums

Boudt, K. M. R., Jakobsons, E. & Vanduffel, S. 2018 In : 4OR. p. 1-20 20 p.

Research output: Scientific - peer-reviewArticle

The peer performance ratios of hedge funds

Ardia, D. & Boudt, K. 1 Feb 2018 In : Journal of Banking and Finance. 87, p. 351-368 18 p.

Research output: Scientific - peer-reviewArticle

Funding liquidity, market liquidity and TED spread: A two-regime model

Boudt, K., Paulus, E. C. S. & Rosenthal, D. W. R. 2017 In : Journal of Empirical Finance. 43, September, p. 143-158 16 p.

Research output: Scientific - peer-reviewArticle

Generalized financial ratios to predict the equity premium

Algaba, A. & Boudt, K. 2017 In : Economic Modelling. 66, November, p. 244-257

Research output: Scientific - peer-reviewArticle

Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

Boudt, K., Laurent, S., Lunde, A., Quaedvlieg, R. & Sauri, O. Feb 2017 In : Journal of Econometrics. 196, 2, p. 347-367

Research output: Scientific - peer-reviewArticle