Overview
Kris Boudt is a financial econometrician (Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam) working on volatility and dependence modeling, robust and high-frequency methods, portfolio risk, and reproducible R software for finance.
Key Contributions / Features
- MSGARCH R package (Ardia-Bluteau-Boudt-Catania-Trottier 2019): co-author of the R implementation of Markov-switching GARCH models. Journal of Statistical Software 91(4).
- Contributor to widely used R finance packages (e.g. PerformanceAnalytics, highfrequency) for risk and high-frequency volatility.
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