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Details about Luc Bauwens

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Homepage:http://perso.uclouvain.be/luc.bauwens/Bauwens.htm
Postal address:34 Voie du Roman Pays B-1348 Louvain La Neuve Belgium
Workplace:Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain (Economics School of Louvain), Université Catholique de Louvain (Catholic University of Louvain-la-Neuve), (more information at EDIRC)

Access statistics for papers by Luc Bauwens.

Last updated 2019-06-08. Update your information in the RePEc Author Service.

Short-id: pba4


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Working Papers

2018

  1. Nonlinearities and Regimes in Conditional Correlations with Different Dynamics
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) Downloads
  2. State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Econometrics (2018)

2017

  1. A dynamic component model for forecasting high-dimensional realized covariance matrices
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) Downloads View citations (5)

    See also Journal Article in Econometrics and Statistics (2017)
  2. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
    Post-Print, HAL View citations (4)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (4)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2015) Downloads View citations (7)

    See also Journal Article in Journal of Business & Economic Statistics (2017)

2016

  1. A New Approach to Volatility Modeling: The High-Dimensional Markov Model
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques (2016) Downloads View citations (1)
  2. Estimation and Empirical Performance of Non-Scalar DCC Models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  3. Forecasting comparison of long term component dynamic models for realized covariance matrices
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) Downloads View citations (7)

    See also Journal Article in Annals of Economics and Statistics (2016)
  4. Modeling the dependence of conditional correlations on market volatility
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article in Journal of Business & Economic Statistics (2016)
  5. Multiplicative Conditional Correlation Models for Realized Covariance Matrices
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

2015

  1. The Contribution of Structural Break Models to Forecating Macroeconomic Series
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2011) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2015)

2014

  1. Estimation and empirical performance of non-scalar dynamic conditional correlation models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2016)

2013

  1. Computationally efficient inference procedures for vast dimensional realized covariance models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012) Downloads View citations (2)
  2. Modeling the Dependence of Conditional Correlations on Volatility
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia Downloads View citations (11)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) Downloads View citations (5)

2012

  1. Dynamic conditional correlation models for realized covariance matrices
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (14)
  2. Forecasting long memory processes subject to structural breaks
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in Journal of Econometrics (2013)
  3. On marginal likelihood computation in change-point models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) Downloads
    Cahiers de recherche, CIRPEE (2009) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2012)

2011

  1. A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (7)
    Also in CIRANO Working Papers, CIRANO (2011) Downloads View citations (7)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads View citations (5)
    Cahiers de recherche, CIRPEE (2011) Downloads View citations (10)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2015)
  2. Bayesian methods
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    See also Chapter (2013)
  3. Estimating and forecasting structural breaks in financial time series
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (6)
  4. Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
    Cahiers de recherche, CIRPEE Downloads View citations (3)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (16)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (3)
    CIRANO Working Papers, CIRANO (2011) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2014)
  5. Multivariate Volatility Modeling of Electricity Futures
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (22)

    See also Journal Article in Journal of Applied Econometrics (2013)
  6. The Resistible Decline of European Science
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (5)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads View citations (3)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (1)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) Downloads View citations (2)

    See also Journal Article in Recherches économiques de Louvain (2011)
  7. Volatility models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (23)

2010

  1. General-to-specific modelling of exchange rate volatility: a forecast evaluation
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (1)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) Downloads View citations (2)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (6)

    See also Journal Article in International Journal of Forecasting (2010)
  2. Theory and inference for a Markov switching Garch model
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (14)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) Downloads View citations (5)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads View citations (5)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007) Downloads View citations (5)
    Cahiers de recherche, CIRPEE (2007) Downloads View citations (7)

    See also Journal Article in Econometrics Journal (2010)

2009

  1. A component GARCH model with time varying weights
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) Downloads View citations (2)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads View citations (1)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2009)
  2. Efficient importance sampling for ML estimation of SCD models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) Downloads View citations (7)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads

    See also Journal Article in Computational Statistics & Data Analysis (2009)
  3. Modelling financial high frequency data using point processes
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (9)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2007) Downloads View citations (3)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (3)
  4. The moments of Log-ACD models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) Downloads View citations (16)

2007

  1. Bayesian clustering of many GARCH models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) Downloads View citations (2)

    See also Journal Article in Econometric Reviews (2007)
  2. Bayesian inference for the mixed conditional heteroskedasticity model
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) Downloads View citations (3)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) Downloads View citations (3)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2006) Downloads

    See also Journal Article in Econometrics Journal (2007)
  3. Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (2)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (1)

    See also Journal Article in Econometric Reviews (2007)
  4. High frequency financial econometrics. Recent developments
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (38)
  5. Multivariate mixed normal conditional heteroskedasticity
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (2)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (1)

    See also Journal Article in Computational Statistics & Data Analysis (2007)

2006

  1. Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    See also Journal Article in Monetary and Economic Studies (2006)
  2. Exchange rate volatility and the mixture of distribution hypothesis
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) Downloads View citations (3)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) Downloads View citations (2)

    See also Journal Article in Empirical Economics (2006)
  3. Intra-Daily FX Optimal Portfolio Allocation
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques Downloads View citations (2)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (2)
  4. Multivariate GARCH models: a survey
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (123)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) Downloads View citations (44)

    See also Journal Article in Journal of Applied Econometrics (2006)
  5. Regime switching GARCH models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (12)
    Also in Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2006) Downloads View citations (14)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (15)
  6. Stochastic conditional intensity processes
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
    See also Journal Article in Journal of Financial Econometrics (2006)

2005

  1. A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (18)
    See also Journal Article in Journal of Business & Economic Statistics (2005)
  2. High frequency finance
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
  3. News announcements, market activity and volatility in the euro/dollar foreign exchange market
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (10)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) Downloads View citations (3)

    See also Journal Article in Journal of International Money and Finance (2005)

2004

  1. A comparison of financial duration models via density forecast
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (29)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) Downloads View citations (7)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) Downloads View citations (7)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (29)

    See also Journal Article in International Journal of Forecasting (2004)
  2. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) Downloads

    See also Journal Article in Journal of Econometrics (2004)
  3. BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads
  4. Econometrics
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) Downloads View citations (29)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004)
  5. The stochastic conditional duration model: a latent factor model for the analysis of financial durations
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (42)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) Downloads View citations (25)
  6. The stochastic conditional duration model: a latent variable model for the analysis of financial durations
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (9)
    See also Journal Article in Journal of Econometrics (2004)

2003

  1. Asymmetric ACD models: Introducing price information in ACD models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
    See also Journal Article in Empirical Economics (2003)
  2. Dynamic latent factor models for intensity processes
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (13)
  3. Explaining Adaptive Radial-Based Direction Sampling
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  4. Ranking economics departments in Europe: a statistical approach
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (16)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) Downloads View citations (62)

    See also Journal Article in Journal of the European Economic Association (2003)

2002

  1. A New Class of Multivariate skew Densities, with Application to GARCH Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (35)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2002) Downloads View citations (11)
  2. Adaptive Polar Sampling
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (5)
  3. Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
  4. Bayesian option pricing using asymmetric GARCH models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
    Also in G.R.E.Q.A.M., Universite Aix-Marseille III (2000) View citations (1)

    See also Journal Article in Journal of Empirical Finance (2002)
  5. Multivariate GARCH models and their Estimation
    Computing in Economics and Finance 2002, Society for Computational Economics

2000

  1. ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (3)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) Downloads View citations (6)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) Downloads
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) Downloads View citations (6)
  2. Art experts and auctions Are pre-sale estimates unbiased and fully informative?
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (27)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2000) Downloads View citations (16)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) View citations (4)
  3. Identifying long-run behaviour with non-stationary data
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  4. Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  5. The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (18)
    See also Journal Article in Annals of Economics and Statistics (2000)

1999

  1. Recent developments in the econometrics of financial markets using intra-day data
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  2. Trends and breaking points in the Bayesian econometric literature
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

1998

  1. Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998)
  2. Asymmetric ACD models: introducing price information in ACD models with a two state transition model
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
  3. Bayesian inference on GARCH models using the Gibbs sampler
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (9)
    Also in G.R.E.Q.A.M., Universite Aix-Marseille III (1996) View citations (16)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1996) Downloads

    See also Journal Article in Econometrics Journal (1998)
  4. Gibbs sampling approach to cointegration
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) Downloads View citations (4)

1997

  1. Bayesian Option Pricing Using Asymmetric GARCH
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (3)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) Downloads View citations (2)
  2. Modelling interest rates with a cointegrated VAR-GARCH model
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (5)
  3. The logarithmic ACD model: an application to market microstructure and NASDAQ
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)

1996

  1. Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  2. Identification restrictions and posterior densities in cointegrated Gaussian VAR system
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1994) Downloads View citations (18)

1995

  1. Bayesian and classical econometric modeling of time series
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  2. On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

1994

  1. Do Art Experts make Rational Estimates of Pre-Sale Prices ?
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  2. Estimating End-use Demand: a Bayesian Approach
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1992) Downloads View citations (1)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (1992) Downloads

    See also Journal Article in Journal of Business & Economic Statistics (1994)

1993

  1. Approximate HPD regions for testing residual autocorrelation using augmented regressions
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1992) Downloads

1991

  1. Bayesian diagnostics for heterogeneity
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article in Annals of Economics and Statistics (1991)
  2. The "pathology" of the natural conjugate prior density in the regression model
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in G.R.E.Q.A.M., Universite Aix-Marseille III (1990) View citations (1)

    See also Journal Article in Annals of Economics and Statistics (1991)
  3. The law of large (small?) numbers and the demand for insurance
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    Also in G.R.E.Q.A.M., Universite Aix-Marseille III (1990)

1989

  1. BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED
    Econometric Institute Archives, Erasmus University Rotterdam Downloads

1988

  1. Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1987)

    See also Journal Article in Journal of Econometrics (1988)

1985

  1. A 1-1 poly-t random variable generator with application to Monte Carlo integration
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (1985)

1983

  1. An export model for the Belgian industry
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in European Economic Review (1983)
  2. Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1983) Downloads

Journal Articles

2018

  1. State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering
    Econometrics, 2018, 6, (4), 1-22 Downloads
    See also Working Paper (2018)

2017

  1. A dynamic component model for forecasting high-dimensional realized covariance matrices
    Econometrics and Statistics, 2017, 1, (C), 40-61 Downloads View citations (5)
    See also Working Paper (2017)
  2. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
    Journal of Business & Economic Statistics, 2017, 35, (2), 162-182 Downloads View citations (4)
    See also Working Paper (2017)

2016

  1. Estimation and empirical performance of non-scalar dynamic conditional correlation models
    Computational Statistics & Data Analysis, 2016, 100, (C), 17-36 Downloads View citations (5)
    See also Working Paper (2014)
  2. Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices
    Annals of Economics and Statistics, 2016, (123-124), 103-134 Downloads View citations (3)
    See also Working Paper (2016)
  3. Modeling the Dependence of Conditional Correlations on Market Volatility
    Journal of Business & Economic Statistics, 2016, 34, (2), 254-268 Downloads View citations (2)
    See also Working Paper (2016)

2015

  1. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
    Journal of Applied Econometrics, 2015, 30, (4), 596-620 Downloads View citations (24)
    See also Working Paper (2015)
    Working Paper (2011)

2014

  1. A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
    Journal of Empirical Finance, 2014, 29, (C), 207-229 Downloads View citations (8)
  2. Marginal likelihood for Markov-switching and change-point GARCH models
    Journal of Econometrics, 2014, 178, (P3), 508-522 Downloads View citations (21)
    See also Working Paper (2011)

2013

  1. Forecasting a long memory process subject to structural breaks
    Journal of Econometrics, 2013, 177, (2), 171-184 Downloads View citations (6)
    See also Working Paper (2012)
  2. MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
    Journal of Applied Econometrics, 2013, 28, (5), 743-761 Downloads View citations (19)
    See also Working Paper (2011)

2012

  1. On marginal likelihood computation in change-point models
    Computational Statistics & Data Analysis, 2012, 56, (11), 3415-3429 Downloads View citations (6)
    See also Working Paper (2012)

2011

  1. The Resistible Decline of European Science
    Recherches économiques de Louvain, 2011, 77, (4), 5-31 Downloads View citations (3)
    See also Working Paper (2011)

2010

  1. General-to-specific modelling of exchange rate volatility: A forecast evaluation
    International Journal of Forecasting, 2010, 26, (4), 885-907 Downloads View citations (9)
    See also Working Paper (2010)
  2. Intradaily dynamic portfolio selection
    Computational Statistics & Data Analysis, 2010, 54, (11), 2400-2418 Downloads View citations (4)
  3. Theory and inference for a Markov switching GARCH model
    Econometrics Journal, 2010, 13, (2), 218-244 Downloads View citations (43)
    See also Working Paper (2010)

2009

  1. A Component GARCH Model with Time Varying Weights
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (2), 1-33 Downloads View citations (24)
    See also Working Paper (2009)
  2. Efficient importance sampling for ML estimation of SCD models
    Computational Statistics & Data Analysis, 2009, 53, (6), 1974-1992 Downloads View citations (12)
    See also Working Paper (2009)

2007

  1. Bayesian Clustering of Many Garch Models
    Econometric Reviews, 2007, 26, (2-4), 365-386 Downloads View citations (16)
    See also Working Paper (2007)
  2. Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
    Econometric Reviews, 2007, 26, (2-4), 469-486 Downloads View citations (7)
    See also Working Paper (2007)
  3. Bayesian inference for the mixed conditional heteroskedasticity model
    Econometrics Journal, 2007, 10, (2), 408-425 Downloads View citations (11)
    See also Working Paper (2007)
  4. Multivariate mixed normal conditional heteroskedasticity
    Computational Statistics & Data Analysis, 2007, 51, (7), 3551-3566 Downloads View citations (30)
    See also Working Paper (2007)
  5. The Econometrics of Industrial Organization
    Journal of Applied Econometrics, 2007, 22, (7), 1153-1156 Downloads View citations (1)

2006

  1. Causality and exogeneity in econometrics
    Journal of Econometrics, 2006, 132, (2), 305-309 Downloads View citations (3)
  2. Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange
    Monetary and Economic Studies, 2006, 24, (1), 1-23 Downloads View citations (3)
    See also Working Paper (2006)
  3. Editor’s introduction
    Empirical Economics, 2006, 30, (4), 791-794 Downloads View citations (1)
  4. Exchange rate volatility and the mixture of distribution hypothesis
    Empirical Economics, 2006, 30, (4), 889-911 Downloads View citations (22)
    See also Working Paper (2006)
  5. Multivariate GARCH models: a survey
    Journal of Applied Econometrics, 2006, 21, (1), 79-109 Downloads View citations (745)
    See also Working Paper (2006)
  6. Stochastic Conditional Intensity Processes
    Journal of Financial Econometrics, 2006, 4, (3), 450-493 Downloads View citations (42)
    See also Working Paper (2006)

2005

  1. A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
    Journal of Business & Economic Statistics, 2005, 23, 346-354 Downloads View citations (82)
    See also Working Paper (2005)
  2. News announcements, market activity and volatility in the euro/dollar foreign exchange market
    Journal of International Money and Finance, 2005, 24, (7), 1108-1125 Downloads View citations (92)
    See also Working Paper (2005)

2004

  1. A comparison of financial duration models via density forecasts
    International Journal of Forecasting, 2004, 20, (4), 589-609 Downloads View citations (75)
    See also Working Paper (2004)
  2. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
    Journal of Econometrics, 2004, 123, (2), 201-225 Downloads View citations (15)
    See also Working Paper (2004)
  3. Recent advances in Bayesian econometrics
    Journal of Econometrics, 2004, 123, (2), 197-199 Downloads
  4. The stochastic conditional duration model: a latent variable model for the analysis of financial durations
    Journal of Econometrics, 2004, 119, (2), 381-412 Downloads View citations (77)
    See also Working Paper (2004)

2003

  1. Asymmetric ACD models: Introducing price information in ACD models
    Empirical Economics, 2003, 28, (4), 709-731 Downloads View citations (40)
    See also Working Paper (2003)
  2. Ranking Economics Departments in Europe: A Statistical Approach
    Journal of the European Economic Association, 2003, 1, (6), 1367-1401 Downloads View citations (95)
    See also Working Paper (2003)

2002

  1. Bayesian option pricing using asymmetric GARCH models
    Journal of Empirical Finance, 2002, 9, (3), 321-342 Downloads View citations (21)
    See also Working Paper (2002)

2000

  1. The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
    Annals of Economics and Statistics, 2000, (60), 117-149 Downloads View citations (39)
    See also Working Paper (2000)

1998

  1. Bayesian inference on GARCH models using the Gibbs sampler
    Econometrics Journal, 1998, 1, (ConferenceIssue), C23-C46 View citations (73)
    See also Working Paper (1998)

1996

  1. Editor's introduction
    Journal of Econometrics, 1996, 75, (1), 1-5 Downloads View citations (1)

1995

  1. Editors' introduction Bayesian and classical econometric modeling of time series
    Journal of Econometrics, 1995, 69, (1), 1-4 Downloads

1994

  1. Estimating End-Use Demand: A Bayesian Approach
    Journal of Business & Economic Statistics, 1994, 12, (2), 221-31 View citations (14)
    See also Working Paper (1994)

1991

  1. Bayesian Diagnostics for Heterogeneity
    Annals of Economics and Statistics, 1991, (20-21), 17-40 Downloads View citations (1)
    See also Working Paper (1991)
  2. The 'pathologie' of the Natural Conjugate Prior Density in the Regression Model
    Annals of Economics and Statistics, 1991, (23), 49-64 Downloads
    See also Working Paper (1991)

1988

  1. Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods
    Journal of Econometrics, 1988, 38, (1-2), 39-72 Downloads View citations (31)
    See also Working Paper (1988)
  2. Inter-industry and intra-industry specialization in manufactured goods
    Review of World Economics (Weltwirtschaftliches Archiv), 1988, 124, (1), 1-13 Downloads View citations (3)
  3. The determinants of intra-European trade in manufactured goods
    European Economic Review, 1988, 32, (7), 1421-1437 Downloads View citations (12)

1987

  1. Intra-industry Specialisation in a Multi-country and Multi-industry Framework
    Economic Journal, 1987, 97, (388), 923-39 Downloads View citations (72)
  2. Théorie de l’information et diagnostic médical: une analyse coût-efficacité
    L'Actualité Economique, 1987, 63, (2), 243-255 Downloads

1985

  1. A 1-1 poly-t random variable generator with application to Monte Carlo integration
    Journal of Econometrics, 1985, 29, (1-2), 19-46 Downloads View citations (7)
    See also Working Paper (1985)

1983

  1. An export model for the Belgian industry
    European Economic Review, 1983, 22, (3), 265-276 Downloads View citations (1)
    See also Working Paper (1983)

Books

2000

  1. Bayesian Inference in Dynamic Econometric Models
    OUP Catalogue, Oxford University Press View citations (134)

Edited books

2008

  1. High Frequency Financial Econometrics
    Studies in Empirical Economics, Springer

Chapters

2013

  1. Bayesian methods
    Chapter 16 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 363-380 Downloads
    See also Working Paper (2011)

Software Items

 
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