Details about Luc Bauwens

E-mail:
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

Nonlinearities and Regimes in Conditional Correlations with Different Dynamics
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018)
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
See also Journal Article in Econometrics (2018)

2017

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) View citations (5)
See also Journal Article in Econometrics and Statistics (2017)
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) View citations (7)
See also Journal Article in Journal of Business & Economic Statistics (2017)

2016

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)
Also in Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques (2016) View citations (1)
Estimation and Empirical Performance of Non-Scalar DCC Models
CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
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) View citations (7)
See also Journal Article in Annals of Economics and Statistics (2016)
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)
Multiplicative Conditional Correlation Models for Realized Covariance Matrices
CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2015

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) View citations (4)
See also Journal Article in Journal of Applied Econometrics (2015)

2014

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)
See also Journal Article in Computational Statistics & Data Analysis (2016)

2013

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)
Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012) View citations (2)
Modeling the Dependence of Conditional Correlations on Volatility
Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia View citations (11)
Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) View citations (5)

2012

Dynamic conditional correlation models for realized covariance matrices
CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (14)
Forecasting long memory processes subject to structural breaks
CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
See also Journal Article in Journal of Econometrics (2013)
On marginal likelihood computation in change-point models
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) (2009)
Cahiers de recherche, CIRPEE (2009)
See also Journal Article in Computational Statistics & Data Analysis (2012)

2005

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) View citations (18)
See also Journal Article in Journal of Business & Economic Statistics (2005)
High frequency finance
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
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) View citations (10)
Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (3)
See also Journal Article in Journal of International Money and Finance (2005)

2004

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) View citations (7)
CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) View citations (7)
Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (29)
See also Journal Article in International Journal of Forecasting (2004)
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) View citations (2)
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003)
See also Journal Article in Journal of Econometrics (2004)
BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS
Econometric Society 2004 North American Winter Meetings, Econometric Society
Econometrics
Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) View citations (29)
Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004)
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) View citations (25)
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) View citations (9)
See also Journal Article in Journal of Econometrics (2004)

2003

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

2002

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) View citations (11)
Adaptive Polar Sampling
Computing in Economics and Finance 2002, Society for Computational Economics View citations (5)
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 View citations (3)
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)
Multivariate GARCH models and their Estimation
Computing in Economics and Finance 2002, Society for Computational Economics

2000

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) View citations (6)
Tinbergen Institute Discussion Papers, Tinbergen Institute (1999)
CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (6)
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) View citations (27)
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2000) View citations (16)
CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) View citations (4)
Identifying long-run behaviour with non-stationary data
CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
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)
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

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)
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

Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces
Tinbergen Institute Discussion Papers, Tinbergen Institute
Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998)
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) View citations (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) 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)
See also Journal Article in Econometrics Journal (1998)
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) View citations (4)

1997

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) View citations (2)
Modelling interest rates with a cointegrated VAR-GARCH model
CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
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) View citations (1)

1996

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)
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) View citations (18)

1995

Bayesian and classical econometric modeling of time series
CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
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)

1994

Do Art Experts make Rational Estimates of Pre-Sale Prices ?
CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
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) View citations (1)
UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (1992)
See also Journal Article in Journal of Business & Economic Statistics (1994)

1993

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)

1991

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)
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)
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

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

1988

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) 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

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) View citations (2)
See also Journal Article in Journal of Econometrics (1985)

1983

An export model for the Belgian industry
CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
See also Journal Article in European Economic Review (1983)
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)

Journal Articles

2018

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

2017

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

2016

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

2015

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

2014

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

2013

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

2012

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

2011

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

2010

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

2009

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

2007

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

2006

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

2005

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

2004

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

2003

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

2002

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

2000

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 View citations (39)
See also Working Paper (2000)

1998

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

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

1995

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

1994

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

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

1988

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

1987

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

1985

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

1983

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

Books

2000

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

Edited books

2008

High Frequency Financial Econometrics
Studies in Empirical Economics, Springer

Chapters

2013

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