Details about Luc Bauwens

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), Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM), Université Catholique de Louvain (Catholic University of Louvain-la-Neuve), (more information at EDIRC)

Access statistics for papers by Luc Bauwens.

Last updated 2024-07-04. Update your information in the RePEc Author Service.

Short-id: pba4

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Working Papers

2024

1. Asymmetric Models for Realized Covariances
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2024)

2023

2. Realized Covariance Models with Time-varying Parameters and Spillover Effects
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
3. The contribution of realized covariance models to the economic value of volatility timing
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2023)
4. We modeled long memory with just one lag!
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
   Also in Post-Print, HAL (2023) View citations (4)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2022)
   See also Journal Article We modeled long memory with just one lag!, Journal of Econometrics, Elsevier (2023) View citations (3) (2023)

2022

5. Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
   Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2020)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2020)
   See also Journal Article Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models, Journal of Financial Econometrics, Oxford University Press (2023) View citations (1) (2023)

2021

6. DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations
   Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section
   See also Journal Article DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations, International Journal of Forecasting, Elsevier (2023) View citations (5) (2023)

2020

7. A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices
   Working Papers, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno
   Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (16)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (5)
   See also Journal Article A dynamic component model for forecasting high-dimensional realized covariance matrices, Econometrics and Statistics, Elsevier (2017) View citations (17) (2017)
8. Nonlinearities and regimes in conditional correlations with different dynamics
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (1)
   Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2018) View citations (1)
   See also Journal Article Nonlinearities and regimes in conditional correlations with different dynamics, Journal of Econometrics, Elsevier (2020) View citations (5) (2020)

2019

9. A new approach: the factorial hidden Markov volatility model
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
10. DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2018

11. 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 View citations (2)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (3)
    See also Journal Article State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering, Econometrics, MDPI (2018) View citations (2) (2018)

2017

12. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
    Post-Print, HAL View citations (14)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2015) View citations (8)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (16)
    See also Journal Article Autoregressive Moving Average Infinite Hidden Markov-Switching Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (16) (2017)

2016

13. A New Approach to Volatility Modeling: The High-Dimensional Markov Model
    LIDAM Discussion Papers CORE, 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)
14. Estimation and Empirical Performance of Non-Scalar DCC Models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
15. Forecasting comparison of long term component dynamic models for realized covariance matrices
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (17)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) View citations (14)
    See also Journal Article Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices, Annals of Economics and Statistics, GENES (2016) View citations (3) (2016)
16. Modeling the dependence of conditional correlations on market volatility
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (21)
    See also Journal Article Modeling the Dependence of Conditional Correlations on Market Volatility, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (21) (2016)
17. Multiplicative Conditional Correlation Models for Realized Covariance Matrices
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)

2015

18. The Contribution of Structural Break Models to Forecating Macroeconomic Series
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (25)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (4)
    See also Journal Article The Contribution of Structural Break Models to Forecasting Macroeconomic Series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (52) (2015)

2014

19. A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (21)
    See also Journal Article A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models, Journal of Empirical Finance, Elsevier (2014) View citations (23) (2014)
20. Estimation and empirical performance of non-scalar dynamic conditional correlation models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article Estimation and empirical performance of non-scalar dynamic conditional correlation models, Computational Statistics & Data Analysis, Elsevier (2016) View citations (11) (2016)
21. Marginal likelihood for Markov-switching and change-point GARCH models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (29)
    Also in Cahiers de recherche, CIRPEE (2011) View citations (6)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (6)
    CIRANO Working Papers, CIRANO (2011) View citations (8)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (17)
    See also Journal Article Marginal likelihood for Markov-switching and change-point GARCH models, Journal of Econometrics, Elsevier (2014) View citations (38) (2014)

2013

22. Computationally efficient inference procedures for vast dimensional realized covariance models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012) View citations (4)
23. Forecasting a long memory process subject to structural breaks
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012)
    See also Journal Article Forecasting a long memory process subject to structural breaks, Journal of Econometrics, Elsevier (2013) View citations (12) (2013)
24. 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 (13)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) View citations (13)
25. Modelling multivariate volatility of electricity futures
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
26. Multivariate volatility modeling of electricity futures
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (25)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (12)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (22)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2011)
    See also Journal Article MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (34) (2013)

2012

27. Dynamic conditional correlation models for realized covariance matrices
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (26)
28. On marginal likelihood computation in change-point models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (18)
    Also in Cahiers de recherche, CIRPEE (2009)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009)
    See also Journal Article On marginal likelihood computation in change-point models, Computational Statistics & Data Analysis, Elsevier (2012) View citations (18) (2012)
29. Volatility Models
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (21)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (1)

2011

30. A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (12)
    Also in CIRANO Working Papers, CIRANO (2011) View citations (11)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (11)
    Cahiers de recherche, CIRPEE (2011) View citations (13)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (11)
    See also Journal Article The Contribution of Structural Break Models to Forecasting Macroeconomic Series, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (52) (2015)
31. Bayesian methods
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    See also Chapter Bayesian methods, Chapters, Edward Elgar Publishing (2013) (2013)
32. Estimating and forecasting structural breaks in financial time series
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
33. The Resistible Decline of European Science
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (6)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (5)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) View citations (7)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (7)
    See also Journal Article The Resistible Decline of European Science, Recherches économiques de Louvain, De Boeck Université (2011) View citations (9) (2011)

2010

34. General-to-specific modelling of exchange rate volatility: a forecast evaluation
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (1)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) View citations (8)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (6)
    See also Journal Article General-to-specific modelling of exchange rate volatility: A forecast evaluation, International Journal of Forecasting, Elsevier (2010) View citations (11) (2010)
35. Theory and inference for a Markov switching Garch model
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (57)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) View citations (8)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007) View citations (8)
    Cahiers de recherche, CIRPEE (2007) View citations (8)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (8)
    See also Journal Article Theory and inference for a Markov switching GARCH model, Econometrics Journal, Royal Economic Society (2010) View citations (87) (2010)

2009

36. A component GARCH model with time varying weights
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (25)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) View citations (3)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (2)
    See also Journal Article A Component GARCH Model with Time Varying Weights, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2009) View citations (31) (2009)
37. Efficient importance sampling for ML estimation of SCD models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (1)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) View citations (7)
    See also Journal Article Efficient importance sampling for ML estimation of SCD models, Computational Statistics & Data Analysis, Elsevier (2009) View citations (16) (2009)
38. Modelling financial high frequency data using point processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (87)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2007)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (13)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (14)
39. The moments of Log-ACD models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (21)

2007

40. Bayesian clustering of many GARCH models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (15)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (2)
    See also Journal Article Bayesian Clustering of Many Garch Models, Econometric Reviews, Taylor & Francis Journals (2007) View citations (20) (2007)
41. Bayesian inference for the mixed conditional heteroskedasticity model
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
    Also in Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2006)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) View citations (3)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) View citations (3)
    See also Journal Article Bayesian inference for the mixed conditional heteroskedasticity model, Econometrics Journal, Royal Economic Society (2007) View citations (13) (2007)
42. Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (10)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (2)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (2)
    See also Journal Article Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market, Econometric Reviews, Taylor & Francis Journals (2007) View citations (11) (2007)
43. High frequency financial econometrics. Recent developments
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (43)
44. Multivariate mixed normal conditional heteroskedasticity
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (29)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (4)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (3)
    See also Journal Article Multivariate mixed normal conditional heteroskedasticity, Computational Statistics & Data Analysis, Elsevier (2007) View citations (36) (2007)

2006

45. Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
    See also Journal Article Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange, Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan (2006) View citations (5) (2006)
46. Exchange rate volatility and the mixture of distribution hypothesis
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (18)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) View citations (4)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) View citations (3)
    See also Chapter Exchange rate volatility and the mixture of distribution hypothesis, Studies in Empirical Economics, Springer (2008) View citations (1) (2008)
    Journal Article Exchange rate volatility and the mixture of distribution hypothesis, Empirical Economics, Springer (2006) View citations (27) (2006)
47. Intra-Daily FX Optimal Portfolio Allocation
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques View citations (3)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (2)
48. Multivariate GARCH models: a survey
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (976)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (66)
    See also Journal Article Multivariate GARCH models: a survey, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (255) (2006)
49. Regime switching GARCH models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (22)
    Also in Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2006) View citations (23)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (24)
50. Stochastic conditional intensity processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (49)
    See also Journal Article Stochastic Conditional Intensity Processes, Journal of Financial Econometrics, Oxford University Press (2006) View citations (54) (2006)

2005

51. A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (131)
    See also Journal Article A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (136) (2005)
52. High frequency finance
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
53. News announcements, market activity and volatility in the euro/dollar foreign exchange market
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (38)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (6)
    See also Journal Article News announcements, market activity and volatility in the euro/dollar foreign exchange market, Journal of International Money and Finance, Elsevier (2005) View citations (119) (2005)

2004

54. A comparison of financial duration models via density forecast
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (88)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (31)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) View citations (85)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) View citations (12)
    See also Journal Article A comparison of financial duration models via density forecasts, International Journal of Forecasting, Elsevier (2004) View citations (94) (2004)
55. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (14)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) View citations (1)
    See also Journal Article Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods, Journal of Econometrics, Elsevier (2004) View citations (21) (2004)
56. BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS
    Econometric Society 2004 North American Winter Meetings, Econometric Society
57. Econometrics
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) (2004) View citations (29)
58. 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 (126)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (28)
59. The stochastic conditional duration model: a latent variable model for the analysis of financial durations
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (122)
    See also Journal Article The stochastic conditional duration model: a latent variable model for the analysis of financial durations, Journal of Econometrics, Elsevier (2004) View citations (127) (2004)

2003

60. Asymmetric ACD models: Introducing price information in ACD models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (43)
    See also Journal Article Asymmetric ACD models: Introducing price information in ACD models, Empirical Economics, Springer (2003) View citations (54) (2003)
61. Dynamic latent factor models for intensity processes
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (19)
62. Explaining Adaptive Radial-Based Direction Sampling
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
63. Ranking economics departments in Europe: a statistical approach
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (42)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (87)
    See also Journal Article Ranking Economics Departments in Europe: A Statistical Approach, Journal of the European Economic Association, MIT Press (2003) View citations (116) (2003)

2002

64. A New Class of Multivariate skew Densities, with Application to GARCH Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (42)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2002) View citations (33)
65. Adaptive Polar Sampling
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (7)
66. 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 (5)
67. Bayesian option pricing using asymmetric GARCH models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (25)
    Also in G.R.E.Q.A.M., Universite Aix-Marseille III (2000) View citations (1)
    See also Journal Article Bayesian option pricing using asymmetric GARCH models, Journal of Empirical Finance, Elsevier (2002) View citations (30) (2002)
68. Multivariate GARCH models and their Estimation
    Computing in Economics and Finance 2002, Society for Computational Economics

2000

69. 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 Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations (14)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (16)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (16)
70. 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 (39)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) View citations (31)
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2000) View citations (40)
71. Identifying long-run behaviour with non-stationary data
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
72. Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
73. The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (178)
    See also Journal Article The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks, Annals of Economics and Statistics, GENES (2000) View citations (196) (2000)

1999

74. Recent developments in the econometrics of financial markets using intra-day data
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
75. Trends and breaking points in the Bayesian econometric literature
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

1998

76. 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)
77. Asymmetric ACD models: introducing price information in ACD models with a two state transition model
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
78. Bayesian inference on GARCH models using the Gibbs sampler
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (104)
    Also in G.R.E.Q.A.M., Universite Aix-Marseille III (1996) View citations (16)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1996)
    See also Journal Article Bayesian inference on GARCH models using the Gibbs sampler, Econometrics Journal, Royal Economic Society (1998) View citations (110) (1998)
79. Gibbs sampling approach to cointegration
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) View citations (4)

1997

80. Bayesian Option Pricing Using Asymmetric GARCH
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (5)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) View citations (4)
81. Modelling interest rates with a cointegrated VAR-GARCH model
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
82. The logarithmic ACD model: an application to market microstructure and NASDAQ
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)

1996

83. Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
84. Identification restrictions and posterior densities in cointegrated Gaussian VAR system
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (21)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1994) View citations (19)

1995

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

1994

87. Do Art Experts make Rational Estimates of Pre-Sale Prices ?
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
88. Estimating End-use Demand: a Bayesian Approach
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (10)
    Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (1992)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1992) View citations (1)
    See also Journal Article Estimating End-Use Demand: A Bayesian Approach, Journal of Business & Economic Statistics, American Statistical Association (1994) View citations (18) (1994)

1993

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

1991

90. Bayesian diagnostics for heterogeneity
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    See also Journal Article Bayesian Diagnostics for Heterogeneity, Annals of Economics and Statistics, GENES (1991) View citations (4) (1991)
91. The "pathology" of the natural conjugate prior density in the regression model
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    Also in G.R.E.Q.A.M., Universite Aix-Marseille III (1990) View citations (1)
    See also Journal Article The 'pathologie' of the Natural Conjugate Prior Density in the Regression Model, Annals of Economics and Statistics, GENES (1991) View citations (1) (1991)
92. The law of large (small?) numbers and the demand for insurance
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
    Also in G.R.E.Q.A.M., Universite Aix-Marseille III (1990)

1989

93. BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED
    Econometric Institute Archives, Erasmus University Rotterdam View citations (4)

1988

94. Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (28)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1987)
    See also Journal Article Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods, Journal of Econometrics, Elsevier (1988) View citations (37) (1988)

1985

95. A 1-1 poly-t random variable generator with application to Monte Carlo integration
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (8)
    See also Journal Article A 1-1 poly-t random variable generator with application to Monte Carlo integration, Journal of Econometrics, Elsevier (1985) View citations (13) (1985)

1983

96. An export model for the Belgian industry
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    See also Journal Article An export model for the Belgian industry, European Economic Review, Elsevier (1983) View citations (2) (1983)
97. Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration
    LIDAM Reprints CORE, 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

2023

1. DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations
   International Journal of Forecasting, 2023, 39, (2), 938-955 View citations (5)
   See also Working Paper DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations, Cardiff Economics Working Papers (2021) (2021)
2. Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models
   Journal of Financial Econometrics, 2023, 21, (4), 1376-1401 View citations (1)
   See also Working Paper Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models, LIDAM Reprints CORE (2022) View citations (3) (2022)
3. We modeled long memory with just one lag!
   Journal of Econometrics, 2023, 236, (1) View citations (3)
   See also Working Paper We modeled long memory with just one lag!, LIDAM Reprints CORE (2023) View citations (2) (2023)

2020

4. Nonlinearities and regimes in conditional correlations with different dynamics
   Journal of Econometrics, 2020, 217, (2), 496-522 View citations (5)
   See also Working Paper Nonlinearities and regimes in conditional correlations with different dynamics, LIDAM Reprints CORE (2020) View citations (5) (2020)

2019

5. A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
   Journal of Business & Economic Statistics, 2019, 37, (4), 696-709 View citations (10)

2018

6. State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering
   Econometrics, 2018, 6, (4), 1-22 View citations (2)
   See also Working Paper State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering, CREATES Research Papers (2018) View citations (2) (2018)

2017

7. A dynamic component model for forecasting high-dimensional realized covariance matrices
   Econometrics and Statistics, 2017, 1, (C), 40-61 View citations (17)
   See also Working Paper A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices, Working Papers (2020) (2020)
8. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
   Journal of Business & Economic Statistics, 2017, 35, (2), 162-182 View citations (16)
   See also Working Paper Autoregressive Moving Average Infinite Hidden Markov-Switching Models, Post-Print (2017) View citations (14) (2017)

2016

9. Estimation and empirical performance of non-scalar dynamic conditional correlation models
   Computational Statistics & Data Analysis, 2016, 100, (C), 17-36 View citations (11)
   See also Working Paper Estimation and empirical performance of non-scalar dynamic conditional correlation models, LIDAM Discussion Papers CORE (2014) (2014)
10. 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 Forecasting comparison of long term component dynamic models for realized covariance matrices, LIDAM Reprints CORE (2016) View citations (17) (2016)
11. Modeling the Dependence of Conditional Correlations on Market Volatility
    Journal of Business & Economic Statistics, 2016, 34, (2), 254-268 View citations (21)
    See also Working Paper Modeling the dependence of conditional correlations on market volatility, LIDAM Reprints CORE (2016) View citations (21) (2016)

2015

12. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
    Journal of Applied Econometrics, 2015, 30, (4), 596-620 View citations (52)
    See also Working Paper A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models, SIRE Discussion Papers (2011) View citations (12) (2011)
    Working Paper The Contribution of Structural Break Models to Forecating Macroeconomic Series, LIDAM Reprints CORE (2015) View citations (25) (2015)

2014

13. 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 (23)
    See also Working Paper A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models, LIDAM Reprints CORE (2014) View citations (21) (2014)
14. Marginal likelihood for Markov-switching and change-point GARCH models
    Journal of Econometrics, 2014, 178, (P3), 508-522 View citations (38)
    See also Working Paper Marginal likelihood for Markov-switching and change-point GARCH models, LIDAM Reprints CORE (2014) View citations (29) (2014)

2013

15. Forecasting a long memory process subject to structural breaks
    Journal of Econometrics, 2013, 177, (2), 171-184 View citations (12)
    See also Working Paper Forecasting a long memory process subject to structural breaks, LIDAM Reprints CORE (2013) View citations (9) (2013)
16. MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
    Journal of Applied Econometrics, 2013, 28, (5), 743-761 View citations (34)
    See also Working Paper Multivariate volatility modeling of electricity futures, LIDAM Reprints CORE (2013) View citations (25) (2013)

2012

17. On marginal likelihood computation in change-point models
    Computational Statistics & Data Analysis, 2012, 56, (11), 3415-3429 View citations (18)
    See also Working Paper On marginal likelihood computation in change-point models, LIDAM Reprints CORE (2012) View citations (18) (2012)

2011

18. The Resistible Decline of European Science
    Recherches économiques de Louvain, 2011, 77, (4), 5-31 View citations (9)
    See also Working Paper The Resistible Decline of European Science, Discussion Papers (REL - Recherches Economiques de Louvain) (2011) View citations (9) (2011)

2010

19. General-to-specific modelling of exchange rate volatility: A forecast evaluation
    International Journal of Forecasting, 2010, 26, (4), 885-907 View citations (11)
    See also Working Paper General-to-specific modelling of exchange rate volatility: a forecast evaluation, LIDAM Reprints CORE (2010) View citations (9) (2010)
20. Intradaily dynamic portfolio selection
    Computational Statistics & Data Analysis, 2010, 54, (11), 2400-2418 View citations (4)
21. Theory and inference for a Markov switching GARCH model
    Econometrics Journal, 2010, 13, (2), 218-244 View citations (87)
    See also Working Paper Theory and inference for a Markov switching Garch model, LIDAM Reprints CORE (2010) View citations (57) (2010)

2009

22. A Component GARCH Model with Time Varying Weights
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (2), 33 View citations (31)
    See also Working Paper A component GARCH model with time varying weights, LIDAM Reprints CORE (2009) View citations (25) (2009)
23. Efficient importance sampling for ML estimation of SCD models
    Computational Statistics & Data Analysis, 2009, 53, (6), 1974-1992 View citations (16)
    See also Working Paper Efficient importance sampling for ML estimation of SCD models, LIDAM Reprints CORE (2009) View citations (9) (2009)

2007

24. Bayesian Clustering of Many Garch Models
    Econometric Reviews, 2007, 26, (2-4), 365-386 View citations (20)
    See also Working Paper Bayesian clustering of many GARCH models, LIDAM Reprints CORE (2007) View citations (15) (2007)
25. Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
    Econometric Reviews, 2007, 26, (2-4), 469-486 View citations (11)
    See also Working Paper Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market, LIDAM Reprints CORE (2007) View citations (10) (2007)
26. Bayesian inference for the mixed conditional heteroskedasticity model
    Econometrics Journal, 2007, 10, (2), 408-425 View citations (13)
    See also Working Paper Bayesian inference for the mixed conditional heteroskedasticity model, LIDAM Reprints CORE (2007) View citations (9) (2007)
27. Multivariate mixed normal conditional heteroskedasticity
    Computational Statistics & Data Analysis, 2007, 51, (7), 3551-3566 View citations (36)
    See also Working Paper Multivariate mixed normal conditional heteroskedasticity, LIDAM Reprints CORE (2007) View citations (29) (2007)
28. The Econometrics of Industrial Organization
    Journal of Applied Econometrics, 2007, 22, (7), 1153-1156 View citations (1)

2006

29. Causality and exogeneity in econometrics
    Journal of Econometrics, 2006, 132, (2), 305-309 View citations (5)
30. Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange
    Monetary and Economic Studies, 2006, 24, (1), 1-23 View citations (5)
    See also Working Paper Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange, LIDAM Reprints CORE (2006) View citations (5) (2006)
31. Editor’s introduction
    Empirical Economics, 2006, 30, (4), 791-794 View citations (1)
32. Exchange rate volatility and the mixture of distribution hypothesis
    Empirical Economics, 2006, 30, (4), 889-911 View citations (27)
    See also Chapter Exchange rate volatility and the mixture of distribution hypothesis, Studies in Empirical Economics, 2008, 7-29 (2008) View citations (1) (2008)
    Working Paper Exchange rate volatility and the mixture of distribution hypothesis, LIDAM Reprints CORE (2006) View citations (18) (2006)
33. Multivariate GARCH models: a survey
    Journal of Applied Econometrics, 2006, 21, (1), 79-109 View citations (255)
    Also in Journal of Applied Econometrics, 2006, 21, (1), 79-109 (2006) View citations (1105)
    See also Working Paper Multivariate GARCH models: a survey, LIDAM Reprints CORE (2006) View citations (976) (2006)
34. Stochastic Conditional Intensity Processes
    Journal of Financial Econometrics, 2006, 4, (3), 450-493 View citations (54)
    See also Working Paper Stochastic conditional intensity processes, LIDAM Reprints CORE (2006) View citations (49) (2006)

2005

35. 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 (136)
    See also Working Paper A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models, LIDAM Reprints CORE (2005) View citations (131) (2005)
36. 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 (119)
    See also Working Paper News announcements, market activity and volatility in the euro/dollar foreign exchange market, LIDAM Reprints CORE (2005) View citations (38) (2005)

2004

37. A comparison of financial duration models via density forecasts
    International Journal of Forecasting, 2004, 20, (4), 589-609 View citations (94)
    See also Working Paper A comparison of financial duration models via density forecast, ULB Institutional Repository (2004) View citations (88) (2004)
38. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
    Journal of Econometrics, 2004, 123, (2), 201-225 View citations (21)
    See also Working Paper Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods, LIDAM Reprints CORE (2004) View citations (14) (2004)
39. Recent advances in Bayesian econometrics
    Journal of Econometrics, 2004, 123, (2), 197-199 View citations (2)
40. 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 (127)
    See also Working Paper The stochastic conditional duration model: a latent variable model for the analysis of financial durations, LIDAM Reprints CORE (2004) View citations (122) (2004)

2003

41. Asymmetric ACD models: Introducing price information in ACD models
    Empirical Economics, 2003, 28, (4), 709-731 View citations (54)
    See also Working Paper Asymmetric ACD models: Introducing price information in ACD models, LIDAM Reprints CORE (2003) View citations (43) (2003)
42. Ranking Economics Departments in Europe: A Statistical Approach
    Journal of the European Economic Association, 2003, 1, (6), 1367-1401 View citations (116)
    See also Working Paper Ranking economics departments in Europe: a statistical approach, LIDAM Reprints CORE (2003) View citations (42) (2003)

2002

43. Bayesian option pricing using asymmetric GARCH models
    Journal of Empirical Finance, 2002, 9, (3), 321-342 View citations (30)
    See also Working Paper Bayesian option pricing using asymmetric GARCH models, LIDAM Reprints CORE (2002) View citations (25) (2002)

2000

44. 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 (196)
    See also Working Paper The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks, LIDAM Reprints CORE (2000) View citations (178) (2000)

1998

45. Bayesian inference on GARCH models using the Gibbs sampler
    Econometrics Journal, 1998, 1, (ConferenceIssue), C23-C46 View citations (110)
    See also Working Paper Bayesian inference on GARCH models using the Gibbs sampler, LIDAM Reprints CORE (1998) View citations (104) (1998)

1996

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

1995

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

1994

48. Estimating End-Use Demand: A Bayesian Approach
    Journal of Business & Economic Statistics, 1994, 12, (2), 221-31 View citations (18)
    See also Working Paper Estimating End-use Demand: a Bayesian Approach, LIDAM Reprints CORE (1994) View citations (10) (1994)

1991

49. Bayesian Diagnostics for Heterogeneity
    Annals of Economics and Statistics, 1991, (20-21), 17-40 View citations (4)
    See also Working Paper Bayesian diagnostics for heterogeneity, LIDAM Reprints CORE (1991) View citations (4) (1991)
50. The 'pathologie' of the Natural Conjugate Prior Density in the Regression Model
    Annals of Economics and Statistics, 1991, (23), 49-64 View citations (1)
    See also Working Paper The "pathology" of the natural conjugate prior density in the regression model, LIDAM Reprints CORE (1991) View citations (4) (1991)

1988

51. Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods
    Journal of Econometrics, 1988, 38, (1-2), 39-72 View citations (37)
    See also Working Paper Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods, LIDAM Reprints CORE (1988) View citations (28) (1988)
52. Inter-industry and intra-industry specialization in manufactured goods
    Review of World Economics (Weltwirtschaftliches Archiv), 1988, 124, (1), 1-13 View citations (5)
53. The determinants of intra-European trade in manufactured goods
    European Economic Review, 1988, 32, (7), 1421-1437 View citations (12)

1987

54. Intra-industry Specialisation in a Multi-country and Multi-industry Framework
    Economic Journal, 1987, 97, (388), 923-39 View citations (99)
55. Théorie de l’information et diagnostic médical: une analyse coût-efficacité
    L'Actualité Economique, 1987, 63, (2), 243-255

1985

56. 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 (13)
    See also Working Paper A 1-1 poly-t random variable generator with application to Monte Carlo integration, LIDAM Reprints CORE (1985) View citations (8) (1985)

1983

57. An export model for the Belgian industry
    European Economic Review, 1983, 22, (3), 265-276 View citations (2)
    See also Working Paper An export model for the Belgian industry, LIDAM Reprints CORE (1983) View citations (2) (1983)

Books

2000

1. Bayesian Inference in Dynamic Econometric Models
   OUP Catalogue, Oxford University Press View citations (142)

Edited books

2008

1. High Frequency Financial Econometrics
   Studies in Empirical Economics, Springer View citations (47)

Chapters

2013

1. Bayesian methods
   Chapter 16 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 363-380
   See also Working Paper Bayesian methods, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (1) (2011)

2008

2. Editor's introduction: recent developments in high frequency financial econometrics
   Springer
3. Exchange rate volatility and the mixture of distribution hypothesis
   Springer View citations (1)
   See also Working Paper Exchange rate volatility and the mixture of distribution hypothesis, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (18) (2006)
   Journal Article Exchange rate volatility and the mixture of distribution hypothesis, Springer (2006) View citations (27) (2006)