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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 CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2024) Downloads

2023

  1. 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) Downloads
  2. The contribution of realized covariance models to the economic value of volatility timing
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in Cardiff Economics Working Papers, Cardiff University, Cardiff Business School, Economics Section (2023) Downloads
  3. We modeled long memory with just one lag!
    Post-Print, HAL Downloads View citations (3)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2022) Downloads
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2023) View citations (1)

    See also Journal Article We modeled long memory with just one lag!, Journal of Econometrics, Elsevier (2023) Downloads View citations (2) (2023)

2022

  1. 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 LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2020) Downloads
    Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2020) Downloads

    See also Journal Article Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models, Journal of Financial Econometrics, Oxford University Press (2023) Downloads (2023)

2021

  1. 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 Downloads
    See also Journal Article DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations, International Journal of Forecasting, Elsevier (2023) Downloads View citations (5) (2023)

2020

  1. A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices
    Working Papers, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno Downloads
    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) Downloads View citations (5)

    See also Journal Article A dynamic component model for forecasting high-dimensional realized covariance matrices, Econometrics and Statistics, Elsevier (2017) Downloads View citations (17) (2017)
  2. 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 (4)
    Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2018) Downloads View citations (1)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) Downloads View citations (1)

    See also Journal Article Nonlinearities and regimes in conditional correlations with different dynamics, Journal of Econometrics, Elsevier (2020) Downloads View citations (4) (2020)

2019

  1. 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)
  2. 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) Downloads

2018

  1. 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 View citations (1)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (2)

    See also Journal Article State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering, Econometrics, MDPI (2018) Downloads View citations (1) (2018)

2017

  1. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
    Post-Print, HAL View citations (13)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2015) Downloads View citations (8)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (15)

    See also Journal Article Autoregressive Moving Average Infinite Hidden Markov-Switching Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) Downloads View citations (15) (2017)

2016

  1. 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) 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
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  3. 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) Downloads 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) Downloads View citations (3) (2016)
  4. 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) Downloads View citations (21) (2016)
  5. Multiplicative Conditional Correlation Models for Realized Covariance Matrices
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (7)

2015

  1. 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) Downloads 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) Downloads View citations (52) (2015)

2014

  1. 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) Downloads View citations (23) (2014)
  2. 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) Downloads
    See also Journal Article Estimation and empirical performance of non-scalar dynamic conditional correlation models, Computational Statistics & Data Analysis, Elsevier (2016) Downloads View citations (11) (2016)
  3. 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 (28)
    Also in Cahiers de recherche, CIRPEE (2011) Downloads View citations (6)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (17)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) Downloads View citations (6)
    CIRANO Working Papers, CIRANO (2011) Downloads View citations (8)

    See also Journal Article Marginal likelihood for Markov-switching and change-point GARCH models, Journal of Econometrics, Elsevier (2014) Downloads View citations (37) (2014)

2013

  1. 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) Downloads View citations (4)
  2. 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) Downloads

    See also Journal Article Forecasting a long memory process subject to structural breaks, Journal of Econometrics, Elsevier (2013) Downloads View citations (12) (2013)
  3. 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 (13)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) Downloads View citations (13)
  4. Modelling multivariate volatility of electricity futures
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
  5. Multivariate volatility modeling of electricity futures
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (24)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2011) Downloads
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (22)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) Downloads View citations (12)

    See also Journal Article MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) Downloads View citations (33) (2013)

2012

  1. Dynamic conditional correlation models for realized covariance matrices
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (26)
  2. 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) Downloads
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009) Downloads

    See also Journal Article On marginal likelihood computation in change-point models, Computational Statistics & Data Analysis, Elsevier (2012) Downloads View citations (18) (2012)
  3. Volatility Models
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (6)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (21)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (1)

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 (12)
    Also in Cahiers de recherche, CIRPEE (2011) Downloads View citations (13)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (11)
    CIRANO Working Papers, CIRANO (2011) Downloads View citations (11)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) Downloads 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) Downloads View citations (52) (2015)
  2. Bayesian methods
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    See also Chapter Bayesian methods, Chapters, Edward Elgar Publishing (2013) Downloads (2013)
  3. Estimating and forecasting structural breaks in financial time series
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (6)
  4. 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 (8)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) Downloads View citations (6)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads View citations (5)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (6)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (6)

    See also Journal Article The Resistible Decline of European Science, Recherches économiques de Louvain, De Boeck Université (2011) Downloads View citations (8) (2011)

2010

  1. 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 UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) Downloads View citations (8)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (1)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (6)

    See also Journal Article General-to-specific modelling of exchange rate volatility: A forecast evaluation, International Journal of Forecasting, Elsevier (2010) Downloads View citations (11) (2010)
  2. 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 (55)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) Downloads View citations (8)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007) Downloads View citations (8)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads View citations (8)
    Cahiers de recherche, CIRPEE (2007) Downloads View citations (8)

    See also Journal Article Theory and inference for a Markov switching GARCH model, Econometrics Journal, Royal Economic Society (2010) View citations (85) (2010)

2009

  1. 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 LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads View citations (2)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) Downloads View citations (3)
    Computing in Economics and Finance 2006, Society for Computational Economics (2006)

    See also Journal Article A Component GARCH Model with Time Varying Weights, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2009) Downloads View citations (31) (2009)
  2. 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 Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) Downloads View citations (7)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) Downloads View citations (1)

    See also Journal Article Efficient importance sampling for ML estimation of SCD models, Computational Statistics & Data Analysis, Elsevier (2009) Downloads View citations (16) (2009)
  3. Modelling financial high frequency data using point processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (85)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2007) Downloads
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (14)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (13)
  4. 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) Downloads View citations (21)

2007

  1. 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) Downloads View citations (2)

    See also Journal Article Bayesian Clustering of Many Garch Models, Econometric Reviews, Taylor & Francis Journals (2007) Downloads View citations (20) (2007)
  2. 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 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
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) Downloads 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)
  3. 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) Downloads View citations (2)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads 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) Downloads View citations (11) (2007)
  4. High frequency financial econometrics. Recent developments
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (43)
  5. Multivariate mixed normal conditional heteroskedasticity
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (29)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (3)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (4)

    See also Journal Article Multivariate mixed normal conditional heteroskedasticity, Computational Statistics & Data Analysis, Elsevier (2007) Downloads View citations (36) (2007)

2006

  1. 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) Downloads View citations (5) (2006)
  2. 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) Downloads View citations (3)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) Downloads View citations (2)

    See also Journal Article Exchange rate volatility and the mixture of distribution hypothesis, Empirical Economics, Springer (2006) Downloads View citations (27) (2006)
    Chapter Exchange rate volatility and the mixture of distribution hypothesis, Studies in Empirical Economics, Springer (2008) View citations (1) (2008)
  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 (3)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (2)
  4. Multivariate GARCH models: a survey
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (949)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) Downloads View citations (66)

    See also Journal Article Multivariate GARCH models: a survey, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) Downloads View citations (1091) (2006)
  5. Regime switching GARCH models
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée Downloads View citations (23)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) Downloads View citations (24)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (22)
  6. 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) Downloads View citations (54) (2006)

2005

  1. 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 (128)
    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) Downloads View citations (133) (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
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (37)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) Downloads 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) Downloads View citations (118) (2005)

2004

  1. A comparison of financial duration models via density forecast
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (85)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) View citations (85)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (31)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) Downloads View citations (12)

    See also Journal Article A comparison of financial duration models via density forecasts, International Journal of Forecasting, Elsevier (2004) Downloads View citations (94) (2004)
  2. 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 (13)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) Downloads 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) Downloads View citations (20) (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 LIDAM Reprints CORE, 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 (123)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) Downloads View citations (28)
  6. 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 (121)
    See also Journal Article The stochastic conditional duration model: a latent variable model for the analysis of financial durations, Journal of Econometrics, Elsevier (2004) Downloads View citations (126) (2004)

2003

  1. 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) Downloads View citations (54) (2003)
  2. Dynamic latent factor models for intensity processes
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (19)
  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
    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) Downloads View citations (87)

    See also Journal Article Ranking Economics Departments in Europe: A Statistical Approach, Journal of the European Economic Association, MIT Press (2003) Downloads View citations (116) (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 (42)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2002) Downloads View citations (33)
  2. Adaptive Polar Sampling
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (7)
  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 (5)
  4. Bayesian option pricing using asymmetric GARCH models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (24)
    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) Downloads View citations (29) (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 (16)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) Downloads View citations (14)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) Downloads View citations (16)
  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 (38)
    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) Downloads View citations (38)
  3. Identifying long-run behaviour with non-stationary data
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
  4. 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)
  5. 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 (175)
    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) Downloads View citations (192) (2000)

1999

  1. 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)
  2. Trends and breaking points in the Bayesian econometric literature
    LIDAM Reprints CORE, 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
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (6)
  3. 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 (103)
    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) Downloads

    See also Journal Article Bayesian inference on GARCH models using the Gibbs sampler, Econometrics Journal, Royal Economic Society (1998) View citations (109) (1998)
  4. 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) Downloads View citations (4)

1997

  1. 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) Downloads View citations (4)
  2. Modelling interest rates with a cointegrated VAR-GARCH model
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (9)
  3. 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) Downloads View citations (2)

1996

  1. Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
  2. 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) Downloads View citations (19)

1995

  1. Bayesian and classical econometric modeling of time series
    LIDAM Reprints CORE, 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
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)

1994

  1. 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) Downloads
  2. 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) Downloads
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1992) Downloads 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

  1. 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) Downloads

1991

  1. 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) Downloads View citations (4) (1991)
  2. 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) Downloads View citations (1) (1991)
  3. 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

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

1988

  1. 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) Downloads View citations (37) (1988)

1985

  1. 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) Downloads View citations (13) (1985)

1983

  1. 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) Downloads View citations (2) (1983)
  2. Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (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 Downloads 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) Downloads (2021)
  2. Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models
    Journal of Financial Econometrics, 2023, 21, (4), 1376-1401 Downloads
    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) Downloads View citations (2)
    See also Working Paper We modeled long memory with just one lag!, Post-Print (2023) Downloads View citations (3) (2023)

2020

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

2019

  1. A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
    Journal of Business & Economic Statistics, 2019, 37, (4), 696-709 Downloads View citations (7)

2018

  1. State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering
    Econometrics, 2018, 6, (4), 1-22 Downloads View citations (1)
    See also Working Paper State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering, CREATES Research Papers (2018) Downloads View citations (1) (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 (17)
    See also Working Paper A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices, Working Papers (2020) Downloads (2020)
  2. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
    Journal of Business & Economic Statistics, 2017, 35, (2), 162-182 Downloads View citations (15)
    See also Working Paper Autoregressive Moving Average Infinite Hidden Markov-Switching Models, Post-Print (2017) View citations (13) (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 (11)
    See also Working Paper Estimation and empirical performance of non-scalar dynamic conditional correlation models, LIDAM Discussion Papers CORE (2014) Downloads (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 Forecasting comparison of long term component dynamic models for realized covariance matrices, LIDAM Reprints CORE (2016) View citations (17) (2016)
  3. Modeling the Dependence of Conditional Correlations on Market Volatility
    Journal of Business & Economic Statistics, 2016, 34, (2), 254-268 Downloads 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

  1. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
    Journal of Applied Econometrics, 2015, 30, (4), 596-620 Downloads 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) Downloads 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

  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 (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)
  2. Marginal likelihood for Markov-switching and change-point GARCH models
    Journal of Econometrics, 2014, 178, (P3), 508-522 Downloads View citations (37)
    See also Working Paper Marginal likelihood for Markov-switching and change-point GARCH models, LIDAM Reprints CORE (2014) View citations (28) (2014)

2013

  1. Forecasting a long memory process subject to structural breaks
    Journal of Econometrics, 2013, 177, (2), 171-184 Downloads View citations (12)
    See also Working Paper Forecasting a long memory process subject to structural breaks, LIDAM Reprints CORE (2013) View citations (9) (2013)
  2. MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
    Journal of Applied Econometrics, 2013, 28, (5), 743-761 Downloads View citations (33)
    See also Working Paper Multivariate volatility modeling of electricity futures, LIDAM Reprints CORE (2013) View citations (24) (2013)

2012

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

2011

  1. The Resistible Decline of European Science
    Recherches économiques de Louvain, 2011, 77, (4), 5-31 Downloads View citations (8)
    See also Working Paper The Resistible Decline of European Science, Discussion Papers (REL - Recherches Economiques de Louvain) (2011) Downloads View citations (8) (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 (11)
    See also Working Paper General-to-specific modelling of exchange rate volatility: a forecast evaluation, LIDAM Reprints CORE (2010) View citations (9) (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 View citations (85)
    See also Working Paper Theory and inference for a Markov switching Garch model, LIDAM Reprints CORE (2010) View citations (55) (2010)

2009

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

  1. Bayesian Clustering of Many Garch Models
    Econometric Reviews, 2007, 26, (2-4), 365-386 Downloads View citations (20)
    See also Working Paper Bayesian clustering of many GARCH models, LIDAM Reprints CORE (2007) View citations (15) (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 (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)
  3. 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)
  4. Multivariate mixed normal conditional heteroskedasticity
    Computational Statistics & Data Analysis, 2007, 51, (7), 3551-3566 Downloads View citations (36)
    See also Working Paper Multivariate mixed normal conditional heteroskedasticity, LIDAM Reprints CORE (2007) View citations (29) (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 (5)
  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 (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)
  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 (27)
    See also Working Paper Exchange rate volatility and the mixture of distribution hypothesis, LIDAM Reprints CORE (2006) View citations (18) (2006)
    Chapter Exchange rate volatility and the mixture of distribution hypothesis, Studies in Empirical Economics, 2008, 7-29 (2008) View citations (1) (2008)
  5. Multivariate GARCH models: a survey
    Journal of Applied Econometrics, 2006, 21, (1), 79-109 Downloads View citations (1091)
    Also in Journal of Applied Econometrics, 2006, 21, (1), 79-109 (2006) Downloads View citations (228)

    See also Working Paper Multivariate GARCH models: a survey, LIDAM Reprints CORE (2006) View citations (949) (2006)
  6. Stochastic Conditional Intensity Processes
    Journal of Financial Econometrics, 2006, 4, (3), 450-493 Downloads View citations (54)
    See also Working Paper Stochastic conditional intensity processes, LIDAM Reprints CORE (2006) View citations (49) (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 (133)
    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 (128) (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 (118)
    See also Working Paper News announcements, market activity and volatility in the euro/dollar foreign exchange market, LIDAM Reprints CORE (2005) View citations (37) (2005)

2004

  1. A comparison of financial duration models via density forecasts
    International Journal of Forecasting, 2004, 20, (4), 589-609 Downloads View citations (94)
    See also Working Paper A comparison of financial duration models via density forecast, ULB Institutional Repository (2004) View citations (85) (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 (20)
    See also Working Paper Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods, LIDAM Reprints CORE (2004) View citations (13) (2004)
  3. Recent advances in Bayesian econometrics
    Journal of Econometrics, 2004, 123, (2), 197-199 Downloads View citations (2)
  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 (126)
    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 (121) (2004)

2003

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

2002

  1. Bayesian option pricing using asymmetric GARCH models
    Journal of Empirical Finance, 2002, 9, (3), 321-342 Downloads View citations (29)
    See also Working Paper Bayesian option pricing using asymmetric GARCH models, LIDAM Reprints CORE (2002) View citations (24) (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 (192)
    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 (175) (2000)

1998

  1. Bayesian inference on GARCH models using the Gibbs sampler
    Econometrics Journal, 1998, 1, (ConferenceIssue), C23-C46 View citations (109)
    See also Working Paper Bayesian inference on GARCH models using the Gibbs sampler, LIDAM Reprints CORE (1998) View citations (103) (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 (18)
    See also Working Paper Estimating End-use Demand: a Bayesian Approach, LIDAM Reprints CORE (1994) View citations (10) (1994)

1991

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

  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 (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)
  2. Inter-industry and intra-industry specialization in manufactured goods
    Review of World Economics (Weltwirtschaftliches Archiv), 1988, 124, (1), 1-13 Downloads View citations (5)
  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 (97)
  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 (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

  1. An export model for the Belgian industry
    European Economic Review, 1983, 22, (3), 265-276 Downloads 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 Downloads
    See also Working Paper Bayesian methods, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (1) (2011)

2008

  1. Editor's introduction: recent developments in high frequency financial econometrics
    Springer
  2. Exchange rate volatility and the mixture of distribution hypothesis
    Springer View citations (1)
    See also Journal Article Exchange rate volatility and the mixture of distribution hypothesis, Springer (2006) Downloads View citations (27) (2006)
    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)
 
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