Details about Luc Bauwens

E-mail:
Homepage:	http://perso.uclouvain.be/luc.bauwens/Bauwens.htm
Postal address:	34 Voie du Roman Pays B-1348 Louvain La Neuve Belgium
Workplace:	Center for Operations Research and Econometrics (CORE), 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 2022-01-05. Update your information in the RePEc Author Service.

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Working Papers

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

2020

2. 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 Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (5)
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (8)
   See also Journal Article in Econometrics and Statistics (2017)
3. Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
   Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2020)
4. 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 (1)
   Also in Working Paper CRENoS, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia (2018) View citations (1)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (1)
   See also Journal Article in Journal of Econometrics (2020)

2019

5. 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 (1)
6. 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

7. 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 (1)
   Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2018) View citations (1)
   See also Journal Article in Econometrics (2018)

2017

8. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
   Post-Print, HAL View citations (11)
   Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (10)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2015) View citations (8)
   See also Journal Article in Journal of Business & Economic Statistics (2017)

2016

9. 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)
10. Estimation and Empirical Performance of Non-Scalar DCC Models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
11. 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 (8)
    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 in Annals of Economics and Statistics (2016)
12. 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 (9)
    See also Journal Article in Journal of Business & Economic Statistics (2016)
13. 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 (3)

2015

14. 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 (14)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2011) View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2015)

2014

15. 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 in Computational Statistics & Data Analysis (2016)

2013

16. Computationally efficient inference procedures for vast dimensional realized covariance models
    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) (2012) View citations (2)
17. 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 (12)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2013) View citations (6)
18. Modelling multivariate volatility of electricity futures
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (2)

2012

19. 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 (25)
20. Forecasting long memory processes subject to structural breaks
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article in Journal of Econometrics (2013)
21. On marginal likelihood computation in change-point models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
    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 in Computational Statistics & Data Analysis (2012)
22. 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) View citations (21)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (1)

2011

23. 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 (7)
    Also in Cahiers de recherche, CIRPEE (2011) View citations (11)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (4)
    Working Papers, University of Strathclyde Business School, Department of Economics (2011) View citations (5)
    CIRANO Working Papers, CIRANO (2011) View citations (7)
    See also Journal Article in Journal of Applied Econometrics (2015)
24. Bayesian methods
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    See also Chapter (2013)
25. 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)
26. Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
    Cahiers de recherche, CIRPEE View citations (3)
    Also in CIRANO Working Papers, CIRANO (2011) View citations (5)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (6)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (17)
    See also Journal Article in Journal of Econometrics (2014)
27. Multivariate Volatility Modeling of Electricity Futures
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (4)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (22)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011)
    See also Journal Article in Journal of Applied Econometrics (2013)
28. 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 (4)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (3)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2011) View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (6)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (2)
    See also Journal Article in Recherches économiques de Louvain (2011)

2010

29. 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)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (6)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2008) View citations (2)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (1)
    See also Journal Article in International Journal of Forecasting (2010)
30. 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 (30)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (5)
    Cahiers de recherche, CIRPEE (2007) View citations (7)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007) View citations (5)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) View citations (5)
    See also Journal Article in Econometrics Journal (2010)

2009

31. A component GARCH model with time varying weights
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) View citations (2)
    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 (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2009)
32. 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 (1)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) View citations (6)
    See also Journal Article in Computational Statistics & Data Analysis (2009)
33. Modelling financial high frequency data using point processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (23)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (9)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2007) View citations (3)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (3)
34. 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

35. Bayesian clustering of many GARCH 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 (2)
    See also Journal Article in Econometric Reviews (2007)
36. Bayesian inference for the mixed conditional heteroskedasticity model
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    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 in Econometrics Journal (2007)
37. 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 (5)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (2)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (1)
    See also Journal Article in Econometric Reviews (2007)
38. High frequency financial econometrics. Recent developments
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (38)
39. Multivariate mixed normal conditional heteroskedasticity
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (2)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2007)

2006

40. 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 (2)
    See also Journal Article in Monetary and Economic Studies (2006)
41. 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 (6)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) View citations (2)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) View citations (3)
    See also Chapter (2008)
    Journal Article in Empirical Economics (2006)
42. Intra-Daily FX Optimal Portfolio Allocation
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques View citations (2)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (2)
43. Multivariate GARCH models: a survey
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (285)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (45)
    See also Journal Article in Journal of Applied Econometrics (2006)
44. Regime switching GARCH models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (15)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2006) View citations (18)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2006) View citations (17)
45. Stochastic conditional intensity processes
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
    See also Journal Article in Journal of Financial Econometrics (2006)

2005

46. 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 (43)
    See also Journal Article in Journal of Business & Economic Statistics (2005)
47. High frequency finance
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
48. 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 (26)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (3)
    See also Journal Article in Journal of International Money and Finance (2005)

2004

49. A comparison of financial duration models via density forecast
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (40)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) View citations (18)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (31)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) View citations (9)
    See also Journal Article in International Journal of Forecasting (2004)
50. 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 (4)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003)
    See also Journal Article in Journal of Econometrics (2004)
51. BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS
    Econometric Society 2004 North American Winter Meetings, Econometric Society
52. Econometrics
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) View citations (29)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004)
53. 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 (51)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (27)
54. 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 (21)
    See also Journal Article in Journal of Econometrics (2004)

2003

55. 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 (7)
    See also Journal Article in Empirical Economics (2003)
56. Dynamic latent factor models for intensity processes
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (13)
57. Explaining Adaptive Radial-Based Direction Sampling
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
58. Ranking economics departments in Europe: a statistical approach
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (79)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (33)
    See also Journal Article in Journal of the European Economic Association (2003)

2002

59. A New Class of Multivariate skew Densities, with Application to GARCH Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (36)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2002) View citations (12)
60. Adaptive Polar Sampling
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (5)
61. Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (3)
62. Bayesian option pricing using asymmetric GARCH models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)
    Also in G.R.E.Q.A.M., Universite Aix-Marseille III (2000) View citations (1)
    See also Journal Article in Journal of Empirical Finance (2002)
63. Multivariate GARCH models and their Estimation
    Computing in Economics and Finance 2002, Society for Computational Economics

2000

64. 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)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1999) View citations (6)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (6)
65. 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 (31)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2000) View citations (20)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) View citations (8)
66. 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)
67. 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)
68. 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 (36)
    See also Journal Article in Annals of Economics and Statistics (2000)

1999

69. 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)
70. Trends and breaking points in the Bayesian econometric literature
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

1998

71. 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)
72. 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 (3)
73. 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 (17)
    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 in Econometrics Journal (1998)
74. Gibbs sampling approach to cointegration
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) View citations (4)

1997

75. Bayesian Option Pricing Using Asymmetric GARCH
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (3)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) View citations (2)
76. 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 (5)
77. 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 (1)

1996

78. Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
79. Identification restrictions and posterior densities in cointegrated Gaussian VAR system
    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) (1994) View citations (18)

1995

80. Bayesian and classical econometric modeling of time series
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
81. 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)

1994

82. 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)
83. Estimating End-use Demand: a Bayesian Approach
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
    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 in Journal of Business & Economic Statistics (1994)

1993

84. 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

85. Bayesian diagnostics for heterogeneity
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article in Annals of Economics and Statistics (1991)
86. 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)
    Also in G.R.E.Q.A.M., Universite Aix-Marseille III (1990) View citations (1)
    See also Journal Article in Annals of Economics and Statistics (1991)
87. 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

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

1988

89. 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 (7)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1987)
    See also Journal Article in Journal of Econometrics (1988)

1985

90. 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 (5)
    See also Journal Article in Journal of Econometrics (1985)

1983

91. An export model for the Belgian industry
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    See also Journal Article in European Economic Review (1983)
92. 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)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1983)

Journal Articles

2020

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

2019

2. A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
   Journal of Business & Economic Statistics, 2019, 37, (4), 696-709 View citations (2)

2018

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

2017

4. A dynamic component model for forecasting high-dimensional realized covariance matrices
   Econometrics and Statistics, 2017, 1, (C), 40-61 View citations (11)
   See also Working Paper (2020)
5. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
   Journal of Business & Economic Statistics, 2017, 35, (2), 162-182 View citations (10)
   See also Working Paper (2017)

2016

6. Estimation and empirical performance of non-scalar dynamic conditional correlation models
   Computational Statistics & Data Analysis, 2016, 100, (C), 17-36 View citations (7)
   See also Working Paper (2014)
7. Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices
   Annals of Economics and Statistics, 2016, (123-124), 103-134 View citations (3)
   See also Working Paper (2016)
8. Modeling the Dependence of Conditional Correlations on Market Volatility
   Journal of Business & Economic Statistics, 2016, 34, (2), 254-268 View citations (11)
   See also Working Paper (2016)

2015

9. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
   Journal of Applied Econometrics, 2015, 30, (4), 596-620 View citations (42)
   See also Working Paper (2011)
   Working Paper (2015)

2014

10. 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 (16)
11. Marginal likelihood for Markov-switching and change-point GARCH models
    Journal of Econometrics, 2014, 178, (P3), 508-522 View citations (31)
    See also Working Paper (2011)

2013

12. Forecasting a long memory process subject to structural breaks
    Journal of Econometrics, 2013, 177, (2), 171-184 View citations (10)
    See also Working Paper (2012)
13. MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
    Journal of Applied Econometrics, 2013, 28, (5), 743-761 View citations (28)
    See also Working Paper (2011)

2012

14. On marginal likelihood computation in change-point models
    Computational Statistics & Data Analysis, 2012, 56, (11), 3415-3429 View citations (9)
    See also Working Paper (2012)

2011

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

2010

16. General-to-specific modelling of exchange rate volatility: A forecast evaluation
    International Journal of Forecasting, 2010, 26, (4), 885-907 View citations (9)
    See also Working Paper (2010)
17. Intradaily dynamic portfolio selection
    Computational Statistics & Data Analysis, 2010, 54, (11), 2400-2418 View citations (4)
18. Theory and inference for a Markov switching GARCH model
    Econometrics Journal, 2010, 13, (2), 218-244 View citations (59)
    See also Working Paper (2010)

2009

19. A Component GARCH Model with Time Varying Weights
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (2), 1-33 View citations (26)
    See also Working Paper (2009)
20. Efficient importance sampling for ML estimation of SCD models
    Computational Statistics & Data Analysis, 2009, 53, (6), 1974-1992 View citations (12)
    See also Working Paper (2009)

2007

21. Bayesian Clustering of Many Garch Models
    Econometric Reviews, 2007, 26, (2-4), 365-386 View citations (18)
    See also Working Paper (2007)
22. Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
    Econometric Reviews, 2007, 26, (2-4), 469-486 View citations (9)
    See also Working Paper (2007)
23. Bayesian inference for the mixed conditional heteroskedasticity model
    Econometrics Journal, 2007, 10, (2), 408-425 View citations (11)
    See also Working Paper (2007)
24. Multivariate mixed normal conditional heteroskedasticity
    Computational Statistics & Data Analysis, 2007, 51, (7), 3551-3566 View citations (32)
    See also Working Paper (2007)
25. The Econometrics of Industrial Organization
    Journal of Applied Econometrics, 2007, 22, (7), 1153-1156 View citations (1)

2006

26. Causality and exogeneity in econometrics
    Journal of Econometrics, 2006, 132, (2), 305-309 View citations (4)
27. Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange
    Monetary and Economic Studies, 2006, 24, (1), 1-23 View citations (4)
    See also Working Paper (2006)
28. Editor’s introduction
    Empirical Economics, 2006, 30, (4), 791-794 View citations (1)
29. Exchange rate volatility and the mixture of distribution hypothesis
    Empirical Economics, 2006, 30, (4), 889-911 View citations (24)
    See also Chapter (2008)
    Working Paper (2006)
30. Multivariate GARCH models: a survey
    Journal of Applied Econometrics, 2006, 21, (1), 79-109 View citations (91)
    Also in Journal of Applied Econometrics, 2006, 21, (1), 79-109 (2006) View citations (892)
    See also Working Paper (2006)
31. Stochastic Conditional Intensity Processes
    Journal of Financial Econometrics, 2006, 4, (3), 450-493 View citations (45)
    See also Working Paper (2006)

2005

32. 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 (108)
    See also Working Paper (2005)
33. 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 (108)
    See also Working Paper (2005)

2004

34. A comparison of financial duration models via density forecasts
    International Journal of Forecasting, 2004, 20, (4), 589-609 View citations (86)
    See also Working Paper (2004)
35. Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
    Journal of Econometrics, 2004, 123, (2), 201-225 View citations (17)
    See also Working Paper (2004)
36. Recent advances in Bayesian econometrics
    Journal of Econometrics, 2004, 123, (2), 197-199
37. 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 (89)
    See also Working Paper (2004)

2003

38. Asymmetric ACD models: Introducing price information in ACD models
    Empirical Economics, 2003, 28, (4), 709-731 View citations (44)
    See also Working Paper (2003)
39. Ranking Economics Departments in Europe: A Statistical Approach
    Journal of the European Economic Association, 2003, 1, (6), 1367-1401 View citations (112)
    See also Working Paper (2003)

2002

40. Bayesian option pricing using asymmetric GARCH models
    Journal of Empirical Finance, 2002, 9, (3), 321-342 View citations (27)
    See also Working Paper (2002)

2000

41. 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 (171)
    See also Working Paper (2000)

1998

42. Bayesian inference on GARCH models using the Gibbs sampler
    Econometrics Journal, 1998, 1, (ConferenceIssue), C23-C46 View citations (81)
    See also Working Paper (1998)

1996

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

1995

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

1994

45. Estimating End-Use Demand: A Bayesian Approach
    Journal of Business & Economic Statistics, 1994, 12, (2), 221-31 View citations (16)
    See also Working Paper (1994)

1991

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

1988

48. Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods
    Journal of Econometrics, 1988, 38, (1-2), 39-72 View citations (34)
    See also Working Paper (1988)
49. Inter-industry and intra-industry specialization in manufactured goods
    Review of World Economics (Weltwirtschaftliches Archiv), 1988, 124, (1), 1-13 View citations (3)
50. The determinants of intra-European trade in manufactured goods
    European Economic Review, 1988, 32, (7), 1421-1437 View citations (12)

1987

51. Intra-industry Specialisation in a Multi-country and Multi-industry Framework
    Economic Journal, 1987, 97, (388), 923-39 View citations (74)
52. Théorie de l’information et diagnostic médical: une analyse coût-efficacité
    L'Actualité Economique, 1987, 63, (2), 243-255

1985

53. 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 (10)
    See also Working Paper (1985)

1983

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

Books

2000

1. Bayesian Inference in Dynamic Econometric Models
   OUP Catalogue, Oxford University Press View citations (139)

Edited books

2008

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

Chapters

2013

1. Bayesian methods
   Chapter 16 in Handbook of Research Methods and Applications in Empirical Macroeconomics, 2013, pp 363-380
   See also Working Paper (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
   See also Working Paper (2006)
   Journal Article in Empirical Economics (2006)

Software Items