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The 'pathologie' of the Natural Conjugate Prior Density in the Regression Model,
Luc Bauwens,
in Annals of Economics and Statistics
(1991)
Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange,
Luc Bauwens,
in Monetary and Economic Studies
(2006)
THE "PATHOLOGY" OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL,
Luc Bauwens,
from Universite Aix-Marseille III
(1990)
Keywords: regression analysis ; linear models ; econometrics
Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration,
Luc Bauwens,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1983)
The "pathology" of the natural conjugate prior density in the regression model,
Luc Bauwens,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1991)
Recent developments in the econometrics of financial markets using intra-day data,
Luc Bauwens,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1999)
Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange,
Luc Bauwens,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2006)
Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration,
Luc Bauwens,
from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)
(1983)
Registered author: Luc Bauwens
Econometrics,
Jeroen Rombouts and Luc Bauwens,
from Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE)
(2004)
Modelling financial high frequency data using point processes,
Luc Bauwens and Nikolaus Hautsch,
from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
(2007)
Keywords: Financial point processes, dynamic duration models, dynamic intensity models
State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering,
Yukai Yang and Luc Bauwens,
from Department of Economics and Business Economics, Aarhus University
(2018)
Keywords: State-space models, Stiefel manifold, matrix Langevin distribution, filtering, smoothing, Laplace method, dynamic factor model, cointegration
Bayesian Diagnostics for Heterogeneity,
Luc Bauwens and Michel Lubrano,
in Annals of Economics and Statistics
(1991)
The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks,
Luc Bauwens and Pierre Giot,
in Annals of Economics and Statistics
(2000)
State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering,
Yukai Yang and Luc Bauwens,
in Econometrics
(2018)
Keywords: state-space models; Stiefel manifold; matrix Langevin distribution; filtering; smoothing; Laplace method; dynamic factor model; cointegration
Stochastic Conditional Intensity Processes,
Luc Bauwens and Nikolaus Hautsch,
in Journal of Financial Econometrics
(2006)
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models,
Luc Bauwens and Edoardo Otranto,
in Journal of Financial Econometrics
(2023)
Keywords: dynamic covariances and correlations, Hadamard exponential matrix, realized covariances
A New Class of Multivariate skew Densities, with Application to GARCH Models,
Luc Bauwens and Sébastien Laurent,
from Society for Computational Economics
(2002)
Keywords: Multivariate skewness, Multivariate Student density, Multivariate GARCH models.
Bayesian Inference on GARCH Models Using the Gibbs Sampler,
Luc Bauwens and Michel Lubrano,
from Universite Aix-Marseille III
(1996)
Keywords: TIME SERIES;MODELS;ECONOMETRICS;STATISTICS
Bayesian Option Pricing Using Asymmetric GARCH,
Luc Bauwens and Michel Lubrano,
from Universite Aix-Marseille III
(1997)
Keywords: PRICING ; SIMULATION
Bayesian Option Pricing using Asymmetric Garch Models,
Luc Bauwens and Michel Lubrano,
from Universite Aix-Marseille III
(2000)
Keywords: PRICING ; EXPECTATIONS ; ECONOMETRIC MODELS
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models,
Luc Bauwens and Sébastien Laurent,
in Journal of Business & Economic Statistics
(2005)
A Component GARCH Model with Time Varying Weights,
Luc Bauwens and Giuseppe Storti,
in Studies in Nonlinear Dynamics & Econometrics
(2009)
Bayesian Clustering of Many Garch Models,
Luc Bauwens and Jeroen Rombouts,
in Econometric Reviews
(2007)
Keywords: Bayesian inference, Clustering, GARCH, Gibbs sampling, Mixtures,
Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market,
Luc Bauwens and Michel Lubrano,
in Econometric Reviews
(2007)
Keywords: Bayesian inference, Credit rationing, Data augmentation, Disequilibrium model, Latent variables, Poland,
Modeling the Dependence of Conditional Correlations on Market Volatility,
Luc Bauwens and Edoardo Otranto,
in Journal of Business & Economic Statistics
(2016)
Approximate HPD regions for testing residual autocorrelation using augmented regressions,
Luc Bauwens and A. Rasquero,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1992)
Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems,
Luc Bauwens and Michel Lubrano,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1994)
Do Art Experts make Rational Estimates of Pre-Sale Prices ?,
Luc Bauwens and Victor Ginsburgh,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1994)
Bayesian Inference on GARCH Models using the Gibbs Sampler,
Luc Bauwens and Michel Lubrano,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1996)
A Gibbs sampling approach to cointegration,
Luc Bauwens and Pierre Giot,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1997)
Bayesian option pricing using asymmetric GARCH,
Luc Bauwens and Michel Lubrano,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1997)
Keywords: Bayesian, GARCH, option pricing, simulation
The logarithmic ACD model: an application to market microstructure and NASDAQ,
Luc Bauwens and Pierre Giot,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1997)
Keywords: Duration, High frequency data, Liquidity, Market microstructure, NASDAQ
Identifying long-run behaviour with non-stationary data,
Luc Bauwens and John Hunter,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2000)
Keywords: Cointegration, Identification, Identifiability, Order Condition, Sufficient Conditions.
A new class of multivariate skew densities, with application to GARCH models,
Luc Bauwens and Sébastien Laurent,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2002)
Keywords: multivariate skew density, multivariate Student density, multivariate GARCH models
Bayesian clustering of many GARCH models,
Luc Bauwens and Jeroen Rombouts,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2003)
Keywords: Bayesian inference, clustering, GARCH, Gibbs sampling, mixtures
Dynamic latent factor models for intensity processes,
Luc Bauwens and Nikolaus Hautsch,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2003)
Keywords: multivariate point process, latent factor, transaction durations, efficient importance sampling
Bayesian inference for the mixed conditional heteroskedasticity model,
Luc Bauwens and Jeroen Rombouts,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2005)
Keywords: finite mixture, ML estimation, Bayesian inference, Value at Risk
General to specific modelling of exchange rate volatility: a forecast evaluation,
Luc Bauwens and Genaro Sucarrat,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2006)
Keywords: exchange rate volatility, general to specific, forecasting
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market,
Luc Bauwens and Michel Lubrano,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2006)
Keywords: latent variables, disequilibrium models, Bayesian inference, Gibbs sampler, credit rationing.
Modelling financial high frequency data using point processes,
Luc Bauwens and Nikolaus Hautsch,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2006)
Keywords: duration, intensity, point process, high frequency data, ACD models
A component GARCH model with time varying weights,
Luc Bauwens and Giuseppe Storti,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2007)
Keywords: GARCH, persistence, volatility components, value-at-risk, expected shortfall
Efficient importance sampling for ML estimation of SCD models,
Luc Bauwens and Fausto Galli,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2007)
Keywords: stochastic conditional duration, importance sampling
On marginal likelihood computation in change-point models,
Luc Bauwens and Jeroen Rombouts,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2009)
Keywords: BIC, change-point model, Chib's method, marginal likelihood
Computationally efficient inference procedures for vast dimensional realized covariance models,
Luc Bauwens and Giuseppe Storti,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2012)
Keywords: realized covariance, CAW model, BEKK model, composite likelihood, covariance targeting, Wishart distribution
Modeling the dependence of conditional correlations on volatility,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2013)
Keywords: volatility effects, conditional correlation, DCC, Markov switching
Nonlinearities and regimes in conditional correlations with different dynamics,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2018)
Keywords: dynamic conditional correlations, regime-switching dynamic correla- tions, Hadamard exponential matrix
Realized Covariance Models with Time-varying Parameters and Spillover Effects,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2023)
Keywords: Realized volatility ; spillover effect ; attenuation effect ; time-varying parameters
An export model for the Belgian industry,
Luc Bauwens and Gonzague d'ALCANTARA,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1983)
Bayesian diagnostics for heterogeneity,
Luc Bauwens and Michel Lubrano,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1991)
Approximate HPD regions for testing residual autocorrelation using augmented regressions,
Luc Bauwens and Aline Rasquero,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1993)
Bayesian and classical econometric modeling of time series,
Luc Bauwens and Michel Lubrano,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1995)
Identification restrictions and posterior densities in cointegrated Gaussian VAR system,
Luc Bauwens and Michel Lubrano,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1996)
Bayesian inference on GARCH models using the Gibbs sampler,
Luc Bauwens and Michel Lubrano,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1998)
Gibbs sampling approach to cointegration,
Luc Bauwens and Pierre Giot,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1998)
Trends and breaking points in the Bayesian econometric literature,
Luc Bauwens and Michel Lubrano,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1999)
Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models,
Luc Bauwens and Pierre Giot,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2000)
Art experts and auctions are pre-sale estimates unbiased and fully informative?,
Luc Bauwens and Victor Ginsburgh,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2000)
The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks,
Luc Bauwens and Pierre Giot,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2000)
Bayesian option pricing using asymmetric GARCH models,
Luc Bauwens and Michel Lubrano,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2002)
Asymmetric ACD models: Introducing price information in ACD models,
Luc Bauwens and Pierre Giot,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2003)
The stochastic conditional duration model: a latent variable model for the analysis of financial durations,
Luc Bauwens and David Veredas,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2004)
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models,
Luc Bauwens and Sébastien Laurent,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2005)
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market,
Luc Bauwens and Michel Lubrano,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2007)
Stochastic conditional intensity processes,
Luc Bauwens and Nikolaus Hautsch,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2006)
Efficient importance sampling for ML estimation of SCD models,
Luc Bauwens and Fausto Galli,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2009)
Modelling financial high frequency data using point processes,
Luc Bauwens and Nikolaus Hautsch,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2009)
A component GARCH model with time varying weights,
Luc Bauwens and Giuseppe Storti,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2009)
General-to-specific modelling of exchange rate volatility: a forecast evaluation,
Luc Bauwens and Genaro Sucarrat,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2010)
Computationally efficient inference procedures for vast dimensional realized covariance models,
Luc Bauwens and Giuseppe Storti,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2013)
Modeling the dependence of conditional correlations on market volatility,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2016)
State-space models on the Stiefel Manifold with a new approach to nonlinear filtering,
Yukai Yang and Luc Bauwens,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2018)
Nonlinearities and regimes in conditional correlations with different dynamics,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2020)
Keywords: Dynamic conditional correlations ; Regime-switching dynamic correlations ; Hadamard exponential matrix
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2022)
Keywords: Dynamic covariances and correlations ; Hadamard exponential matrix ; realized covariances
Intra-industry Specialisation in a Multi-country and Multi-industry Framework,
Bela Balassa and Luc Bauwens,
in Economic Journal
(1987)
BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS,
Luc Bauwens and Jeroen Rombouts,
from Econometric Society
(2004)
Keywords: Large financial systems, Multivariate GARCH, Clustering, Bayesian methods, Gibbs sampling, Finite mixture distributions
Bayesian inference on GARCH models using the Gibbs sampler,
Luc Bauwens and Michel Lubrano,
in Econometrics Journal
(1998)
Keywords: Bayesian inference, GARCH, Gibbs sampler, Monte Carlo, Option pricing.
Bayesian inference for the mixed conditional heteroskedasticity model,
Luc Bauwens and Jeroen Rombouts,
in Econometrics Journal
(2007)
Efficient importance sampling for ML estimation of SCD models,
Luc Bauwens and Fausto Galli,
in Computational Statistics & Data Analysis
(2009)
On marginal likelihood computation in change-point models,
Luc Bauwens and Jeroen Rombouts,
in Computational Statistics & Data Analysis
(2012)
Keywords: BIC; Change-point model; Chib’s method; Marginal likelihood;
The stochastic conditional duration model: a latent variable model for the analysis of financial durations,
Luc Bauwens and David Veredas,
in Journal of Econometrics
(2004)
Editors' introduction Bayesian and classical econometric modeling of time series,
Luc Bauwens and Michel Lubrano,
in Journal of Econometrics
(1995)
The determinants of intra-European trade in manufactured goods,
Bela Balassa and Luc Bauwens,
in European Economic Review
(1988)
An export model for the Belgian industry,
Luc Bauwens and Gonzague d'Alcantara,
in European Economic Review
(1983)
Bayesian option pricing using asymmetric GARCH models,
Luc Bauwens and Michel Lubrano,
in Journal of Empirical Finance
(2002)
General-to-specific modelling of exchange rate volatility: A forecast evaluation,
Luc Bauwens and Genaro Sucarrat,
in International Journal of Forecasting
(2010)
Keywords: Exchange rate volatility General-to-specific Forecasting
Asymmetric ACD models: Introducing price information in ACD models,
Luc Bauwens and Pierre Giot,
in Empirical Economics
(2003)
Keywords: Duration and transition model, high frequency data, market microstructure, forecasting,
Inter-industry and intra-industry specialization in manufactured goods,
Bela Balassa and Luc Bauwens,
in Review of World Economics (Weltwirtschaftliches Archiv)
(1988)
General to specific modelling of exchange rate volatility: a forecast evaluation,
Luc Bauwens and Genaro Sucarrat,
from Universidad Carlos III de Madrid. Departamento de EconomÃa
(2008)
Keywords: Exchange rate volatility
The contribution of realized covariance models to the economic value of volatility timing,
Luc Bauwens and Yongdeng Xu,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2023)
Keywords: Volatility timing ; realized volatility ; high-frequency data ; forecasting
Nonlinearities and regimes in conditional correlations with different dynamics,
Luc Bauwens and Edoardo Otranto,
in Journal of Econometrics
(2020)
Keywords: Dynamic conditional correlations; Regime-switching dynamic correlations; Hadamard exponential matrix;
DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations,
Luc Bauwens and Yongdeng Xu,
in International Journal of Forecasting
(2023)
Keywords: Correlation forecasting; Dynamic conditional correlation; Equicorrelation; High-frequency data; Multivariate volatility;
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics,
Luc Bauwens and E. Otranto,
from Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia
(2018)
Keywords: dynamic conditional correlations;regime-switching dynamic correlations;Hadamard exponential matrix
Bayesian methods,
Luc Bauwens and Dimitris Korobilis,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2011)
Keywords: Bayesian inference, dynamic regression model, prior distributions, MCMC methods
Asymmetric ACD models: introducing price information in ACD models with a two state transition model,
Luc Bauwens and Pierre Giot,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1998)
Keywords: duration, high frequency data, market microstucture
The stochastic conditional duration model: a latent factor model for the analysis of financial durations,
Luc Bauwens and David Veredas,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(1999)
Keywords: Duration, High frequency data, Market microstucture, Factor model.
DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations,
Luc Bauwens and Yongdeng Xu,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2019)
Keywords: dynamic conditional correlations, forecasting, multivariate HEAVY, multivariate GARCH, realized correlations
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models,
Luc Bauwens and Edoardo Otranto,
from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
(2020)
Keywords: realized covariances ; dynamic covariances and correlations ; Hadamard exponential matrix
On Marginal Likelihood Computation in Change-point Models,
Luc Bauwens and Jeroen Rombouts,
from CIRPEE
(2009)
Keywords: BIC, Change-point model, Chib's method, Marginal likelihood
A component GARCH model with time varying weights,
Giuseppe Storti and Luc Bauwens,
from Society for Computational Economics
(2006)
Keywords: GARCH, persistence, volatility components, Value at Risk