Luc Bauwens

Names

first:	Luc
last:	Bauwens

Identifer

RePEc Short-ID:

pba4

Contact

homepage:	http://perso.uclouvain.be/luc.bauwens/Bauwens.htm
postal address:	34 Voie du Roman Pays B-1348 Louvain La Neuve Belgium

Affiliations

Université Catholique de Louvain / Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM) / Center for Operations Research and Econometrics (CORE)
- EDIRC entry
- location:

Research profile

author of:

Marginal Likelihood for Markov-switching and Change-point Garch Models (RePEc:aah:create:2011-41)
by Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts
State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering (RePEc:aah:create:2018-30)
by Yukai Yang & Luc Bauwens
Bayesian Diagnostics for Heterogeneity (RePEc:adr:anecst:y:1991:i:20-21:p:17-40)
by Luc Bauwens & Michel Lubrano
The 'pathologie' of the Natural Conjugate Prior Density in the Regression Model (RePEc:adr:anecst:y:1991:i:23:p:49-64)
by Luc Bauwens
The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks (RePEc:adr:anecst:y:2000:i:60:p:117-149)
by Luc Bauwens & Pierre Giot
Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices (RePEc:adr:anecst:y:2016:i:123-124:p:103-134)
by Luc Bauwens & Manuela Braione & Giuseppe Storti
Bayesian Limited Information Analysis Revisited (RePEc:ags:eureia:272386)
by Bauwens, L. & Dijk, H. K.
Multivariate volatility modeling of electricity futures (RePEc:aiz:louvad:2011013)
by Bauwens, L. & Hafner, C. & Pierret, D.
Volatility Models (RePEc:aiz:louvad:2011044)
by Bauwens, L. & Hafner C. & Laurent, S.
Asymmetric Models for Realized Covariances (RePEc:aiz:louvad:2024022)
by Bauwens, Luc & Dzuverovic, Emilija & Hafner, Christian
Asymmetric Models for Realized Covariances (RePEc:aiz:louvad:2024024)
by Bauwens, Luc & Dzuverovic, Emilija & Hafner, Christian
Volatility Models (RePEc:aiz:louvar:2012028)
by Bauwens, L. & Hafner, C. & Laurent, S.
Modelling multivariate volatility of electricity futures (RePEc:aiz:louvar:2013030)
by Bauwens, Luc & Hafner, Christian & Pierret, Diane
Estimating End-Use Demand: A Bayesian Approach (RePEc:bes:jnlbes:v:12:y:1994:i:2:p:221-31)
by Bauwens, Luc & Fiebig, Denzil G & Steel, Mark F J
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (RePEc:bes:jnlbes:v:23:y:2005:p:346-354)
by Bauwens, Luc & Laurent, Sebastien
Unknown item RePEc:bgu:wpaper:0605 (paper)
A Component GARCH Model with Time Varying Weights (RePEc:bpj:sndecm:v:13:y:2009:i:2:n:1)
by Bauwens Luc & Storti Giuseppe
The Resistible Decline of European Science (RePEc:cai:reldbu:rel_774_0005)
by Luc Bauwens & Giordano Mion & Jacques-François Thisse
DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations (RePEc:cdf:wpaper:2019/5)
by Bauwens, Luc & Xu, Yongdeng
The contribution of realized covariance models to the economic value of volatility timing (RePEc:cdf:wpaper:2023/20)
by Bauwens, Luc & Xu, Yongdeng
A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models (RePEc:cir:cirwor:2011s-13)
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts
Marginal Likelihood for Markov-Switching and Change-Point Garch Models (RePEc:cir:cirwor:2011s-72)
by Luc Bauwens & Arnaud Dufays & Jeroen Rombouts
Modeling the Dependence of Conditional Correlations on Volatility (RePEc:cns:cnscwp:201304)
by L. Bauwens & E. Otranto
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics (RePEc:cns:cnscwp:201803)
by L. Bauwens & E. Otranto
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models (RePEc:cns:cnscwp:202007)
by L. Bauwens & E. Otranto
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods (RePEc:cor:louvco:1987056)
by ZELLNER, A. & BAUWENS, Luc & VAN DIJK, H.
Approximate HPD regions for testing residual autocorrelation using augmented regressions (RePEc:cor:louvco:1992038)
by BAUWENS, Luc & RASQUERO, A.
Estimating End-Use Demand : A Bayesian Approach (RePEc:cor:louvco:1992052)
by BAUWENS, Luc & FIEBIG, Denzil & STEEL, Mark
Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems (RePEc:cor:louvco:1994018)
by BAUWENS, Luc & LUBRANO , Michel
Do Art Experts make Rational Estimates of Pre-Sale Prices ? (RePEc:cor:louvco:1994038)
by BAUWENS, Luc & GINSBURGH, Victor A.
On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors (RePEc:cor:louvco:1995038)
by BAUWENS, Luc & VANDEUREN, Jean-Pierre
Bayesian Inference on GARCH Models using the Gibbs Sampler (RePEc:cor:louvco:1996027)
by BAUWENs, Luc & LUBRANO , Michel
A Gibbs sampling approach to cointegration (RePEc:cor:louvco:1997016)
by BAUWENS, Luc & GIOT, Pierre
Bayesian option pricing using asymmetric GARCH (RePEc:cor:louvco:1997059)
by BAUWENS, LUC & LUBRANO, Michel
Modelling interest rates with a cointegrated VAR-GARCH model (RePEc:cor:louvco:1997080)
by BAUWENS, Luc & DEPRINS, Dominique & VANDEUREN, Jean-Pierre
The logarithmic ACD model: an application to market microstructure and NASDAQ (RePEc:cor:louvco:1997089)
by BAUWENS, LUC & GIOT, Pierre
Asymmetric ACD models: introducing price information in ACD models with a two state transition model (RePEc:cor:louvco:1998044)
by BAUWENS, Luc & GIOT, Pierre
Adaptive polar sampling with an application to a Bayes measure of value-at-risk (RePEc:cor:louvco:1999057)
by BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K.
The stochastic conditional duration model: a latent factor model for the analysis of financial durations (RePEc:cor:louvco:1999058)
by BAUWENS, Luc & VEREDAS, David
Identifying long-run behaviour with non-stationary data (RePEc:cor:louvco:2000043)
by BAUWENS, Luc & HUNTER, John
A comparison of financial duration models via density forecasts (RePEc:cor:louvco:2000060)
by BAUWENS , Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David
A new class of multivariate skew densities, with application to GARCH models (RePEc:cor:louvco:2002020)
by BAUWENS, Luc & LAURENT, Sébastien
The moments of Log-ACD models (RePEc:cor:louvco:2003011)
by BAUWENS, Luc & GALLI, Fausto & GIOT, Pierre
News announcements, market activity and volatility in the Euro/Dollar foreign exchange market (RePEc:cor:louvco:2003029)
by BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre
Multivariate GARCH models: a survey (RePEc:cor:louvco:2003031)
by BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen
Ranking economics departments in Europe: a statistical approach (RePEc:cor:louvco:2003050)
by BAUWENS, Luc & KIRMAN, Alan & LUBRANO, Michel & PROTOPOPESCU, Camelia
Bayesian clustering of many GARCH models (RePEc:cor:louvco:2003087)
by BAUWENS, Luc & ROMBOUTS, Jeroen
Dynamic latent factor models for intensity processes (RePEc:cor:louvco:2003103)
by BAUWENS, Luc & HAUTSCH, Nikolaus
Exchange rate volatility and the mixture of distribution hypothesis (RePEc:cor:louvco:2005058)
by BAUWENS, Luc & RIME, Dagfinn & SUCARRAT, Genaro
Bayesian inference for the mixed conditional heteroskedasticity model (RePEc:cor:louvco:2005085)
by BAUWENS, Luc & ROMBOUTS, Jeroen V.K.
Intra-daily FX optimal portfolio allocation (RePEc:cor:louvco:2006010)
by BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick
Regime switching GARCH models (RePEc:cor:louvco:2006011)
by BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen
Multivariate mixed normal conditional heteroskedasticity (RePEc:cor:louvco:2006012)
by BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen
General to specific modelling of exchange rate volatility: a forecast evaluation (RePEc:cor:louvco:2006021)
by BAUWENS, Luc & SUCARRAT, Genaro
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market (RePEc:cor:louvco:2006050)
by BAUWENS, Luc & LUBRANO, Michel
Modelling financial high frequency data using point processes (RePEc:cor:louvco:2006080)
by BAUWENS, Luc & HAUTSCH, Nikolaus
A component GARCH model with time varying weights (RePEc:cor:louvco:2007019)
by BAUWENS, Luc & STORTI, Giuseppe
Efficient importance sampling for ML estimation of SCD models (RePEc:cor:louvco:2007053)
by BAUWENS, Luc & GALLI, Fausto
Theory and inference for a Markov switching GARCH model (RePEc:cor:louvco:2007055)
by BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen V.K.
The resistible decline of European science (RePEc:cor:louvco:2007092)
by BAUWENS, Luc & MION, Giordano & THISSE, Jacques-François
On marginal likelihood computation in change-point models (RePEc:cor:louvco:2009061)
by BAUWENS, Luc & ROMBOUTS, Jeroen
A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models (RePEc:cor:louvco:2011003)
by BAUWENS, Luc & KOOP, Gary & KOROBILIS, Dimitris & ROMBOUTS, Jeroen V. K.
Multivariate volatility modeling of electricity futures (RePEc:cor:louvco:2011011)
by BAUWENS, Luc & HAFNER, Christian & pierret, Diane
Marginal likelihood for Markov-switching and change-point GARCH models (RePEc:cor:louvco:2011013)
by BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K.
Estimating and forecasting structural breaks in financial time series (RePEc:cor:louvco:2011055)
by BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno
Volatility models (RePEc:cor:louvco:2011058)
by BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien
Bayesian methods (RePEc:cor:louvco:2011061)
by BAUWENS, Luc & KOROBILIS, Dimitris
Computationally efficient inference procedures for vast dimensional realized covariance models (RePEc:cor:louvco:2012028)
by BAUWENS, Luc & STORTI, Giuseppe
Forecasting long memory processes subject to structural breaks (RePEc:cor:louvco:2012048)
by WANG, Shin-Huei & BAUWENS, Luc & HSIAO, Cheng
Dynamic conditional correlation models for realized covariance matrices (RePEc:cor:louvco:2012060)
by BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco
Modeling the dependence of conditional correlations on volatility (RePEc:cor:louvco:2013014)
by BAUWENS, Luc & otranto, EDOARDO
Estimation and empirical performance of non-scalar dynamic conditional correlation models (RePEc:cor:louvco:2014012)
by BAUWENS, Luc & GRIGORYEVA, Lyudmila & ORTEGA, Juan-Pablo
Forecasting comparison of long term component dynamic models for realized covariance matrices (RePEc:cor:louvco:2014053)
by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe
Autoregressive moving average infinite hidden markov-switching models (RePEc:cor:louvco:2015007)
by Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud
A dynamic component model for forecasting high-dimensional realized covariance matrices (RePEc:cor:louvco:2016001)
by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe
Multiplicative Conditional Correlation Models for Realized Covariance Matrices (RePEc:cor:louvco:2016041)
by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe
A New Approach to Volatility Modeling : The High-Dimensional Markov Model (RePEc:cor:louvco:2016042)
by AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud
Nonlinearities and regimes in conditional correlations with different dynamics (RePEc:cor:louvco:2018009)
by BAUWENS Luc, & OTRANTO Edoardo,
DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations (RePEc:cor:louvco:2019025)
by BAUWENS Luc, & XU Yongdeng,
Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models (RePEc:cor:louvco:2020034)
by Bauwens, Luc & Otranto, Edoardo
We modeled long memory with just one lag! (RePEc:cor:louvco:2022016)
by Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien
The contribution of realized covariance models to the economic value of volatility timing (RePEc:cor:louvco:2023018)
by Bauwens, Luc & Xu, Yongdeng
Realized Covariance Models with Time-varying Parameters and Spillover Effects (RePEc:cor:louvco:2023019)
by Bauwens, Luc & Otranto, Edoardo
Asymmetric Models for Realized Covariances (RePEc:cor:louvco:2024024)
by Bauwens, Luc & Dzuverovic, Emilija & Hafner, Christian
Approximate HPD regions for testing residual autocorrelation using augmented regressions (RePEc:cor:louvrp:1053)
by BAUWENS, Luc & RASQUERO, Aline
Estimating End-use Demand: a Bayesian Approach (RePEc:cor:louvrp:1090)
by Bauwens, L. & Fiebig, D. G. & Steel, M. F. J.
Bayesian and classical econometric modeling of time series (RePEc:cor:louvrp:1175)
by Bauwens, L. & Lubrano, M.
Identification restrictions and posterior densities in cointegrated Gaussian VAR system (RePEc:cor:louvrp:1206)
by Bauwens, L. & Lubrano, M.
Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics (RePEc:cor:louvrp:1232)
by BAUWENS, L. & POLASEK, W. & van DIJK, H. K.
Bayesian inference on GARCH models using the Gibbs sampler (RePEc:cor:louvrp:1307)
by Bauwens, L. & Lubrano, M.
Gibbs sampling approach to cointegration (RePEc:cor:louvrp:1336)
by BAUWENS, Luc & GIOT, Pierre
Recent developments in the econometrics of financial markets using intra-day data (RePEc:cor:louvrp:1403)
by BAUWENS, Luc
Trends and breaking points in the Bayesian econometric literature (RePEc:cor:louvrp:1420)
by BAUWENS, Luc & LUBRANO, Michel
Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models (RePEc:cor:louvrp:1442)
by BAUWENS, Luc & GIOT, Pierre
Art experts and auctions are pre-sale estimates unbiased and fully informative? (RePEc:cor:louvrp:1485)
by BAUWENS, Luc & GINSBURGH, Victor
The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks (RePEc:cor:louvrp:1497)
by BAUWENS, Luc & GIOT, Pierre
Bayesian option pricing using asymmetric GARCH models (RePEc:cor:louvrp:1569)
by BAUWENS , Luc & LUBRANO, Michel
Asymmetric ACD models: Introducing price information in ACD models (RePEc:cor:louvrp:1670)
by BAUWENS, Luc & GIOT, Pierre
The stochastic conditional duration model: a latent variable model for the analysis of financial durations (RePEc:cor:louvrp:1688)
by BAUWENS, Luc & VEREDAS, David
Ranking economics departments in Europe: a statistical approach (RePEc:cor:louvrp:1694)
by BAUWENS, Luc & KIRMAN, Alan & LUBRANO, Michel & PROTOPOPESCU, Camelia
Econometrics (RePEc:cor:louvrp:1713)
by BAUWENS, Luc & ROMBOUTS, Jeroen V.K.
Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods (RePEc:cor:louvrp:1731)
by BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K. & VAN OEST, Rutger D.
A comparison of financial duration models via density forecasts (RePEc:cor:louvrp:1746)
by BAUWENS, Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David
News announcements, market activity and volatility in the euro/dollar foreign exchange market (RePEc:cor:louvrp:1787)
by BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre
Exchange rate volatility and the mixture of distribution hypothesis (RePEc:cor:louvrp:1788)
by BAUWENS, Luc & RIME, Dagfinn & SUCARRAT, Genaro
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models (RePEc:cor:louvrp:1793)
by BAUWENS, Luc & LAURENT, Sébastien
Multivariate GARCH models: a survey (RePEc:cor:louvrp:1847)
by BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK
Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange (RePEc:cor:louvrp:1862)
by BAUWENS, Luc
Multivariate mixed normal conditional heteroskedasticity (RePEc:cor:louvrp:1906)
by BAUWENS, Luc & HAFNER, Christian M. & ROMBOUTS, Jeroen VK
Bayesian clustering of many GARCH models (RePEc:cor:louvrp:1916)
by BAUWENS, Luc & ROMBOUTS, Jeroen VK
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market (RePEc:cor:louvrp:1918)
by BAUWENS, Luc & LUBRANO, Michel
Bayesian inference for the mixed conditional heteroskedasticity model (RePEc:cor:louvrp:1931)
by BAUWENS, Luc & ROMBOUTS, Jeroen VK
Stochastic conditional intensity processes (RePEc:cor:louvrp:1937)
by BAUWENS, Luc & HAUTSCH, Nikolaus
The moments of Log-ACD models (RePEc:cor:louvrp:2023)
by BAUWENS, Luc & GALLi, Fausto & GIOT, Pierre
Efficient importance sampling for ML estimation of SCD models (RePEc:cor:louvrp:2088)
by BAUWENS, Luc & GALLI, Fausto
Modelling financial high frequency data using point processes (RePEc:cor:louvrp:2123)
by BAUWENS, Luc & HAUTSCH, Nikolaus
A component GARCH model with time varying weights (RePEc:cor:louvrp:2125)
by BAUWENS, Luc & STORTI, Giuseppe
General-to-specific modelling of exchange rate volatility: a forecast evaluation (RePEc:cor:louvrp:2234)
by BAUWENS, Luc & SUCARRAT, Genaro
Theory and inference for a Markov switching Garch model (RePEc:cor:louvrp:2303)
by BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen VK
The resistible decline of European Science (RePEc:cor:louvrp:2383)
by BAUWENS, Luc & MION, Giordano & THISSE, Jacques-François
On marginal likelihood computation in change-point models (RePEc:cor:louvrp:2403)
by BAUWENS, Luc & ROMBOUTS, Jeroen VK
Computationally efficient inference procedures for vast dimensional realized covariance models (RePEc:cor:louvrp:2469)
by BAUWENS, Luc & STORTI, Giuseppe
Multivariate volatility modeling of electricity futures (RePEc:cor:louvrp:2526)
by BAUWENS, Luc & HAFNER, Christian M. & PIERRET, Diane
Marginal likelihood for Markov-switching and change-point GARCH models (RePEc:cor:louvrp:2533)
by BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V.K.
Forecasting a long memory process subject to structural breaks (RePEc:cor:louvrp:2574)
by WANG, Cindy Shin-Huei & BAUWENS, Luc & HSIAO, Cheng
A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models (RePEc:cor:louvrp:2641)
by BAUWENS, Luc & DE BACKER, Bruno & DUFAYS, Arnaud
The Contribution of Structural Break Models to Forecating Macroeconomic Series (RePEc:cor:louvrp:2651)
by BAUWENS, Luc & KOOP, Gary & KOROBILIS, Dimitris & ROMBOUTS, Jeroen
Estimation and Empirical Performance of Non-Scalar DCC Models (RePEc:cor:louvrp:2775)
by Luc BAUWENS & Lyudmila GRIGORYEVA & Juan-Pablo ORTEGA
A dynamic component model for forecasting high-dimensional realized covariance matrices (RePEc:cor:louvrp:2812)
by Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI & Luc BAUWENS, Manuela BRAIONE and Giuseppe STORTI
Autoregressive moving average infinite hidden Markov-switching models (RePEc:cor:louvrp:2836)
by Luc BAUWENS & Jean-François CARPENTIER & Arnaud DUFAYS
Forecasting comparison of long term component dynamic models for realized covariance matrices (RePEc:cor:louvrp:2923)
by Luc Bauwens & Manuela Braione & Giuseppe Storti
Modeling the dependence of conditional correlations on market volatility (RePEc:cor:louvrp:2924)
by Luc Bauwens & Edoardo Otranto
State-space models on the Stiefel Manifold with a new approach to nonlinear filtering (RePEc:cor:louvrp:2985)
by Yukai Yang & Luc Bauwens
A new approach: the factorial hidden Markov volatility model (RePEc:cor:louvrp:3066)
by Maciej Augustyniak & Luc Bauwens & Arnaud Dufays
Nonlinearities and regimes in conditional correlations with different dynamics (RePEc:cor:louvrp:3128)
by Bauwens, Luc & Otranto, Edoardo
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models (RePEc:cor:louvrp:3202)
by Bauwens, Luc & Otranto, Edoardo
We modeled long memory with just one lag! (RePEc:cor:louvrp:3234)
by Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien
An export model for the Belgian industry (RePEc:cor:louvrp:533)
by BAUWENS, Luc & d'ALCANTARA, Gonzague
Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration (RePEc:cor:louvrp:587)
by BAUWENS, Luc
A 1-1 poly-t random variable generator with application to Monte Carlo integration (RePEc:cor:louvrp:644)
by BAUWENS, Luc & RICHARD, Jean-François
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods (RePEc:cor:louvrp:796)
by ZELLNER, Arnold & BAUWENS, Luc & VAN DIJK, Herman K.
The law of large (small?) numbers and the demand for insurance (RePEc:cor:louvrp:954)
by Eeckhoudt, L. & Bauwens, L. & Briys, E. & Scarmure, P.
The "pathology" of the natural conjugate prior density in the regression model (RePEc:cor:louvrp:962)
by BAUWENS, Luc
Bayesian diagnostics for heterogeneity (RePEc:cor:louvrp:963)
by BAUWENS, Luc & LUBRANO, Michel
The Resistible Decline of European Science (RePEc:cpr:ceprdp:6625)
by Thisse, Jacques-FranÃ§ois & Bauwens, Luc & Mion, Giordano
Estimating end-use demand: A Bayesian approach (RePEc:cte:werepe:2839)
by Bauwens, Luc & Fiebig, Denzil G. & Steel, Mark F.J.
General to specific modelling of exchange rate volatility : a forecast evaluation (RePEc:cte:werepe:we081810)
by Bauwens, Luc & Sucarrat, Genaro
Exchange Rate Volatility and the Mixture of Distribution Hypothesis (RePEc:ctl:louvec:2005043)
by Luc, BAUWENS & Dagfinn, RIME & Genaro, SUCARRAT
Bayesian inference for the mixed conditional heteroskedasticity model (RePEc:ctl:louvec:2005058)
by Luc, Bauwens & J.V.K., ROMBOUTS
Intra-Daily FX Optimal Portfolio Allocation (RePEc:ctl:louvec:2006005)
by Luc, BAUWENS & Walid, BEN OMRANE & Erick, Rengifo
Regime switching GARCH models (RePEc:ctl:louvec:2006006)
by Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS
Multivariate mixed normal conditional heteroskedasticity (RePEc:ctl:louvec:2006007)
by Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS
General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation (RePEc:ctl:louvec:2006013)
by Luc, BAUWENS & Genaro, SUCARRAT
Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market (RePEc:ctl:louvec:2006027)
by Luc, BAUWENS & Michel, LUBRANO
Modelling Financial High Frequency Data Using Point Processes (RePEc:ctl:louvec:2006039)
by Luc, BAUWENS & Nikolaus, HAUTSCH
A Component GARCH Model with Time Varying Weights (RePEc:ctl:louvec:2007012)
by Luc, BAUWENS & G., STORTI
Efficient importance sampling for ML estimation of SCD models (RePEc:ctl:louvec:2007032)
by Luc, BAUWENS & Fausto Galli
Theory and inference for a Markov switching GARCH model (RePEc:ctl:louvec:2007033)
by Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS
Posterior moments of elasticities between real wages and unemployment in Belgium : an application of Bayesian inference by Monte Carlo integration (RePEc:ctl:louvre:1983013)
by Luc Bauwens
Art experts and auctions Are pre-sale estimates unbiased and fully informative? (RePEc:ctl:louvre:2000022)
by Luc BAUWENS & Victor GINSBURGH
The Resistible Decline of European Science (RePEc:ctl:louvre:2011041)
by Luc BAUWENS & Giordano MION & Jacques-François THISSE
Intra-industry Specialisation in a Multi-country and Multi-industry Framework (RePEc:ecj:econjl:v:97:y:1987:i:388:p:923-39)
by Balassa, Bela & Bauwens, Luc
Bayesian Clustering Of Similar Multivariate Garch Models (RePEc:ecm:nawm04:370)
by Luc Bauwens & Jeroen Rombouts
A Comparison of Financial Duration Models via Density Forecasts (RePEc:ecm:wc2000:0810)
by Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas
Bayesian inference on GARCH models using the Gibbs sampler (RePEc:ect:emjrnl:v:1:y:1998:i:conferenceissue:p:c23-c46)
by Luc Bauwens & Michel Lubrano
Bayesian inference for the mixed conditional heteroskedasticity model (RePEc:ect:emjrnl:v:10:y:2007:i:2:p:408-425)
by L. Bauwens & J.V.K. Rombouts
Theory and inference for a Markov switching GARCH model (RePEc:ect:emjrnl:v:13:y:2010:i:2:p:218-244)
by Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts
A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models (RePEc:edn:sirdps:266)
by Bauwens, Luc & Korobilis, Dimitris & Koop, Gary & Rombouts, Jeroen V.K.
Estimation and empirical performance of non-scalar dynamic conditional correlation models (RePEc:eee:csdana:v:100:y:2016:i:c:p:17-36)
by Bauwens, Luc & Grigoryeva, Lyudmila & Ortega, Juan-Pablo
Multivariate mixed normal conditional heteroskedasticity (RePEc:eee:csdana:v:51:y:2007:i:7:p:3551-3566)
by Bauwens, L. & Hafner, C.M. & Rombouts, J.V.K.
Efficient importance sampling for ML estimation of SCD models (RePEc:eee:csdana:v:53:y:2009:i:6:p:1974-1992)
by Bauwens, L. & Galli, F.
Intradaily dynamic portfolio selection (RePEc:eee:csdana:v:54:y:2010:i:11:p:2400-2418)
by Bauwens, Luc & Ben Omrane, Walid & Rengifo, Erick
On marginal likelihood computation in change-point models (RePEc:eee:csdana:v:56:y:2012:i:11:p:3415-3429)
by Bauwens, Luc & Rombouts, Jeroen V.K.
The stochastic conditional duration model: a latent variable model for the analysis of financial durations (RePEc:eee:econom:v:119:y:2004:i:2:p:381-412)
by Bauwens, Luc & Veredas, David
Recent advances in Bayesian econometrics (RePEc:eee:econom:v:123:y:2004:i:2:p:197-199)
by Bauwens, Luc & Lubrano, Michel & van Dijk, Herman K.
Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods (RePEc:eee:econom:v:123:y:2004:i:2:p:201-225)
by Bauwens, Luc & Bos, Charles S. & van Dijk, Herman K. & van Oest, Rutger D.
Causality and exogeneity in econometrics (RePEc:eee:econom:v:132:y:2006:i:2:p:305-309)
by Bauwens, Luc & Peter Boswijk, H. & Urbain, Jean-Pierre
Forecasting a long memory process subject to structural breaks (RePEc:eee:econom:v:177:y:2013:i:2:p:171-184)
by Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng
Marginal likelihood for Markov-switching and change-point GARCH models (RePEc:eee:econom:v:178:y:2014:i:p3:p:508-522)
by Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K.
Nonlinearities and regimes in conditional correlations with different dynamics (RePEc:eee:econom:v:217:y:2020:i:2:p:496-522)
by Bauwens, Luc & Otranto, Edoardo
We modeled long memory with just one lag! (RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616)
by Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien
A 1-1 poly-t random variable generator with application to Monte Carlo integration (RePEc:eee:econom:v:29:y:1985:i:1-2:p:19-46)
by Bauwens, Luc & Richard, Jean-Francois
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods (RePEc:eee:econom:v:38:y:1988:i:1-2:p:39-72)
by Zellner, Arnold & Bauwens, Luc & Van Dijk, Herman K.
Editors' introduction Bayesian and classical econometric modeling of time series (RePEc:eee:econom:v:69:y:1995:i:1:p:1-4)
by Bauwens, Luc & Lubrano, Michel
Editor's introduction (RePEc:eee:econom:v:75:y:1996:i:1:p:1-5)
by Bauwens, Luc & Polasek, Wolfgang & van Dijk, Herman K.
A dynamic component model for forecasting high-dimensional realized covariance matrices (RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61)
by Bauwens, Luc & Braione, Manuela & Storti, Giuseppe
An export model for the Belgian industry (RePEc:eee:eecrev:v:22:y:1983:i:3:p:265-276)
by Bauwens, Luc & d'Alcantara, Gonzague
The determinants of intra-European trade in manufactured goods (RePEc:eee:eecrev:v:32:y:1988:i:7:p:1421-1437)
by Balassa, Bela & Bauwens, Luc
A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models (RePEc:eee:empfin:v:29:y:2014:i:c:p:207-229)
by Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud
Bayesian option pricing using asymmetric GARCH models (RePEc:eee:empfin:v:9:y:2002:i:3:p:321-342)
by Bauwens, Luc & Lubrano, Michel
A comparison of financial duration models via density forecasts (RePEc:eee:intfor:v:20:y:2004:i:4:p:589-609)
by Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David
General-to-specific modelling of exchange rate volatility: A forecast evaluation (RePEc:eee:intfor:v:26:y::i:4:p:885-907)
by Bauwens, Luc & Sucarrat, Genaro
DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations (RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955)
by Bauwens, Luc & Xu, Yongdeng
News announcements, market activity and volatility in the euro/dollar foreign exchange market (RePEc:eee:jimfin:v:24:y:2005:i:7:p:1108-1125)
by Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre
The resistible decline of European science (RePEc:ehl:lserod:42681)
by Bauwens, Luc & Mion, Giordano & Thisse, Jacques-François
Bayesian methods (RePEc:elg:eechap:14327_16)
by Luc Bauwens & Dimitris Korobilis
Explaining Adaptive Radial-Based Direction Sampling (RePEc:ems:eureir:1045)
by Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D.
Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces (RePEc:ems:eureir:1550)
by Bauwens, L. & Bos, C.S. & van Dijk, H.K.
Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods (RePEc:ems:eureir:1722)
by Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D.
Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods (RePEc:ems:eureir:555)
by Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D.
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk (RePEc:ems:eureir:7712)
by Bauwens, L. & Bos, C.S. & van Dijk, H.K.
Bayesian Option Pricing using Asymmetric Garch Models (RePEc:fth:aixmeq:00a18)
by Bauwens, L. & Lubrano, M.
The Law Of Large (Small?) Numbers And The Demand For Insurance (RePEc:fth:aixmeq:90a03)
by Eeckhoudt, L. & Bauwens, L. & Briys, E. & Scarmure, P.
The "Pathology" Of The Natural Conjugate Prior Density In The Regression Model (RePEc:fth:aixmeq:90a14)
by Bauwens, L.
Bayesian Inference on GARCH Models Using the Gibbs Sampler (RePEc:fth:aixmeq:96a21)
by Bauwens, L. & Lubrano, M.
Bayesian Option Pricing Using Asymmetric GARCH (RePEc:fth:aixmeq:97a40)
by Bauwens, L. & Lubrano, M.
State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering (RePEc:gam:jecnmx:v:6:y:2018:i:4:p:48-:d:190086)
by Yukai Yang & Luc Bauwens
Autoregressive Moving Average Infinite Hidden Markov-Switching Models (RePEc:hal:journl:hal-01795051)
by Luc Bauwens & Jean-François Carpantier & Arnaud Dufays
We modeled long memory with just one lag! (RePEc:hal:journl:hal-04185755)
by Luc Bauwens & Guillaume Chevillon & Sébastien Laurent
Unknown item RePEc:hum:wpaper:sfb649dp2007-066 (paper)
Unknown item RePEc:hum:wpaper:sfb649dp2011-063 (paper)
Bayesian inference for the mixed conditional heteroskedasticity model (RePEc:iea:carech:0607)
by Luc Bauwens & Jeroen V.K. Rombouts
Regime switching GARCH models (RePEc:iea:carech:0608)
by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts
Theory and inference for a Markov switching Garch model (RePEc:iea:carech:0709)
by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts
Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange (RePEc:ime:imemes:v:24:y:2006:i:1:p:1-23)
by Bauwens, Luc
Multivariate GARCH models: a survey (RePEc:jae:japmet:v:21:y:2006:i:1:p:79-109)
by Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts
The Econometrics of Industrial Organization (RePEc:jae:japmet:v:22:y:2007:i:7:p:1153-1156)
by Luc Bauwens & Alvaro Escribano & Michel Lubrano
A new approach to volatility modeling: the High-Dimensional Markov model (RePEc:lvl:crrecr:1609)
by Arnaud Dufays & Maciej Augustyniak & Luc Bauwens
Theory and Inference for a Markov-Switching GARCH Model (RePEc:lvl:lacicr:0733)
by Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts
On Marginal Likelihood Computation in Change-point Models (RePEc:lvl:lacicr:0942)
by Luc Bauwens & Jeroen V.K. Rombouts
A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models (RePEc:lvl:lacicr:1104)
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models (RePEc:lvl:lacicr:1138)
by Luc Bauwens & Arnaud Dufays & Jeroen V.K. Rombouts
Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models (RePEc:oup:jfinec:v:21:y:2023:i:4:p:1376-1401.)
by Luc Bauwens & Edoardo Otranto
Stochastic Conditional Intensity Processes (RePEc:oup:jfinec:v:4:y:2006:i:3:p:450-493)
by Luc Bauwens & Nikolaus Hautsch
Bayesian Inference in Dynamic Econometric Models (RePEc:oxp:obooks:9780198773139)
by Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois
The Contribution of Structural Break Models to Forecasting Macroeconomic Series (RePEc:rim:rimwps:38_11)
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts
Théorie de l’information et diagnostic médical : une analyse coût-efficacité (RePEc:ris:actuec:v:63:y:1987:i:2:p:243-255)
by Eeckhoudt, Louis & Bauwens, Luc & Lebrun, Thérèse
Adaptive Polar Sampling With An Application To A Bayes Measure Of Value-At-Risk (RePEc:sce:scecf0:145)
by K. Van Dijk & Luc Bauwens & Charles Bos
Multivariate GARCH models and their Estimation (RePEc:sce:scecf2:19)
by L. Bauwens & S. Laurent & J.P. Peters & J. Rombouts
Adaptive Polar Sampling (RePEc:sce:scecf2:307)
by Luc Bauwens & Charles S. Bos & Herman K. van Dijk & Rutger D. van Oest
A New Class of Multivariate skew Densities, with Application to GARCH Models (RePEc:sce:scecf2:5)
by Luc Bauwens & Sébastien Laurent
A component GARCH model with time varying weights (RePEc:sce:scecfa:388)
by Giuseppe Storti & Luc Bauwens
A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices (RePEc:sep:wpaper:3_234)
by Luc Bauwens & Manuela Braione & Giuseppe Storti
Asymmetric ACD models: Introducing price information in ACD models (RePEc:spr:empeco:v:28:y:2003:i:4:p:709-731)
by Luc Bauwens & Pierre Giot
Editor’s introduction (RePEc:spr:empeco:v:30:y:2006:i:4:p:791-794)
by Luc Bauwens & Winfried Pohlmeier & David Veredas
Exchange rate volatility and the mixture of distribution hypothesis (RePEc:spr:empeco:v:30:y:2006:i:4:p:889-911)
by Luc Bauwens & Dagfinn Rime & Genaro Sucarrat
Editor's introduction: recent developments in high frequency financial econometrics (RePEc:spr:stecpp:978-3-7908-1992-2_1)
by Luc Bauwens & Winfried Pohlmeier & David Veredas
Exchange rate volatility and the mixture of distribution hypothesis (RePEc:spr:stecpp:978-3-7908-1992-2_2)
by Luc Bauwens & Dagfinn Rime & Genaro Sucarrat
High Frequency Financial Econometrics (RePEc:spr:stemec:978-3-7908-1992-2)
by None
Inter-industry and intra-industry specialization in manufactured goods (RePEc:spr:weltar:v:124:y:1988:i:1:p:1-13)
by Bela Balassa & Luc Bauwens
A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models (RePEc:str:wpaper:1113)
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts
Bayesian Clustering of Many Garch Models (RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:365-386)
by L. Bauwens & J. V. K. Rombouts
Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market (RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:469-486)
by Luc Bauwens & Michel Lubrano
Modeling the Dependence of Conditional Correlations on Market Volatility (RePEc:taf:jnlbes:v:34:y:2016:i:2:p:254-268)
by Luc Bauwens & Edoardo Otranto
Autoregressive Moving Average Infinite Hidden Markov-Switching Models (RePEc:taf:jnlbes:v:35:y:2017:i:2:p:162-182)
by Luc Bauwens & Jean-François Carpantier & Arnaud Dufays
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model (RePEc:taf:jnlbes:v:37:y:2019:i:4:p:696-709)
by Maciej Augustyniak & Luc Bauwens & Arnaud Dufays
Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces (RePEc:tin:wpaper:19980071)
by Luc Bauwens & Charles S. Bos & Herman K. van Dijk
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk (RePEc:tin:wpaper:19990082)
by Luc Bauwens & Charles S. Bos & Herman K. van Dijk
Ranking Economics Departments in Europe: A Statistical Approach (RePEc:tpr:jeurec:v:1:y:2003:i:6:p:1367-1401)
by Michel Lubrano & Luc Bauwens & Alan Kirman & Camelia Protopopescu
A comparison of financial duration models via density forecast (RePEc:ulb:ulbeco:2013/136218)
by Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas
High frequency finance (RePEc:ulb:ulbeco:2013/136220)
by Luc Bauwens & David Veredas & Winfried Pohlmeier
High frequency financial econometrics. Recent developments (RePEc:ulb:ulbeco:2013/136223)
by Winfried Pohlmeier & Luc Bauwens & David Veredas
The stochastic conditional duration model: a latent factor model for the analysis of financial durations (RePEc:ulb:ulbeco:2013/136234)
by Luc Bauwens & David Veredas
Art experts and auctions :are pre-sale estimates unbiased and fully informative (RePEc:ulb:ulbeco:2013/152099)
by Victor Ginsburgh & Luc Bauwens
Multivariate GARCH models: a survey (RePEc:wly:japmet:v:21:y:2006:i:1:p:79-109)
by Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts
Multivariate Volatility Modeling Of Electricity Futures (RePEc:wly:japmet:v:28:y:2013:i:5:p:743-761)
by Luc Bauwens & Christian M. Hafner & Diane Pierret
The Contribution of Structural Break Models to Forecasting Macroeconomic Series (RePEc:wly:japmet:v:30:y:2015:i:4:p:596-620)
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts
Econometrics (RePEc:zbw:caseps:200433)
by Rombouts, Jeroen V. K. & Bauwens, Luc
Modelling financial high frequency data using point processes (RePEc:zbw:sfb649:sfb649dp2007-066)
by Bauwens, Luc & Hautsch, Nikolaus
Multivariate volatility modeling of electricity futures (RePEc:zbw:sfb649:sfb649dp2011-063)
by Bauwens, Luc & Hafner, Christian M. & Pierret, Diane

The profile is maintained by Luc Bauwens

Permanent link: http://authors.repec.org/pro/pba4/