Luc Bauwens
Names
first:  Luc 
last:  Bauwens 
Contact
email:  
homepage:  http://perso.uclouvain.be/luc.bauwens/Bauwens.htm 
postal address:  34 Voie du Roman Pays B1348 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)
 website
 location: LouvainlaNeuve, Belgium
Research profile
author of:

A Comparison of Financial Duration Models via Density Forecasts
by Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas 
THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE.
by EECKHOUDT, L. & BAUWENS, L. & BRIYS, E. & SCARMURE, P. 
THE "PATHOLOGY" OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL.
by BAUWENS, L. 
Estimating EndUse Demand: A Bayesian Approach.
by Bauwens, Luc & Fiebig, Denzil G. & Steel, Mark F. J. 
Intraindustry Specialisation in a Multicountry and Multiindustry Framework.
by Balassa, Bela & Bauwens, Luc 
Bayesian inference on GARCH models using the Gibbs sampler
by LUC BAUWENS & MICHEL LUBRANO 
Bayesian option pricing using asymmetric GARCH models
by Bauwens, Luc & Lubrano, Michel 
Ranking Economics Departments in Europe: A Statistical Approach
by Michel Lubrano & Luc Bauwens & Alan Kirman & Camelia Protopopescu 
Editors' introduction Bayesian and classical econometric modeling of time series
by Bauwens, Luc & Lubrano, Michel 
A New Class of Multivariate skew Densities, with Application to GARCH Models
by Luc Bauwens & Sébastien Laurent 
BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS
by Luc Bauwens & Jeroen Rombouts 
The stochastic conditional duration model: a latent variable model for the analysis of financial durations
by Bauwens, Luc & Veredas, David 
Editor's introduction
by Bauwens, Luc & Polasek, Wolfgang & van Dijk, Herman K. 
Bayesian Inference on GARCH Models Using the Gibbs Sampler.
by Bauwens, L. & Lubrano, M. 
ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUEATRISK
by K. Van Dijk & Luc Bauwens & Charles Bos 
Adaptive Polar Sampling
by Luc Bauwens & Charles S. Bos & Herman K. van Dijk & Rutger D. van Oest 
Bayesian Option Pricing using Asymmetric Garch Models.
by Bauwens, L. & Lubrano, M. 
Bayesian Option Pricing Using Asymmetric GARCH
by Bauwens, L. & Lubrano, M. 
Recent advances in Bayesian econometrics
by Bauwens, Luc & Lubrano, Michel & van Dijk, Herman K. 
Adaptive radialbased direction sampling: some flexible and robust Monte Carlo integration methods
by Bauwens, Luc & Bos, Charles S. & van Dijk, Herman K. & van Oest, Rutger D. 
A comparison of financial duration models via density forecasts
by Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David 
Asymmetric ACD models: Introducing price information in ACD models
by Luc Bauwens & Pierre Giot 
News announcements, market activity and volatility in the euro/dollar foreign exchange market
by Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre 
Editor’s introduction
by Luc Bauwens & Winfried Pohlmeier & David Veredas 
Exchange rate volatility and the mixture of distribution hypothesis
by Luc Bauwens & Dagfinn Rime & Genaro Sucarrat 
Multivariate GARCH models: a survey
by Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts 
Causality and exogeneity in econometrics
by Bauwens, Luc & Peter Boswijk, H. & Urbain, JeanPierre 
Exchange Rate Volatility and the Mixture of Distribution Hypothesis
by Luc, BAUWENS & Dagfinn, RIME & Genaro, SUCARRAT 
Bayesian inference for the mixed conditional heteroskedasticity model
by Luc, Bauwens & J. V. K., ROMBOUTS 
IntraDaily FX Optimal Portfolio Allocation
by Luc, BAUWENS & Walid, BEN OMRANE & Erick, Rengifo 
General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation
by Luc, BAUWENS & Genaro, SUCARRAT 
A 11 polyt random variable generator with application to Monte Carlo integration
by Bauwens, Luc & Richard, JeanFrancois 
Regime switching GARCH models
by Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS 
Multivariate mixed normal conditional heteroskedasticity
by Luc, BAUWENS & C. M., HAFNER & J. V. K., ROMBOUTS 
A component GARCH model with time varying weights
by Giuseppe Storti & Luc Bauwens 
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods
by Zellner, Arnold & Bauwens, Luc & Van Dijk, Herman K. 
An export model for the Belgian industry
by Bauwens, Luc & d'Alcantara, Gonzague 
The determinants of intraEuropean trade in manufactured goods
by Balassa, Bela & Bauwens, Luc 
Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market
by Luc, BAUWENS & Michel, LUBRANO 
Bayesian inference for the mixed conditional heteroskedasticity model
by Luc Bauwens & Jeroen V. K. Rombouts 
Regime switching GARCH models
by Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts 
Stochastic Conditional Intensity Processes
by Luc Bauwens & Nikolaus Hautsch 
Econometric Analysis of Intradaily Trading Activity on the Tokyo Stock Exchange
by Bauwens, Luc 
Modelling Financial High Frequency Data Using Point Processes
by Luc, BAUWENS & Nikolaus, HAUTSCH 
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
by Bauwens, Luc & Laurent, Sebastien 
Multivariate mixed normal conditional heteroskedasticity
by Bauwens, L. & Hafner, C. M. & Rombouts, J. V. K. 
Bayesian inference for the mixed conditional heteroskedasticity model
by L. Bauwens & J. V. K. Rombouts 
A Component GARCH Model with Time Varying Weights
by Luc, BAUWENS & G., STORTI 
Theory and inference for a Markov switching GARCH model
by Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS 
Efficient importance sampling for ML estimation of SCD models
by Luc, BAUWENS & Fausto Galli 
Interindustry and intraindustry specialization in manufactured goods
by Bela Balassa & Luc Bauwens 
Theory and inference for a Markov switching Garch model.
by Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts 
Theory and Inference for a MarkovSwitching GARCH Model
by Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts 
The Econometrics of Industrial Organization
by Luc Bauwens & Alvaro Escribano & Michel Lubrano 
Modelling Financial High Frequency Data Using Point Processes
by Luc Bauwens & Nikolaus Hautsch 
The Resistible Decline of European Science
by Bauwens, Luc & Mion, Giordano & Thisse, JacquesFrançois 
General to specific modelling of exchange rate volatility : a forecast evaluation
by Sucarrat, Genaro & Bauwens, Luc 
A component GARCH model with time varying weights
by BAUWENS, Luc & STORTI, Giuseppe 
The resistible decline of European science
by BAUWENS, Luc & MION, Giordano & THISSE, JacquesFrançois 
Efficient importance sampling for ML estimation of SCD models
by BAUWENS, Luc & GALLI, Fausto 
Theory and inference for a Markov switching GARCH model
by BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen V. K. 
Modelling financial high frequency data using point processes
by BAUWENS, Luc & HAUTSCH, Nikolaus 
Multivariate GARCH models: a survey
by BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen 
Multivariate mixed normal conditional heteroskedasticity
by BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen 
Identifying longrun behaviour with nonstationary data.
by BAUWENS, Luc & HUNTER, John 
General to specific modelling of exchange rate volatility: a forecast evaluation
by BAUWENS, Luc & SUCARRAT, Genaro 
Regime switching GARCH models
by BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen 
The moments of LogACD models
by BAUWENS, Luc & GALLI, Fausto & GIOT, Pierre 
Exchange rate volatility and the mixture of distribution hypothesis
by BAUWENS, Luc & RIME, Dagfinn & SUCARRAT, Genaro 
News announcements, market activity and volatility in the Euro/Dollar foreign exchange market
by BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre 
Ranking economics departments in Europe: a statistical approach
by BAUWENS, Luc & KIRMAN, Alan & LUBRANO, Michel & PROTOPOPESCU, Camelia 
A comparison of financial duration models via density forecasts
by BAUWENS , Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David 
Intradaily FX optimal portfolio allocation
by BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick 
Dynamic latent factor models for intensity processes
by BAUWENS, Luc & HAUTSCH, Nikolaus 
A new class of multivariate skew densities, with application to GARCH models
by BAUWENS, Luc & LAURENT, Sébastien 
The stochastic conditional duration model: a latent factor model for the analysis of financial durations
by BAUWENS, Luc & VEREDAS, David 
Adaptive polar sampling with an application to a Bayes measure of valueatrisk
by BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K. 
Bayesian clustering of many GARCH models
by BAUWENS, Luc & ROMBOUTS, Jeroen 
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market
by BAUWENS, Luc & LUBRANO, Michel 
Bayesian inference for the mixed conditional heteroskedasticity model
by BAUWENS, Luc & ROMBOUTS, Jeroen V. K. 
Asymmetric ACD models: introducing price information in ACD models with a two state transition model
by BAUWENS, Luc & GIOT, Pierre 
Bayesian option pricing using asymmetric GARCH
by BAUWENS, LUC & LUBRANO, Michel 
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.
by ZELLNER, A. & BAUWENS, Luc & VAN DIJK, H. 
Approximate HPD regions for testing residual autocorrelation using augmented regressions
by BAUWENS, Luc & RASQUERO, A. 
Modelling interest rates with a cointegrated VARGARCH model
by BAUWENS, Luc & DEPRINS, Dominique & VANDEUREN, JeanPierre 
The logarithmic ACD model: an application to market microstructure and NASDAQ
by BAUWENS, LUC & GIOT, Pierre 
Efficient importance sampling for ML estimation of SCD models
by Bauwens, L. & Galli, F. 
Art experts and auctions Are presale estimates unbiased and fully informative?
by Luc BAUWENS & Victor GINSBURGH 
A Component GARCH Model with Time Varying Weights
by Bauwens Luc & Storti Giuseppe 
On Marginal Likelihood Computation in Changepoint Models
by Luc Bauwens & Jeroen V. K. Rombouts 
Théorie de l’information et diagnostic médical : une analyse coûtefficacité
by Eeckhoudt, Louis & Bauwens, Luc & Lebrun, Thérèse 
On marginal likelihood computation in changepoint models
by BAUWENS, Luc & ROMBOUTS, Jeroen 
Bayesian Inference on GARCH Models using the Gibbs Sampler
by BAUWENs, Luc & LUBRANO , Michel 
Do Art Experts make Rational Estimates of PreSale Prices ?
by BAUWENS, Luc & GINSBURGH, Victor A. 
On the Weak Consistency of the QuasiMaximum Likelihood Estimator in VAR Models with BEKKGARCH(1,q) Errors
by BAUWENS, Luc & VANDEUREN, JeanPierre 
Intradaily dynamic portfolio selection
by Bauwens, Luc & Ben Omrane, Walid & Rengifo, Erick 
Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems
by BAUWENS, Luc & LUBRANO , Michel 
Theory and inference for a Markov switching GARCH model
by Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts 
Estimating EndUse Demand : A Bayesian Approach
by BAUWENS, Luc & FIEBIG, Denzil & STEEL, Mark 
A Gibbs sampling approach to cointegration
by BAUWENS, Luc & GIOT, Pierre 
A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V. K. Rombouts 
A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts 
A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models
by BAUWENS, Luc & KOOP, Gary & KOROBILIS, Dimitris & ROMBOUTS, Jeroen V. K. 
Generaltospecific modelling of exchange rate volatility: A forecast evaluation
by Bauwens, Luc & Sucarrat, Genaro 
Bayesian Inference in Dynamic Econometric Models
by Bauwens, Luc & Lubrano, Michel & Richard, JeanFrancois 
Econometrics
by Rombouts, Jeroen V. K. & Bauwens, Luc 
The Contribution of Structural Break Models to Forecasting Macroeconomic Series
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V. K. Rombouts 
A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen Rombouts 
Multivariate Volatility Modeling of Electricity Futures
by Luc Bauwens & Christian M. Hafner & Diane Pierret 
Marginal Likelihood for MarkovSwitching and ChangePoint Garch Models
by Luc Bauwens & Arnaud Dufays & Jeroen Rombouts 
Volatility models
by BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien 
Bayesian methods
by BAUWENS, Luc & KOROBILIS, Dimitris 
Estimating and forecasting structural breaks in financial time series
by BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno 
Marginal Likelihood for Markovswitching and Changepoint Garch Models
by Luc Luc & Arnaud Dufays & Jeroen V. K. Rombouts 
Marginal likelihood for Markovswitching and changepoint GARCH models
by BAUWENS, Luc & DUFAYS, Arnaud & ROMBOUTS, Jeroen V. K. 
Marginal Likelihood for MarkovSwitching and ChangePoint GARCH Models
by Luc Bauwens & Arnaud Dufays & Jeroen V. K. Rombouts 
The Resistible Decline of European Science
by Luc Bauwens & Giordano Mion & JacquesFrançois Thisse 
Multivariate volatility modeling of electricity futures
by BAUWENS, Luc & HAFNER, Christian & pierret, Diane 
A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models
by Bauwens, Luc & Korobilis, Dimitris & Koop, Gary & Rombouts, Jeroen V. K. 
Computationally efficient inference procedures for vast dimensional realized covariance models
by BAUWENS, Luc & STORTI, Giuseppe 
High frequency finance
by Luc Bauwens & David Veredas & Winfried Pohlmeier 
A comparison of financial duration models via density forecast
by Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas 
The stochastic conditional duration model: a latent factor model for the analysis of financial durations
by Luc Bauwens & David Veredas 
High frequency financial econometrics. Recent developments
by Winfried Pohlmeier & Luc Bauwens & David Veredas 
On marginal likelihood computation in changepoint models
by Bauwens, Luc & Rombouts, Jeroen V. K. 
Forecasting long memory processes subject to structural breaks
by WANG, ShinHuei & BAUWENS, Luc & HSIAO, Cheng 
Dynamic conditional correlation models for realized covariance matrices
by BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco 
The Resistible Decline of European Science
by Luc BAUWENS & Giordano MION & JacquesFrançois THISSE 
Modeling the dependence of conditional correlations on volatility
by BAUWENS, Luc & otranto, EDOARDO 
Posterior moments of elasticities between real wages and unemployment in Belgium : an application of Bayesian inference by Monte Carlo integration
by Luc Bauwens 
MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
by Luc Bauwens & Christian M. Hafner & Diane Pierret 
Forecasting a long memory process subject to structural breaks
by Wang, Cindy ShinHuei & Bauwens, Luc & Hsiao, Cheng 
Art experts and auctions :are presale estimates unbiased and fully informative
by Victor Ginsburgh & Luc Bauwens 
Explaining Adaptive RadialBased Direction Sampling
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
by Bauwens, L. & Bos, C. S. & van Dijk, H. K. 
Adaptive radialbased direction sampling; Some flexible and robust Monte Carlo integration methods
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
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 ValueatRisk
by Bauwens, L. & Bos, C. S. & van Dijk, H. K. 
Marginal likelihood for Markovswitching and changepoint GARCH models
by Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V. K. 
The resistible decline of European science
by Bauwens, Luc & Mion, Giordano & Thisse, JacquesFrançois 
Estimation and empirical performance of nonscalar dynamic conditional correlation models
by BAUWENS, Luc & GRIGORYEVA, Lyudmila & ORTEGA, JuanPablo 
Exchange rate volatility and the mixture of distribution hypothesis
by BAUWENS, Luc & RIME, Dagfinn & SUCARRAT, Genaro 
Identification restrictions and posterior densities in cointegrated Gaussian VAR system
by BAUWENS, L. & LUBRANO, M. 
Modeling and predicting intraday price movements in stock markets with autoregressive conditional duration models
by BAUWENS, Luc & GIOT, Pierre 
Modelling financial high frequency data using point processes
by BAUWENS, Luc & HAUTSCH, Nikolaus 
Generaltospecific modelling of exchange rate volatility: a forecast evaluation
by BAUWENS, Luc & SUCARRAT, Genaro 
The moments of LogACD models
by BAUWENS, Luc & GALLi, Fausto & GIOT, Pierre 
The logarithmic ACD model: an application to the bidask quote process of three NYSE stocks
by BAUWENS, Luc & GIOT, Pierre 
The law of large (small?) numbers and the demand for insurance
by EECKHOUDT, L. & BAUWENS, L. & BRIYS, E. & SCARMURE, P. 
Trends and breaking points in the Bayesian econometric literature
by BAUWENS, Luc & LUBRANO, Michel 
Forecasting comparison of long term component dynamic models for realized covariance matrices
by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe 
Estimating Enduse Demand: a Bayesian Approach
by BAUWENS, L. & FIEBIG, D. G. & STEEL, M. F. J. 
Gibbs sampling approach to cointegration
by BAUWENS, Luc & GIOT, Pierre 
On marginal likelihood computation in changepoint models
by BAUWENS, Luc & ROMBOUTS, Jeroen VK 
Efficient importance sampling for ML estimation of SCD models
by BAUWENS, Luc & GALLI, Fausto 
Econometrics
by BAUWENS, Luc & ROMBOUTS, Jeroen V. K. 
Bayesian methods
by Luc Bauwens & Dimitris Korobilis
edited by 
News announcements, market activity and volatility in the euro/dollar foreign exchange market
by BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre 
Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics
by BAUWENS, L. & POLASEK, W. & van DIJK, H. K. 
A Bayesian method of changepoint estimation with recurrent regimes: Application to GARCH models
by Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud 
Stochastic conditional intensity processes
by BAUWENS, Luc & HAUTSCH, Nikolaus 
Multivariate GARCH models: a survey
by BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK 
Computationally efficient inference procedures for vast dimensional realized covariance models
by BAUWENS, Luc & STORTI, Giuseppe 
Multivariate mixed normal conditional heteroskedasticity
by BAUWENS, Luc & HAFNER, Christian M. & ROMBOUTS, Jeroen VK 
Econometric analysis of intradaily trading activity on the Tokyo Stock Exchange
by BAUWENS, Luc 
The resistible decline of European Science
by BAUWENS, Luc & MION, Giordano & THISSE, JacquesFrançois 
Bayesian inference for the mixed conditional heteroskedasticity model
by BAUWENS, Luc & ROMBOUTS, Jeroen VK 
Bayesian diagnostics for heterogeneity
by BAUWENS, Luc & LUBRANO, Michel 
Ranking economics departments in Europe: a statistical approach
by BAUWENS, Luc & KIRMAN, Alan & LUBRANO, Michel & PROTOPOPESCU, Camelia 
Theory and inference for a Markov switching Garch model
by BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen VK 
Bayesian inference on GARCH models using the Gibbs sampler
by BAUWENS, L. & LUBRANO, M. 
Bayesian and classical econometric modeling of time series
by BAUWENS, L. & LUBRANO, M. 
A component GARCH model with time varying weights
by BAUWENS, Luc & STORTI, Giuseppe 
Bayesian option pricing using asymmetric GARCH models
by BAUWENS , Luc & LUBRANO, Michel 
Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration
by BAUWENS, Luc 
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods
by ZELLNER, Arnold & BAUWENS, Luc & VAN DIJK, Herman K. 
Adaptive Polar Sampling with an Application to a Bayes Measure of ValueatRisk
by Luc Bauwens & Charles S. Bos & Herman K. van Dijk 
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market
by BAUWENS, Luc & LUBRANO, Michel 
Approximate HPD regions for testing residual autocorrelation using augmented regressions
by BAUWENS, Luc & RASQUERO, Aline 
Autoregressive moving average infinite hidden markovswitching models
by Bauwens, Luc & Carpantier, JeanFrançois & Dufays, Arnaud 
Art experts and auctions are presale estimates unbiased and fully informative?
by BAUWENS, Luc & GINSBURGH, Victor 
Adaptive Polar Sampling: A New MC Technique for the Analysis of Illbehaved Surfaces
by Luc Bauwens & Charles S. Bos & Herman K. van Dijk 
Bayesian clustering of many GARCH models
by BAUWENS, Luc & ROMBOUTS, Jeroen VK 
An export model for the Belgian industry
by BAUWENS, Luc & d'ALCANTARA, Gonzague 
A 11 polyt random variable generator with application to Monte Carlo integration
by BAUWENS, Luc & RICHARD, JeanFrançois 
Asymmetric ACD models: Introducing price information in ACD models
by BAUWENS, Luc & GIOT, Pierre 
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
by BAUWENS, Luc & LAURENT, Sébastien 
A comparison of financial duration models via density forecasts
by BAUWENS, Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David 
Adaptive radialbased direction sampling: some flexible and robust Monte Carlo integration methods
by BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K. & VAN OEST, Rutger D. 
The stochastic conditional duration model: a latent variable model for the analysis of financial durations
by BAUWENS, Luc & VEREDAS, David 
The Contribution of Structural Break Models to Forecasting Macroeconomic Series
by Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V. K. Rombouts 
Estimating enduse demand: A Bayesian approach
by Steel, Mark F. J. & Fiebig, Denzil G. & Bauwens, Luc 
A dynamic component model for forecasting highdimensional realized covariance matrices
by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe 
The Logarithmic ACD Model: An Application to the BidAsk Quote Process of Three NYSE Stocks
by Luc Bauwens & Pierre Giot 
The 'pathologie' of the Natural Conjugate Prior Density in the Regression Model
by Luc Bauwens 
Bayesian Diagnostics for Heterogeneity
by Luc Bauwens & Michel Lubrano 
Estimation and empirical performance of nonscalar dynamic conditional correlation models
by Bauwens, Luc & Grigoryeva, Lyudmila & Ortega, JuanPablo 
A new approach to volatility modeling: the HighDimensional Markov model
by Arnaud Dufays & Maciej Augustyniak & Luc Bauwens 
Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices
by Luc Bauwens & Manuela Braione & Giuseppe Storti 
A New Approach to Volatility Modeling : The HighDimensional Markov Model
by AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud 
Multiplicative Conditional Correlation Models for Realized Covariance Matrices
by BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe 
Modeling the Dependence of Conditional Correlations on Market Volatility
by Luc Bauwens & Edoardo Otranto 
The Contribution of Structural Break Models to Forecating Macroeconomic Series
by BAUWENS, Luc & KOOP, Gary & KOROBILIS, Dimitris & ROMBOUTS, Jeroen 
Autoregressive Moving Average Infinite Hidden MarkovSwitching Models
by Luc Bauwens & JeanFranÃois Carpantier & Arnaud Dufays 
Modeling the dependence of conditional correlations on market volatility
by Luc Bauwens & Edoardo Otranto 
BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED
by Bauwens, L. & Dijk, H. K. 
Forecasting comparison of long term component dynamic models for realized covariance matrices
by Luc Bauwens & Manuela Braione & Giuseppe Storti 
Nonlinearities and regimes in conditional correlations with different dynamics
by BAUWENS Luc & OTRANTO Edoardo 
Estimation and Empirical Performance of NonScalar DCC Models
by Luc BAUWENS & Lyudmila GRIGORYEVA & JuanPablo ORTEGA 
A dynamic component model for forecasting highdimensional realized covariance matrices
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 Markovswitching models
by Luc BAUWENS & JeanFrançois CARPENTIER & Arnaud DUFAYS 
Autoregressive Moving Average Infinite Hidden MarkovSwitching Models
by Luc Bauwens & JeanFrançois Carpantier & Arnaud Dufays 
A dynamic component model for forecasting highdimensional realized covariance matrices
by Bauwens, Luc & Braione, Manuela & Storti, Giuseppe 
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics
by L. Bauwens & E. Otrando 
StateSpace Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering
by Yukai Yang & Luc Bauwens 
Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
by Luc Bauwens & Michel Lubrano 
Modeling the Dependence of Conditional Correlations on Volatility
by L. Bauwens & E. Otranto 
StateSpace Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering
by Yukai Yang & Luc Bauwens 
Bayesian Clustering of Many Garch Models
by L. Bauwens & J. V. K. Rombouts 
Recent developments in the econometrics of financial markets using intraday data
by BAUWENS, Luc 
Multivariate GARCH models and their Estimation
by L. Bauwens & S. Laurent & J. P. Peters & J. Rombouts 
The "pathology" of the natural conjugate prior density in the regression model
by BAUWENS, Luc 
DCCHEAVY: a multivariate GARCH model based on realized variances and correlations
by Bauwens, Luc & Xu, Yongdeng 
DCCHEAVY: A multivariate GARCH model based on realized variances and correlations
by BAUWENS Luc & XU Yongdeng 
A new approach: the factorial hidden Markov volatility model
by Maciej Augustyniak & Luc Bauwens & Arnaud Dufays 
Statespace models on the Stiefel Manifold with a new approach to nonlinear filtering
by Yukai Yang & Luc Bauwens 
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
by Maciej Augustyniak & Luc Bauwens & Arnaud Dufays
editor of:

High Frequency Financial Econometrics
edited by Luc Bauwens & Winfried Pohlmeier & David Veredas