Luc Bauwens : Citation Profile


Are you Luc Bauwens?

Université Catholique de Louvain

27

H index

53

i10 index

3726

Citations

RESEARCH PRODUCTION:

57

Articles

193

Papers

1

Books

3

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   40 years (1983 - 2023). See details.
   Cites by year: 93
   Journals where Luc Bauwens has often published
   Relations with other researchers
   Recent citing documents: 79.    Total self citations: 81 (2.13 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba4
   Updated: 2024-01-16    RAS profile: 2024-01-04    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Otranto, Edoardo (5)

Chevillon, Guillaume (3)

Dufays, Arnaud (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Luc Bauwens.

Is cited by:

Hautsch, Nikolaus (50)

Caporin, Massimiliano (47)

Maheu, John (45)

Rombouts, Jeroen (42)

van Dijk, Herman (41)

Hafner, Christian (34)

Stentoft, Lars (33)

Francq, Christian (29)

Gallo, Giampiero (28)

Asai, Manabu (28)

Dufays, Arnaud (28)

Cites to:

Engle, Robert (90)

Bollerslev, Tim (56)

Shephard, Neil (31)

Rombouts, Jeroen (30)

Hansen, Peter (29)

van Dijk, Herman (29)

Laurent, Sébastien (27)

Sheppard, Kevin (23)

Lunde, Asger (23)

Giot, Pierre (22)

Andersen, Torben (21)

Main data


Where Luc Bauwens has published?


Journals with more than one article published# docs
Journal of Econometrics12
Computational Statistics & Data Analysis5
Journal of Applied Econometrics4
Journal of Business & Economic Statistics3
Econometrics Journal3
International Journal of Forecasting3
Empirical Economics3
Annals of Economics and Statistics3
Journal of Applied Econometrics2
European Economic Review2
Journal of Business & Economic Statistics2
Journal of Empirical Finance2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques11
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute5
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles5
Computing in Economics and Finance 2002 / Society for Computational Economics3
Discussion Papers (REL - Recherches Economiques de Louvain) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
Cardiff Economics Working Papers / Cardiff University, Cardiff Business School, Economics Section2
Working Paper series / Rimini Centre for Economic Analysis2
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
Post-Print / HAL2
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Luc Bauwens (2024 and 2023)


YearTitle of citing document
2023Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577.

Full description at Econpapers || Download paper

2023A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

Full description at Econpapers || Download paper

2023Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952.

Full description at Econpapers || Download paper

2023Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

Full description at Econpapers || Download paper

2023A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs. (2023). Khorrami, Farshad ; Krishnamurthy, Prashanth ; Fu, Hao ; Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2301.10869.

Full description at Econpapers || Download paper

2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

Full description at Econpapers || Download paper

2023Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2023). Wilms, Ines ; Rombouts, Jeroen ; Hu, Yu Jeffrey. In: Papers. RePEc:arx:papers:2303.01887.

Full description at Econpapers || Download paper

2023Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064.

Full description at Econpapers || Download paper

2023A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484.

Full description at Econpapers || Download paper

2023Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169.

Full description at Econpapers || Download paper

2023The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis. (2023). Ampountolas, Apostolos. In: Papers. RePEc:arx:papers:2307.09137.

Full description at Econpapers || Download paper

2023Measuring Value Added in Gross Trade: Endogenous Approach of Vertical Differentiation. (2023). Dutta, Sourish. In: Papers. RePEc:arx:papers:2307.10660.

Full description at Econpapers || Download paper

2023Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958.

Full description at Econpapers || Download paper

2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

Full description at Econpapers || Download paper

2023Variational Inference for GARCH-family Models. (2023). Iosifidis, Alexandros ; Magris, Martin. In: Papers. RePEc:arx:papers:2310.03435.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27.

Full description at Econpapers || Download paper

2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

Full description at Econpapers || Download paper

2023Stock Market Liquidity during Periods of Distress and its Implications: Evidence from International Financial Markets. (2023). Enow, Samuel Tabot. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-01-1.

Full description at Econpapers || Download paper

2023Measuring the trend real interest rate in a data-rich environment. (2023). Fu, Bowen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s016518892300012x.

Full description at Econpapers || Download paper

2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

Full description at Econpapers || Download paper

2023Asymmetric volatility impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426.

Full description at Econpapers || Download paper

2023Time series analysis of COVID-19 infection curve: A change-point perspective. (2023). Shao, Xiaofeng ; Zhao, Zifeng ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:1-17.

Full description at Econpapers || Download paper

2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

Full description at Econpapers || Download paper

2023Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520.

Full description at Econpapers || Download paper

2023Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165.

Full description at Econpapers || Download paper

2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

Full description at Econpapers || Download paper

2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

Full description at Econpapers || Download paper

2023Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000425.

Full description at Econpapers || Download paper

2023Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074.

Full description at Econpapers || Download paper

2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

Full description at Econpapers || Download paper

2023Forecasting the real prices of crude oil: What is the role of parameter instability?. (2023). Wang, Yudong ; Hao, Xianfeng. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006120.

Full description at Econpapers || Download paper

2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360.

Full description at Econpapers || Download paper

2023Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach. (2023). Brooks, Robert ; Hasanov, Akram Shavkatovich ; Vellachami, Sanggetha. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002314.

Full description at Econpapers || Download paper

2023On pricing double-barrier options with Markov regime switching. (2023). Zhang, Tianqi. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005906.

Full description at Econpapers || Download paper

2023Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265.

Full description at Econpapers || Download paper

2023Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures. (2023). Reh, Laura ; Hartkopf, Jan Patrick. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005019.

Full description at Econpapers || Download paper

2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

Full description at Econpapers || Download paper

2023Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289.

Full description at Econpapers || Download paper

2023Dynamic volatility contagion across the Baltic dry index, iron ore price and crude oil price under the COVID-19: A copula-VAR-BEKK-GARCH-X approach. (2023). Miao, Jiafeng ; Xu, Jing ; Chen, Yufeng. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000041.

Full description at Econpapers || Download paper

2023On a quantile autoregressive conditional duration model. (2023). Vila, Roberto ; Balakrishnan, Narayanaswamy ; Saulo, Helton. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:203:y:2023:i:c:p:425-448.

Full description at Econpapers || Download paper

2023In search of hedges and safe havens during the COVID?19 pandemic: Gold versus Bitcoin, oil, and oil uncertainty. (2023). Makram, Beljid ; Chaibi, Anis ; Boubaker, Sabri ; Al-Nassar, Nassar S. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:318-332.

Full description at Econpapers || Download paper

2023Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363.

Full description at Econpapers || Download paper

2023European systemic credit risk transmission using Bayesian networks. (2023). Pavia, Jose M ; Lopez, Jesua ; Ballester, Laura. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000405.

Full description at Econpapers || Download paper

2023Network effects and store-of-value features in the cryptocurrency market. (2023). Adelopo, Ismail ; Luo, Xiaojun ; Bakhtiar, Tiam. In: Technology in Society. RePEc:eee:teinso:v:74:y:2023:i:c:s0160791x23001252.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023Changes in the Polish Coal Sector Economic Situation with the Background of the European Union Energy Security and Eco-Efficiency Policy. (2023). Holden, Lisa ; Bedycka-Borawska, Aneta ; Borawski, Piotr. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:2:p:726-:d:1028725.

Full description at Econpapers || Download paper

2023Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy. (2023). Ratmanova, Iveta ; Ponik, Antonin ; Lisztwanova, Karolina ; Dluhoova, Dana ; Zmekal, Zdenk. In: Forecasting. RePEc:gam:jforec:v:5:y:2023:i:2:p:25-471:d:1158257.

Full description at Econpapers || Download paper

2023Scalar Measures of Volatility and Dependence for the Multivariate Models with Applications to Asian Financial Markets. (2023). Bera, Anil K ; Kim, Sangwhan. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:212-:d:1108433.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126.

Full description at Econpapers || Download paper

2023Technological intensity in manufacturing trade between ASEAN and the EU: challenges and opportunities. (2023). HEVIA, JOSE ; Arrazola, Maria ; Zapata, Amadeo Navarro. In: Asia Europe Journal. RePEc:kap:asiaeu:v:21:y:2023:i:1:d:10.1007_s10308-023-00661-1.

Full description at Econpapers || Download paper

2023The two-component Beta-t-QVAR-M-lev: a new forecasting model. (2023). Blazsek, Szabolcs ; Cardia, Michel Ferreira ; Sheng, Hsia Hua ; Fuerst, Franz ; Arestis, Philip. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00431-4.

Full description at Econpapers || Download paper

2023Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1.

Full description at Econpapers || Download paper

2023A High-dimensional Multinomial Logit Model. (2023). Nibbering, Didier. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-19.

Full description at Econpapers || Download paper

2023Endogenous Horizontal and Vertical Differentiation: Measuring Value Added in Intra-industry Trade. (2023). Dutta, Sourish. In: SocArXiv. RePEc:osf:socarx:zqb9n.

Full description at Econpapers || Download paper

2023Volatility linkages and value gains from diversifying with Islamic assets. (2023). Jahromi, Maria ; Akhtar, Shumi ; John, Kose. In: Journal of International Business Studies. RePEc:pal:jintbs:v:54:y:2023:i:8:d:10.1057_s41267-023-00641-y.

Full description at Econpapers || Download paper

2023Examining volatility and spillover effects between markets for sovereign bonds of African countries and the world’s long term interest rate. (2023). Debalke, Negash Mulatu. In: MPRA Paper. RePEc:pra:mprapa:117491.

Full description at Econpapers || Download paper

2023The determinants of the dynamic correlation between foreign exchange and equity markets: Cross-Country comparisons. (2023). Bonga-Bonga, Lumengo ; Tshikalange, Mulanga. In: MPRA Paper. RePEc:pra:mprapa:118401.

Full description at Econpapers || Download paper

2023Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1.

Full description at Econpapers || Download paper

2023Diversification evidence of bitcoin and gold from wavelet analysis. (2023). Zhang, Changyong ; Husain, Afzol ; Bhuiyan, Rubaiyat Ahsan. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00495-1.

Full description at Econpapers || Download paper

2023Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange. (2023). Kadioglu, Eyup ; Frommel, Michael. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00500-7.

Full description at Econpapers || Download paper

2023Buy, sell or rent the farm: succession planning and the future of farming on the Great Plains. (2023). Nolan, James F ; Schoney, Richard A ; Su, Chi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00381-0.

Full description at Econpapers || Download paper

2023Presale Estimates and Auction Prices in Indian Art Market: Accuracy, Determinants and Motivations. (2023). Ananthakumar, Usha ; Gurjar, Shailendra. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:3:d:10.1007_s40953-023-00357-8.

Full description at Econpapers || Download paper

2023A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x.

Full description at Econpapers || Download paper

2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

Full description at Econpapers || Download paper

2023Bayesian inference of multivariate-GARCH-BEKK models. (2023). Nur, Darfiana ; Livingston, G C. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01360-6.

Full description at Econpapers || Download paper

2023A Truncated Mixture Transition Model for Interval-valued Time Series. (2023). Luo, Yun ; Gonzalez-Rivera, Gloria. In: Working Papers. RePEc:ucr:wpaper:202315.

Full description at Econpapers || Download paper

2023BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS. (2023). Korobilis, Dimitris ; Koop, Gary. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:3:p:1047-1074.

Full description at Econpapers || Download paper

2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

Full description at Econpapers || Download paper

2023Contagion between selected European indexes during the Covid-19 pandemic. (2023). Syrek, Robert ; Gurgul, Henryk. In: Operations Research and Decisions. RePEc:wut:journl:v:33:y:2023:i:1:p:47-59:id:4.

Full description at Econpapers || Download paper

2023Horizontal and Vertical Differentiation: Approaching Endogenous Measurement in Intra-industry Trade. (2023). Dutta, Sourish. In: EconStor Preprints. RePEc:zbw:esprep:275680.

Full description at Econpapers || Download paper

Luc Bauwens has edited the books:


YearTitleTypeCited

Works by Luc Bauwens:


YearTitleTypeCited
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper50
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50
paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50
paper
2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 50
paper
2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50
article
2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50
paper
2018State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering In: CREATES Research Papers.
[Full Text][Citation analysis]
paper2
2018State-space models on the Stiefel Manifold with a new approach to nonlinear filtering.(2018) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2018State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering.(2018) In: Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
article
1991Bayesian Diagnostics for Heterogeneity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article4
1991Bayesian diagnostics for heterogeneity.(1991) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 4
paper
1991The pathologie of the Natural Conjugate Prior Density in the Regression Model In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article5
1991The pathology of the natural conjugate prior density in the regression model.(1991) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
1990THE PATHOLOGY OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL..(1990) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article184
2000The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 184
paper
1989BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED In: Econometric Institute Archives.
[Full Text][Citation analysis]
paper4
2011Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]
paper46
2011Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46
paper
2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 46
paper
2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46
paper
2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46
article
2011Volatility Models In: LIDAM Discussion Papers ISBA.
[Citation analysis]
paper26
2012Volatility Models.(2012) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 26
paper
2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26
paper
2013Modelling multivariate volatility of electricity futures In: LIDAM Reprints ISBA.
[Citation analysis]
paper7
1994Estimating End-Use Demand: A Bayesian Approach. In: Journal of Business & Economic Statistics.
[Citation analysis]
article18
1992Estimating End-Use Demand : A Bayesian Approach.(1992) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
paper
1994Estimating End-use Demand: a Bayesian Approach.(1994) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 18
paper
1992Estimating end-use demand: A Bayesian approach.(1992) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
paper
2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article130
2005A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 130
paper
2006REGIME SWITCHING GARCH MODELS In: Working Papers.
[Full Text][Citation analysis]
paper21
2006Regime switching GARCH models.(2006) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21
paper
2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21
paper
2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21
paper
2009A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article33
2007A component GARCH model with time varying weights.(2007) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33
paper
2009A component GARCH model with time varying weights.(2009) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33
paper
2007A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33
paper
2006A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has nother version. Agregated cites: 33
paper
2011The Resistible Decline of European Science In: Recherches économiques de Louvain.
[Full Text][Citation analysis]
article18
2007The resistible decline of European science.(2007) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
paper
2011The resistible decline of European Science.(2011) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
paper
2008The Resistible Decline of European Science.(2008) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
paper
2011The Resistible Decline of European Science.(2011) In: Discussion Papers (REL - Recherches Economiques de Louvain).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
paper
2011The resistible decline of European science.(2011) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
paper
2021DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations In: Cardiff Economics Working Papers.
[Full Text][Citation analysis]
paper0
2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations.(2023) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
article
2023The contribution of realized covariance models to the economic value of volatility timing In: Cardiff Economics Working Papers.
[Full Text][Citation analysis]
paper0
2023The contribution of realized covariance models to the economic value of volatility timing.(2023) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
paper
2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper65
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65
paper
2011A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65
paper
2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65
paper
2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65
paper
2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65
paper
2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65
article
2013Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper14
2013Modeling the dependence of conditional correlations on volatility.(2013) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14
paper
2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper2
2018Nonlinearities and regimes in conditional correlations with different dynamics.(2018) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
article
2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper0
2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models.(2020) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
paper
2022Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.(2022) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 0
paper
1987Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods. In: LIDAM Discussion Papers CORE.
[Citation analysis]
paper37
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37
paper
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37
article
1992Approximate HPD regions for testing residual autocorrelation using augmented regressions In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper0
1993Approximate HPD regions for testing residual autocorrelation using augmented regressions.(1993) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 0
paper
1994Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper34
1996Identification restrictions and posterior densities in cointegrated Gaussian VAR system.(1996) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 34
paper
1994Do Art Experts make Rational Estimates of Pre-Sale Prices ? In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper0
1995On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper1
1996Bayesian Inference on GARCH Models using the Gibbs Sampler In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper111
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 111
paper
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal.
[Citation analysis]
This paper has nother version. Agregated cites: 111
article
1996Bayesian Inference on GARCH Models Using the Gibbs Sampler..(1996) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has nother version. Agregated cites: 111
paper
1997A Gibbs sampling approach to cointegration In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper8
1998Gibbs sampling approach to cointegration.(1998) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 8
paper
1997Bayesian option pricing using asymmetric GARCH In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper5
1997Bayesian Option Pricing Using Asymmetric GARCH.(1997) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
1997Modelling interest rates with a cointegrated VAR-GARCH model In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper9
1997The logarithmic ACD model: an application to market microstructure and NASDAQ In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper2
1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper5
1999Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper12
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
paper
2000ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000.
[Citation analysis]
This paper has nother version. Agregated cites: 12
paper
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
paper
1999The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper130
2004The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 130
paper
2000Identifying long-run behaviour with non-stationary data. In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper1
2000A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper111
2004A comparison of financial duration models via density forecasts.(2004) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 111
paper
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 111
paper
2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 111
article
2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 111
paper
2002A new class of multivariate skew densities, with application to GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper40
2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
[Citation analysis]
This paper has nother version. Agregated cites: 40
paper
2003The moments of Log-ACD models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper22
2009The moments of Log-ACD models.(2009) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 22
paper
2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper113
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 113
paper
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 113
article
2003Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper1062
2006Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1062
paper
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1062
article
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1062
article
2003Ranking economics departments in Europe: a statistical approach In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper117
2003Ranking economics departments in Europe: a statistical approach.(2003) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 117
paper
2003Ranking Economics Departments in Europe: A Statistical Approach.(2003) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 117
article
2003Bayesian clustering of many GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper21
2007Bayesian clustering of many GARCH models.(2007) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21
paper
2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21
article
2003Dynamic latent factor models for intensity processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper18
2005Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper26
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26
paper
2005Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26
paper
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26
article
2008Exchange rate volatility and the mixture of distribution hypothesis.(2008) In: Studies in Empirical Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 26
chapter
2005Bayesian inference for the mixed conditional heteroskedasticity model In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper12
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
paper
2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
paper
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
article
2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
paper
2006Intra-daily FX optimal portfolio allocation In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper3
2006Intra-Daily FX Optimal Portfolio Allocation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3
paper
2006Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper39
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39
paper
2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39
paper
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39
article
2006General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper21
2010General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21
paper
2008General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21
paper
2006General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21
paper
2010General-to-specific modelling of exchange rate volatility: A forecast evaluation.(2010) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21
article
2006Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper13
2007Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market.(2007) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13
paper
2006Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13
paper
2007Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market.(2007) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13
article
2006Modelling financial high frequency data using point processes In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper102
2009Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 102
paper
2006Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102
paper
2007Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102
paper
2007Efficient importance sampling for ML estimation of SCD models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper18
2009Efficient importance sampling for ML estimation of SCD models.(2009) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
paper
2007Efficient importance sampling for ML estimation of SCD models.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
paper
2009Efficient importance sampling for ML estimation of SCD models.(2009) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
article
2007Theory and inference for a Markov switching GARCH model In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper74
2010Theory and inference for a Markov switching Garch model.(2010) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 74
paper
2007Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 74
paper
2010Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 74
article
2007Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 74
paper
2007Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 74
paper
2009On marginal likelihood computation in change-point models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper17
2012On marginal likelihood computation in change-point models.(2012) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17
paper
2012On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17
article
2009On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17
paper
2011Estimating and forecasting structural breaks in financial time series In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper6
2011Bayesian methods In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper2
2013Bayesian methods.(2013) In: Chapters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
chapter
2012Computationally efficient inference procedures for vast dimensional realized covariance models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper3
2013Computationally efficient inference procedures for vast dimensional realized covariance models.(2013) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3
paper
2012Forecasting long memory processes subject to structural breaks In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper11
2013Forecasting a long memory process subject to structural breaks.(2013) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 11
paper
2013Forecasting a long memory process subject to structural breaks.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11
article
2012Dynamic conditional correlation models for realized covariance matrices In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper18
2014Estimation and empirical performance of non-scalar dynamic conditional correlation models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper6
2016Estimation and empirical performance of non-scalar dynamic conditional correlation models.(2016) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6
article
2014Forecasting comparison of long term component dynamic models for realized covariance matrices In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper17
2016Forecasting comparison of long term component dynamic models for realized covariance matrices.(2016) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 17
paper
2015Autoregressive moving average infinite hidden markov-switching models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper20
2017Autoregressive moving average infinite hidden Markov-switching models.(2017) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 20
paper
2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 20
paper
2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20
article
2016A dynamic component model for forecasting high-dimensional realized covariance matrices In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper18
2017A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 18
paper
2017A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: Econometrics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
article
2020A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
paper
2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper7
2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper1
2016A new approach to volatility modeling: the High-Dimensional Markov model.(2016) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
paper
2019DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper0
2022We modeled long memory with just one lag! In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper1
2023We modeled long memory with just one lag!.(2023) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 1
paper
2023We modeled long memory with just one lag!.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1
article
2023We modeled long memory with just one lag!.(2023) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 1
paper
2023Realized Covariance Models with Time-varying Parameters and Spillover Effects In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper0
1995Bayesian and classical econometric modeling of time series In: LIDAM Reprints CORE.
[Citation analysis]
paper0
1996Editors introduction. First Riverboat conference on Bayesian econometrics and statistics In: LIDAM Reprints CORE.
[Citation analysis]
paper0
1999Recent developments in the econometrics of financial markets using intra-day data In: LIDAM Reprints CORE.
[Citation analysis]
paper0
1999Trends and breaking points in the Bayesian econometric literature In: LIDAM Reprints CORE.
[Citation analysis]
paper0
2000Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models In: LIDAM Reprints CORE.
[Citation analysis]
paper0
2000Art experts and auctions are pre-sale estimates unbiased and fully informative? In: LIDAM Reprints CORE.
[Citation analysis]
paper39
2000Art experts and auctions Are pre-sale estimates unbiased and fully informative?.(2000) In: Discussion Papers (REL - Recherches Economiques de Louvain).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39
paper
2000Art experts and auctions :are pre-sale estimates unbiased and fully informative.(2000) In: ULB Institutional Repository.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39
paper
2002Bayesian option pricing using asymmetric GARCH models In: LIDAM Reprints CORE.
[Citation analysis]
paper29
2002Bayesian option pricing using asymmetric GARCH models.(2002) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29
article
2000Bayesian Option Pricing using Asymmetric Garch Models..(2000) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has nother version. Agregated cites: 29
paper
2003Asymmetric ACD models: Introducing price information in ACD models In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
paper49
2003Asymmetric ACD models: Introducing price information in ACD models.(2003) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 49
article
2004The stochastic conditional duration model: a latent variable model for the analysis of financial durations In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
paper127
2004The stochastic conditional duration model: a latent variable model for the analysis of financial durations.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 127
article
2004Econometrics In: LIDAM Reprints CORE.
[Citation analysis]
paper26
2004Econometrics.(2004) In: Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26
paper
2004Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
paper18
2004Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
article
2003Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods.(2003) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18
paper
2006Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange In: LIDAM Reprints CORE.
[Citation analysis]
paper5
2006Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange.(2006) In: Monetary and Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5
article
2006Stochastic conditional intensity processes In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
paper46
2006Stochastic Conditional Intensity Processes.(2006) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46
article
2014A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models In: LIDAM Reprints CORE.
[Citation analysis]
paper20
2014A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models.(2014) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20
article
2015The Contribution of Structural Break Models to Forecating Macroeconomic Series In: LIDAM Reprints CORE.
[Citation analysis]
paper51
2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51
paper
2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51
article
2016Estimation and Empirical Performance of Non-Scalar DCC Models In: LIDAM Reprints CORE.
[Citation analysis]
paper0
2016Modeling the dependence of conditional correlations on market volatility In: LIDAM Reprints CORE.
[Citation analysis]
paper11
2016Modeling the Dependence of Conditional Correlations on Market Volatility.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11
article
2019A new approach: the factorial hidden Markov volatility model In: LIDAM Reprints CORE.
[Citation analysis]
paper2
1983An export model for the Belgian industry In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
paper2
1983An export model for the Belgian industry.(1983) In: European Economic Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
article
1983Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration In: LIDAM Reprints CORE.
[Citation analysis]
paper0
1983Posterior moments of elasticities between real wages and unemployment in Belgium : an application of Bayesian inference by Monte Carlo integration.(1983) In: Discussion Papers (REL - Recherches Economiques de Louvain).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
paper
1985A 1-1 poly-t random variable generator with application to Monte Carlo integration In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
paper12
1985A 1-1 poly-t random variable generator with application to Monte Carlo integration.(1985) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
article
1991The law of large (small?) numbers and the demand for insurance In: LIDAM Reprints CORE.
[Citation analysis]
paper3
1990THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE..(1990) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has nother version. Agregated cites: 3
paper
1987Intra-industry Specialisation in a Multi-country and Multi-industry Framework. In: Economic Journal.
[Full Text][Citation analysis]
article96
2004BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
paper0
2010Intradaily dynamic portfolio selection In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article4
2004Recent advances in Bayesian econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2006Causality and exogeneity in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]
article5
1995Editors introduction Bayesian and classical econometric modeling of time series In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
1996Editors introduction In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
1988The determinants of intra-European trade in manufactured goods In: European Economic Review.
[Full Text][Citation analysis]
article12
2003Explaining Adaptive Radial-Based Direction Sampling In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper0
1998Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces In: Econometric Institute Research Papers.
[Citation analysis]
paper0
1998Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces.(1998) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0
paper
2002Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper3
2007The Econometrics of Industrial Organization In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article1
2000Bayesian Inference in Dynamic Econometric Models In: OUP Catalogue.
[Citation analysis]
book130
1987Théorie de l’information et diagnostic médical : une analyse coût-efficacité In: L'Actualité Economique.
[Full Text][Citation analysis]
article0
2002Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002.
[Citation analysis]
paper0
2002Adaptive Polar Sampling In: Computing in Economics and Finance 2002.
[Citation analysis]
paper5
2006Editor’s introduction In: Empirical Economics.
[Full Text][Citation analysis]
article1
2008Editors introduction: recent developments in high frequency financial econometrics In: Studies in Empirical Economics.
[Citation analysis]
chapter0
1988Inter-industry and intra-industry specialization in manufactured goods In: Review of World Economics (Weltwirtschaftliches Archiv).
[Full Text][Citation analysis]
article5
2019A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article6
2005High frequency finance In: ULB Institutional Repository.
[Citation analysis]
paper7
2007High frequency financial econometrics. Recent developments In: ULB Institutional Repository.
[Citation analysis]
paper40

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team