Luc Bauwens : Citation Profile

Are you Luc Bauwens?

Université Catholique de Louvain

27

H index

53

i10 index

3712

Citations

RESEARCH PRODUCTION:

57

Articles

189

Papers

1

Books

3

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   40 years (1983 - 2023). See details.
   Cites by year: 92
   Journals where Luc Bauwens has often published
   Relations with other researchers
   Recent citing documents: 189.    Total self citations: 78 (2.06 %)

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   Permalink: http://citec.repec.org/pba4
   Updated: 2023-11-04    RAS profile: 2023-05-08    
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Relations with other researchers

Works with:

Otranto, Edoardo (6)

Yang, Yukai (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)

Martin, Gael (28)

Asai, Manabu (28)

Dufays, Arnaud (28)

Cites to:

Engle, Robert (89)

Bollerslev, Tim (51)

Rombouts, Jeroen (32)

Shephard, Neil (31)

van Dijk, Herman (29)

Laurent, Sébastien (27)

Hansen, Peter (25)

Sheppard, Kevin (23)

Giot, Pierre (22)

Jasiak, Joann (20)

Andersen, Torben (19)

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
Annals of Economics and Statistics3
Journal of Business & Economic Statistics3
Econometrics Journal3
International Journal of Forecasting3
Empirical Economics3
Econometric Reviews2
Journal of Empirical Finance2
European Economic Review2
Journal of Applied Econometrics2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Discussion Papers (ECON - Département des Sciences Economiques) / Université catholique de Louvain, Département 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) / Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
LIDAM Discussion Papers ISBA / Université 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
LIDAM Reprints ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Working Paper series / Rimini Centre for Economic Analysis2
Post-Print / HAL2

Recent works citing Luc Bauwens (2023 and 2022)

YearTitle of citing document
2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

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2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2022Machine Learning Classification of Price Extrema Based on Market Microstructure Features: A Case Study of S&P500 E-mini Futures. (2020). Arnaboldi, Luca ; Sokolovsky, Artur. In: Papers. RePEc:arx:papers:2009.09993.

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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.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2022CTMSTOU driven markets: simulated environment for regime-awareness in trading policies. (2022). Balch, Tucker ; Moulin, Aymeric ; Amrouni, Selim. In: Papers. RePEc:arx:papers:2202.00941.

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2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

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2022Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model. (2022). Ratnayake, Isuru ; Samaranayake, V A. In: Papers. RePEc:arx:papers:2202.03351.

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2022Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285.

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2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

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2022A Multivariate Spatial and Spatiotemporal ARCH Model. (2022). Otto, Philipp. In: Papers. RePEc:arx:papers:2204.12472.

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2022An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772.

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

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2022Application of Hawkes volatility in the observation of filtered high-frequency price process in tick structures. (2022). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2207.05939.

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2022Estimating value at risk: LSTM vs. GARCH. (2022). Schmidt, Thorsten ; Safarveisi, Sajad ; Pitera, Marcin ; Ormaniec, Weronika. In: Papers. RePEc:arx:papers:2207.10539.

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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.

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2022Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605.

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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

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

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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.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2022On the Relationship between Uhlig Extended and beta?Bartlett Processes. (2022). Irie, Kaoru ; Pea, Victor. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:147-153.

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2022Stationarity and ergodicity of Markov switching positive conditional mean models. (2022). Francq, Christian ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:436-459.

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2022Portmanteau test for a class of multivariate asymmetric power GARCH model. (2022). Saussereau, Bruno ; Kadmiri, Othman ; Mainassara, Yacouba Boubacar. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:6:p:964-1002.

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2022Dynamic correlation between crude oil and agricultural futures markets. (2022). Kang, Hanwen ; Yan, BO ; Chen, Zhuo. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:3:p:1798-1849.

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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.

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2022Financial-market volatility prediction with multiplicative Markov-switching MIDAS components. (2022). Wilfling, Bernd ; Segnon, Mawuli ; Schulte-Tillman, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:9922.

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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.

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2022Do Energy and Gold Markets Interact with Islamic Stocks? Evidence from the Asia-Pacific Markets. (2022). Usmonov, Jaloliddin ; Mukhamedov, Farkhod ; Avazkhodjaev, Salokhiddin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-03-21.

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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.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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2022Market regime detection via realized covariances. (2022). Ciciretti, Vito ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000785.

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2022Exchange rates and the global transmission of equity market shocks. (2022). Reboredo, Juan C ; Ojea-Ferreiro, Javier. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001602.

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2022Extreme risk spillovers across financial markets under different crises. (2022). Cao, Yufei. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002656.

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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.

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2022Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction. (2022). Gao, Tianqing ; Mei, Xiaowen ; Pan, Qunxing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001947.

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2022Trade friction and price discovery in the USD–CAD spot and forward markets. (2022). Xu, Ke ; Song, Victor ; Chen, Jian ; Yan, Meng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002217.

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2022Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model. (2022). Zhang, Huanming ; Xie, Haibin ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559.

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2022Searching for informed traders in stock markets: The case of Banco Popular. (2022). Sosvilla-Rivero, Simon ; Gomez-Deniz, Emilio ; Andrada-Felix, Julian ; Perez-Rodriguez, Jorge V. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001292.

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2022Learning, disagreement and inflation forecasting. (2022). Liu, Xiliang ; Yang, Xinglin ; Chen, JI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001693.

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

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2022Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2022Infinite Markov pooling of predictive distributions. (2022). Maheu, John ; Yang, Qiao ; Jin, Xin. In: Journal of Econometrics. RePEc:eee:econom:v:228:y:2022:i:2:p:302-321.

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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.

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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.

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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.

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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.

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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.

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2022Likelihood inference for Markov switching GARCH(1,1) models using sequential Monte Carlo. (2022). , William ; Chen, Feng. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:50-68.

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2022High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203.

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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.

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2022Forecasting oil and gold volatilities with sentiment indicators under structural breaks. (2022). GUPTA, RANGAN ; Demirer, Riza ; Ji, Qiang ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:105:y:2022:i:c:s014098832100596x.

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2022Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence. (2022). Zhai, Pengxiang ; Liu, Zhen Hua ; Ma, Rufei. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000354.

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2022Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China. (2022). Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002730.

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2022Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries. (2022). Brooks, Robert ; Mohsen, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Tanin, Tauhidul Islam. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005187.

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

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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.

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2022Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework. (2022). Suleman, Muhammad Tahir ; Niu, Zibo ; Liu, Yuanyuan ; Zhang, Hongwei ; Yin, Libo. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pa:s0360544221020272.

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2022The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526.

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2022Senior official speech attributes and foreign exchange risk around business cycles. (2022). Welch, Robert ; Wang, Jiayu ; ben Omrane, Walid ; Ayadi, Mohamed A. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003240.

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2022Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320.

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2022What drives cross-market correlations during the United States Q.E.?. (2022). Vo, Xuan Vinh ; Do, Hung Xuan ; Brooks, Robert ; Yip, Pick Schen. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002721.

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2022Jointly forecasting the value-at-risk and expected shortfall of Bitcoin with a regime-switching CAViaR model. (2022). Guo, Ranran ; Ye, Wuyi ; Gao, Lingbo. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001258.

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2022Interdependence, contagion and speculative bubbles in cryptocurrency markets. (2022). Bazan-Palomino, Walter. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003555.

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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.

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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.

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2022Safe havens in Islamic financial markets: COVID-19 versus GFC. (2022). Choudhury, Tonmoy ; Djajadikerta, Hadrian Geri ; Hassan, Kabir M ; Kamran, Muhammad. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000417.

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2022Frequency and severity estimation of cyber attacks using spatial clustering analysis. (2022). Jin, Zhuo ; Chu, Tingjin ; Ma, Boyuan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:33-45.

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2022Outward FDI and exports relation: A heterogeneous panel approach dealing with cross-sectional dependence. (2022). Maza, Adolfo ; Gutierrez-Portilla, Paula. In: International Economics. RePEc:eee:inteco:v:170:y:2022:i:c:p:174-189.

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2022Informativeness of trades around macroeconomic announcements in the foreign exchange market. (2022). Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000245.

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2022Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. (2022). Roestel, Jan ; Herwartz, Helmut. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000531.

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2022Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993.

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2022Comparing probabilistic forecasts of the daily minimum and maximum temperature. (2022). Taylor, James W ; Meng, Xiaochun. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:267-281.

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2022Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models. (2022). Hou, Chenghan ; Ji, Qiang ; Klein, Tony ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:51-73.

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2022Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces. (2022). Shang, Han Lin ; Kearney, Fearghal. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:1025-1049.

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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.

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2022Modeling and forecasting realized portfolio weights. (2022). Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000048.

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2022Estimation of multivariate asymmetric power GARCH models. (2022). Saussereau, B ; Kadmiri, O ; Mainassara, Boubacar Y. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:192:y:2022:i:c:s0047259x2200077x.

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2022Asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS. (2022). Chen, Yufeng ; Xu, Jing ; Hu, May. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003038.

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2022Dynamic correlations and portfolio implications across stock and commodity markets before and during the COVID-19 era: A key role of gold. (2022). Zaman, Umer ; Kocak, Emrah ; Shehzad, Khurram ; Liu, Xiaoxing. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004287.

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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.

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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.

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2022Closed-form portfolio optimization under GARCH models. (2022). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Operations Research Perspectives. RePEc:eee:oprepe:v:9:y:2022:i:c:s2214716021000300.

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2022Deep learning in predicting cryptocurrency volatility. (2022). Piscopo, Gabriella ; Levantesi, Susanna ; Damato, Valeria. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:596:y:2022:i:c:s0378437122001704.

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2022Predicting tail events in a RIA-EVT-Copula framework. (2022). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003703.

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2022Sentiment, Google queries and explosivity in the cryptocurrency market. (2022). Pagnottoni, Paolo ; Cerchiello, Paola ; Agosto, Arianna. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:605:y:2022:i:c:s0378437122006380.

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More than 100 citations found, this list is not complete...

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.
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2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE.
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2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: LIDAM Reprints CORE.
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2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
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2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
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2018State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering In: CREATES Research Papers.
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2018State-space models on the Stiefel Manifold with a new approach to nonlinear filtering.(2018) In: LIDAM Reprints CORE.
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2018State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering.(2018) In: Econometrics.
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1991Bayesian Diagnostics for Heterogeneity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article4
1991Bayesian diagnostics for heterogeneity.(1991) In: LIDAM Reprints CORE.
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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.
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1990THE PATHOLOGY OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL..(1990) In: G.R.E.Q.A.M..
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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]		article183
2000The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: LIDAM Reprints CORE.
[Citation analysis]
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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.
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2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
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2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
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2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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2011Volatility Models In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper26
2012Volatility Models.(2012) In: LIDAM Reprints ISBA.
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2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
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This paper has another 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.
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1994Estimating End-use Demand: a Bayesian Approach.(1994) In: LIDAM Reprints CORE.
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1992Estimating end-use demand: A Bayesian approach.(1992) In: UC3M Working papers. Economics.
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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]		article128
2005A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: LIDAM Reprints CORE.
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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.
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2009A component GARCH model with time varying weights.(2009) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
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2007A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006.
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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.
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2011The resistible decline of European Science.(2011) In: LIDAM Reprints CORE.
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2008The Resistible Decline of European Science.(2008) In: CEPR Discussion Papers.
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2011The Resistible Decline of European Science.(2011) In: Discussion Papers (REL - Recherches Economiques de Louvain).
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2011The resistible decline of European science.(2011) In: LSE Research Online Documents on Economics.
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2021DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations In: Cardiff Economics Working Papers.
[Full Text][Citation analysis]		paper1
2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations.(2023) In: International Journal of Forecasting.
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2023The contribution of realized covariance models to the economic value of volatility timing In: Cardiff Economics Working Papers.
[Full Text][Citation analysis]		paper0
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.
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2011A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers.
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2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
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2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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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.
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2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics In: Working Paper CRENoS.
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2018Nonlinearities and regimes in conditional correlations with different dynamics.(2018) In: LIDAM Discussion Papers CORE.
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2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: LIDAM Reprints CORE.
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2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: Journal of Econometrics.
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2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models In: Working Paper CRENoS.
[Full Text][Citation analysis]		paper2
2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models.(2020) In: LIDAM Discussion Papers CORE.
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2022Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.(2022) In: LIDAM Reprints CORE.
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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.
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1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics.
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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.
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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.
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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.
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1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal.
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1996Bayesian Inference on GARCH Models Using the Gibbs Sampler..(1996) In: G.R.E.Q.A.M..
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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.
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1997Bayesian option pricing using asymmetric GARCH In: LIDAM Discussion Papers CORE.
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1997Bayesian Option Pricing Using Asymmetric GARCH.(1997) In: G.R.E.Q.A.M..
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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]		paper13
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers.
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2000ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000.
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1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers.
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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.
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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.
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2004A comparison of financial duration models via density forecasts.(2004) In: LIDAM Reprints CORE.
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2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
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2002A new class of multivariate skew densities, with application to GARCH models In: LIDAM Discussion Papers CORE.
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2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
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2003The moments of Log-ACD models In: LIDAM Discussion Papers CORE.
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2009The moments of Log-ACD models.(2009) In: LIDAM Reprints CORE.
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2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: LIDAM Discussion Papers CORE.
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2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: LIDAM Reprints CORE.
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2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance.
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2003Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE.
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2006Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE.
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2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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2003Ranking economics departments in Europe: a statistical approach In: LIDAM Discussion Papers CORE.
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2003Ranking economics departments in Europe: a statistical approach.(2003) In: LIDAM Reprints CORE.
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2003Ranking Economics Departments in Europe: A Statistical Approach.(2003) In: Journal of the European Economic Association.
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2003Bayesian clustering of many GARCH models In: LIDAM Discussion Papers CORE.
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2007Bayesian clustering of many GARCH models.(2007) In: LIDAM Reprints CORE.
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2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
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2003Dynamic latent factor models for intensity processes In: LIDAM Discussion Papers CORE.
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2005Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE.
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2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: LIDAM Reprints CORE.
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2005Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics.
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2008Exchange rate volatility and the mixture of distribution hypothesis.(2008) In: Studies in Empirical Economics.
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2005Bayesian inference for the mixed conditional heteroskedasticity model In: LIDAM Discussion Papers CORE.
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2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: LIDAM Reprints CORE.
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2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
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2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
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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).
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2006Regime switching GARCH models In: LIDAM Discussion Papers CORE.
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2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
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2006Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE.
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2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: LIDAM Reprints CORE.
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2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
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2006General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE.
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2010General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: LIDAM Reprints CORE.
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2008General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics.
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2006General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2010General-to-specific modelling of exchange rate volatility: A forecast evaluation.(2010) In: International Journal of Forecasting.
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2006Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market In: LIDAM Discussion Papers CORE.
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2007Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market.(2007) In: LIDAM Reprints CORE.
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2006Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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