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 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba4
   Updated: 2023-11-04    RAS profile: 2023-05-08    
   Missing citations? Add them    Incorrect content? Let us know

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 - 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
LIDAM Reprints ISBA / Universit 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

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

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.

Full description at Econpapers || Download paper

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

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

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.

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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

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.

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

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.

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

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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

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.

Full description at Econpapers || Download paper

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.

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.
[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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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]
article183
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 another version. Agregated cites: 183
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 another version. Agregated cites: 46
paper
2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 46
paper
2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
paper
2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another 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 another version. Agregated cites: 26
paper
2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
1994Estimating End-use Demand: a Bayesian Approach.(1994) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another 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 another 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]
article128
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 another version. Agregated cites: 128
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 another 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 another 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 another 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 another 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 another version. Agregated cites: 18
paper
2011The resistible decline of European Science.(2011) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
paper
2008The Resistible Decline of European Science.(2008) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another 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 another 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 another 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]
paper1
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 another version. Agregated cites: 1
article
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.
[Full Text][Citation analysis]
This paper has another 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 another 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 another 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 another 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 another 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 another 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 another version. Agregated cites: 14
paper
2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper3
2018Nonlinearities and regimes in conditional correlations with different dynamics.(2018) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2022Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.(2022) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 2
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 another 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 another 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 another 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 another 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 another version. Agregated cites: 111
paper
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal.
[Citation analysis]
This paper has another 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 another 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 another 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 another 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]
paper13
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 another version. Agregated cites: 13
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 another version. Agregated cites: 13
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 another version. Agregated cites: 13
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 another 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 another 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 another 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 another version. Agregated cites: 111
article
2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
[Citation analysis]
This paper has another 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 another 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 another 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]
paper112
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 another version. Agregated cites: 112
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 another version. Agregated cites: 112
article
2003Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper1052
2006Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1052
paper
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1052
article
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1052
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 another 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 another 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 another version. Agregated cites: 21
paper
2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another 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 another 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 another 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 another 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 another 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 another 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 another version. Agregated cites: 12
paper
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another 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 another 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 another version. Agregated cites: 3
paper
2006Regime switching GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper21
2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
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 another 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 another version. Agregated cites: 39
paper
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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]
paper16
2016Forecasting comparison of long term component dynamic models for realized covariance matrices.(2016) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 16
paper
2015Autoregressive moving average infinite hidden markov-switching models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper19
2017Autoregressive moving average infinite hidden Markov-switching models.(2017) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 19
paper
2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 19
paper
2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
article
2016A dynamic component model for forecasting high-dimensional realized covariance matrices In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper17
2017A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 17
paper
2017A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: Econometrics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
article
2020A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper6
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 another 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: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2023We modeled long memory with just one lag!.(2023) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
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 another 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 another 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 another 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 another 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 another 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 another version. Agregated cites: 127
article
2004Econometrics In: LIDAM Reprints CORE.
[Citation analysis]
paper26
2004Econometrics.(2004) In: Papers.
[Full Text][Citation analysis]
This paper has another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another 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 another version. Agregated cites: 3
paper
1987Intra-industry Specialisation in a Multi-country and Multi-industry Framework. In: Economic Journal.
[Full Text][Citation analysis]
article95
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 another 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 November, 3 2023. Contact: CitEc Team