Luc Bauwens : Citation Profile

Are you Luc Bauwens?

Université Catholique de Louvain

27

H index

54

i10 index

3862

Citations

RESEARCH PRODUCTION:

58

Articles

197

Papers

1

Books

3

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   41 years (1983 - 2024). See details.
   Cites by year: 94
   Journals where Luc Bauwens has often published
   Relations with other researchers
   Recent citing documents: 160.    Total self citations: 85 (2.15 %)

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   Permalink: http://citec.repec.org/pba4
   Updated: 2024-12-03    RAS profile: 2024-07-04    
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Relations with other researchers

Works with:

Otranto, Edoardo (5)

Xu, Yongdeng (5)

Chevillon, Guillaume (4)

Laurent, Sébastien (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 (58)

Caporin, Massimiliano (53)

Maheu, John (46)

Rombouts, Jeroen (42)

van Dijk, Herman (41)

Hafner, Christian (35)

Asai, Manabu (35)

Dufays, Arnaud (34)

Stentoft, Lars (33)

Francq, Christian (30)

Gallo, Giampiero (29)

Cites to:

Engle, Robert (93)

Bollerslev, Tim (60)

Shephard, Neil (35)

Rombouts, Jeroen (34)

Hansen, Peter (34)

Laurent, Sébastien (32)

van Dijk, Herman (32)

Lunde, Asger (27)

Sheppard, Kevin (24)

Andersen, Torben (22)

Giot, Pierre (22)

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

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
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles5
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute5
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)3
Cardiff Economics Working Papers / Cardiff University, Cardiff Business School, Economics Section2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
Post-Print / HAL2
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany2
LIDAM Reprints ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
SFB 649 Discussion Papers / Humboldt University Berlin, Collaborative Research Center 649: Economic Risk2
Working Paper series / Rimini Centre for Economic Analysis2

Recent works citing Luc Bauwens (2024 and 2023)

YearTitle of citing document
2024Zero-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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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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2024Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761.

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2024A 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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2024Application 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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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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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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2024Fast 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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2024Linear 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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2023Variational Inference for GARCH-family Models. (2023). Iosifidis, Alexandros ; Magris, Martin. In: Papers. RePEc:arx:papers:2310.03435.

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2024Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Li, Jian ; Chavas, Jeanpaul ; Wang, Linjie. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676.

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2024Predictive model averaging with parameter instability and heteroskedasticity. (2024). Yin, Anwen. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:418-442.

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2024.

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2023.

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2024Markov-Switching Models with Unknown Error Distributions: Identification and Inference Within the Bayesian Framework. (2024). Chang-Jin, Kim ; Shih-Tang, Hwu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:177-199:n:1.

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

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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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2024Forecasting Volatility Spillovers Using Advanced GARCH Models: Empirical Evidence for Developed Stock Markets from Austria and USA. (2024). Florescu, Ion ; Anand, Abhishek ; Spulbar, Cristi ; Birau, Ramona ; Kumari, Puja ; Meher, Bharat Kumar. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2024:i:1:p:16-29.

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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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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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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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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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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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2023Expectations, structural breaks and the recent surge in inflation. (2023). Grundler, Daniel. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004202.

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

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2023A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153.

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2024Bellman filtering and smoothing for state–space models. (2024). Lange, Rutger-Jan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003482.

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2024Time-varying multivariate causal processes. (2024). Yan, Yayi ; Wu, Wei Biao ; Peng, Bin ; Gao, Jiti. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2024). Sola, Martin ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:49-63.

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

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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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2023Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774.

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2024An adaptive long memory conditional correlation model. (2024). Dark, Jonathan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001305.

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

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2023How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study. (2023). Esparcia, Carlos ; Diaz, Antonio ; Alonso, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006722.

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2024Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy. (2024). Sensoy, Ahmet ; Goodell, John W ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007223.

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2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Mazouz, Khelifa ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

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

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

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2023Climate change economics and the determinants of carbon emissions’ futures returns: A regime-driven ARDL model. (2023). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Kotsompolis, Giorgos ; Thomakos, Dimitrios D ; Xidonas, Panos. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008577.

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2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Suleman, Muhammad Tahir ; Niu, Zibo ; Zhu, Xuehong ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

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2024Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Yan, Cheng ; Kim, Minjoo ; Zhang, Xuan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798.

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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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2023Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712.

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2023Projected Dynamic Conditional Correlations. (2023). Brownlees, Christian ; Llorens-Terrazas, Jordi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1761-1776.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2024Bayesian forecasting in economics and finance: A modern review. (2024). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

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2024(Structural) VAR models with ignored changes in mean and volatility. (2024). Salish, Nazarii ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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

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2023The role of higher moments in predicting Chinas oil futures volatility: Evidence from machine learning models. (2023). Gao, Wang ; Zhao, Xinyi ; Zhang, Hongwei ; Niu, Zibo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000429.

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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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2024Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?. (2024). Iglesias, Emma M ; Rivera-Alonso, David. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001454.

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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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2024Estimating the Fed’s unconventional policy shocks. (2024). Jarociński, Marek ; Jarociski, Marek. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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2024Towards understanding MILA stock markets integration beyond MILA: New evidence between the pre-Global financial crisis and the COVID19 periods. (2024). Gomez-Bravo, Yuli Paola ; Sanchez-Barrios, Luis Javier ; Lukanima, Benedicto Kulwizira. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:478-497.

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2024Exploring the interconnectedness of Chinas new energy and stock markets: A study on volatility spillovers and dynamic correlations. (2024). Song, Malin ; Shen, Z Y ; Li, Guangchen ; Wei, Weixian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:471-484.

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

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

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

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2023.

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2023.

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

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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.
[Full Text][Citation analysis]		paper52
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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2013Forecasting a long memory process subject to structural breaks.(2013) In: LIDAM Reprints CORE.
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2013Forecasting a long memory process subject to structural breaks.(2013) In: Journal of Econometrics.
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2012Dynamic conditional correlation models for realized covariance matrices In: LIDAM Discussion Papers CORE.
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2014Estimation and empirical performance of non-scalar dynamic conditional correlation models In: LIDAM Discussion Papers CORE.
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2016Estimation and empirical performance of non-scalar dynamic conditional correlation models.(2016) In: Computational Statistics & Data Analysis.
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2014Forecasting comparison of long term component dynamic models for realized covariance matrices In: LIDAM Discussion Papers CORE.
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2016Forecasting comparison of long term component dynamic models for realized covariance matrices.(2016) In: LIDAM Reprints CORE.
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2015Autoregressive moving average infinite hidden markov-switching models In: LIDAM Discussion Papers CORE.
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2017Autoregressive moving average infinite hidden Markov-switching models.(2017) In: LIDAM Reprints CORE.
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2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print.
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2017Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Journal of Business & Economic Statistics.
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2016A dynamic component model for forecasting high-dimensional realized covariance matrices In: LIDAM Discussion Papers CORE.
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2017A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: LIDAM Reprints CORE.
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2017A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: Econometrics and Statistics.
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2020A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices.(2020) In: Working Papers.
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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices In: LIDAM Discussion Papers CORE.
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2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model In: LIDAM Discussion Papers CORE.
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2016A new approach to volatility modeling: the High-Dimensional Markov model.(2016) In: Cahiers de recherche.
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2019DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations In: LIDAM Discussion Papers CORE.
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2022We modeled long memory with just one lag! In: LIDAM Discussion Papers CORE.
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2023We modeled long memory with just one lag!.(2023) In: LIDAM Reprints CORE.
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2023We modeled long memory with just one lag!.(2023) In: Journal of Econometrics.
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2023We modeled long memory with just one lag!.(2023) In: Post-Print.
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2023Realized Covariance Models with Time-varying Parameters and Spillover Effects In: LIDAM Discussion Papers CORE.
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1995Bayesian and classical econometric modeling of time series In: LIDAM Reprints CORE.
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1996Editors introduction. First Riverboat conference on Bayesian econometrics and statistics In: LIDAM Reprints CORE.
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1999Recent developments in the econometrics of financial markets using intra-day data In: LIDAM Reprints CORE.
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1999Trends and breaking points in the Bayesian econometric literature In: LIDAM Reprints CORE.
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2000Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models In: LIDAM Reprints CORE.
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2000Art experts and auctions are pre-sale estimates unbiased and fully informative? In: LIDAM Reprints CORE.
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2000Art experts and auctions Are pre-sale estimates unbiased and fully informative?.(2000) In: Discussion Papers (REL - Recherches Economiques de Louvain).
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2000Art experts and auctions :are pre-sale estimates unbiased and fully informative.(2000) In: ULB Institutional Repository.
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2002Bayesian option pricing using asymmetric GARCH models In: LIDAM Reprints CORE.
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2002Bayesian option pricing using asymmetric GARCH models.(2002) In: Journal of Empirical Finance.
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2000Bayesian Option Pricing using Asymmetric Garch Models..(2000) In: G.R.E.Q.A.M..
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2003Asymmetric ACD models: Introducing price information in ACD models In: LIDAM Reprints CORE.
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2003Asymmetric ACD models: Introducing price information in ACD models.(2003) In: Empirical Economics.
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2004The stochastic conditional duration model: a latent variable model for the analysis of financial durations In: LIDAM Reprints CORE.
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2004The stochastic conditional duration model: a latent variable model for the analysis of financial durations.(2004) In: Journal of Econometrics.
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2004Econometrics In: LIDAM Reprints CORE.
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2004Econometrics.(2004) In: Papers.
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2004Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods In: LIDAM Reprints CORE.
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2004Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods.(2004) In: Journal of Econometrics.
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2003Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods.(2003) In: Econometric Institute Research Papers.
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2006Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange In: LIDAM Reprints CORE.
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2006Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange.(2006) In: Monetary and Economic Studies.
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2006Stochastic conditional intensity processes In: LIDAM Reprints CORE.
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2006Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics.
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2014A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models In: LIDAM Reprints CORE.
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2014A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models.(2014) In: Journal of Empirical Finance.
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2015The Contribution of Structural Break Models to Forecating Macroeconomic Series In: LIDAM Reprints CORE.
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2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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2016Estimation and Empirical Performance of Non-Scalar DCC Models In: LIDAM Reprints CORE.
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2016Modeling the dependence of conditional correlations on market volatility In: LIDAM Reprints CORE.
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2016Modeling the Dependence of Conditional Correlations on Market Volatility.(2016) In: Journal of Business & Economic Statistics.
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2019A new approach: the factorial hidden Markov volatility model In: LIDAM Reprints CORE.
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1983An export model for the Belgian industry In: LIDAM Reprints CORE.
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1983An export model for the Belgian industry.(1983) In: European Economic Review.
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1983Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration In: LIDAM Reprints CORE.
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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).
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1985A 1-1 poly-t random variable generator with application to Monte Carlo integration In: LIDAM Reprints CORE.
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1985A 1-1 poly-t random variable generator with application to Monte Carlo integration.(1985) In: Journal of Econometrics.
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1991The law of large (small?) numbers and the demand for insurance In: LIDAM Reprints CORE.
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1990THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE..(1990) In: G.R.E.Q.A.M..
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1987Intra-industry Specialisation in a Multi-country and Multi-industry Framework. In: Economic Journal.
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2004BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS In: Econometric Society 2004 North American Winter Meetings.
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2010Intradaily dynamic portfolio selection In: Computational Statistics & Data Analysis.
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2004Recent advances in Bayesian econometrics In: Journal of Econometrics.
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2006Causality and exogeneity in econometrics In: Journal of Econometrics.
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1995Editors introduction Bayesian and classical econometric modeling of time series In: Journal of Econometrics.
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1996Editors introduction In: Journal of Econometrics.
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1988The determinants of intra-European trade in manufactured goods In: European Economic Review.
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2003Explaining Adaptive Radial-Based Direction Sampling In: Econometric Institute Research Papers.
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1998Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces In: Econometric Institute Research Papers.
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1998Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces.(1998) In: Tinbergen Institute Discussion Papers.
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2002Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods In: Econometric Institute Research Papers.
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2007Modelling Financial High Frequency Data Using Point Processes In: SFB 649 Discussion Papers.
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2011Multivariate Volatility Modeling of Electricity Futures In: SFB 649 Discussion Papers.
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2007The Econometrics of Industrial Organization In: Journal of Applied Econometrics.
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2000Bayesian Inference in Dynamic Econometric Models In: OUP Catalogue.
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1987Théorie de l’information et diagnostic médical : une analyse coût-efficacité In: L'Actualité Economique.
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2002Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002.
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2002Adaptive Polar Sampling In: Computing in Economics and Finance 2002.
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2006Editor’s introduction In: Empirical Economics.
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2008Editors introduction: recent developments in high frequency financial econometrics In: Studies in Empirical Economics.
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1988Inter-industry and intra-industry specialization in manufactured goods In: Review of World Economics (Weltwirtschaftliches Archiv).
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