Luc Bauwens : Citation Profile

Université Catholique de Louvain

27

H index

55

i10 index

4018

Citations

RESEARCH PRODUCTION:

60

Articles

202

Papers

1

Books

4

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   43 years (1983 - 2026). See details.
   Cites by year: 93
   Journals where Luc Bauwens has often published
   Relations with other researchers
   Recent citing documents: 92.    Total self citations: 86 (2.1 %)

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   Permalink: http://citec.repec.org/pba4
   Updated: 2026-05-02    RAS profile: 2026-04-12    
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Relations with other researchers

Works with:

Xu, Yongdeng (7)

Chevillon, Guillaume (4)

Otranto, Edoardo (4)

Laurent, Sébastien (3)

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 (59)

Caporin, Massimiliano (53)

Maheu, John (46)

Rombouts, Jeroen (42)

van Dijk, Herman (41)

Asai, Manabu (35)

Hafner, Christian (35)

Dufays, Arnaud (34)

Stentoft, Lars (33)

Gallo, Giampiero (32)

Francq, Christian (31)

Cites to:

Engle, Robert (93)

Bollerslev, Tim (60)

Hansen, Peter (35)

Shephard, Neil (35)

Rombouts, Jeroen (34)

van Dijk, Herman (32)

Laurent, Sébastien (32)

Lunde, Asger (28)

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
International Journal of Forecasting5
Journal of Applied Econometrics4
Journal of Business & Economic Statistics3
Econometrics Journal3
Annals of Economics and Statistics3
Empirical Economics3
European Economic Review2
Journal of Applied Econometrics2
Econometric Reviews2
Journal of Financial Econometrics2
Journal of Empirical Finance2
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
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)4
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
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
Cardiff Economics Working Papers / Cardiff University, Cardiff Business School, Economics Section2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
Post-Print / HAL2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
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 (2026 and 2025)

YearTitle of citing document
2060Grain price and volatility transmission from international to domestic markets in developing countries. (2015). Robles, Luis ; Minot, Nicholas ; Hernandez, Manuel ; Ceballos, Francisco. In: 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California. RePEc:ags:aaea15:206057.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2025Macroeconomic Forecasting with Large Language Models. (2025). Shekhar, Shubhranshu ; Carriero, Andrea ; Pettenuzzo, Davide. In: Papers. RePEc:arx:papers:2407.00890.

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2025Change-Point Detection in Time Series Using Mixed Integer Programming. (2024). Radchenko, Peter ; Prokhorov, Artem ; Skrobotov, Anton ; Semenov, Alexander. In: Papers. RePEc:arx:papers:2408.05665.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2025Tensor dynamic conditional correlation model: A new way to pursuit Holy Grail of investing. (2025). Zhu, KE ; Yu, Cheng. In: Papers. RePEc:arx:papers:2502.13461.

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2025Financial Wind Tunnel: A Retrieval-Augmented Market Simulator. (2025). Guo, Jian ; Yang, Cehao ; Xu, Chengjin ; Qi, Yiyan ; Lin, Xueyuan ; Cao, Bokai. In: Papers. RePEc:arx:papers:2503.17909.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali. In: Papers. RePEc:arx:papers:2505.12198.

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2025Deep Learning Enhanced Multivariate GARCH. (2025). Liu, Chen ; Wang, Haoyuan ; Tran, Minh-Ngoc. In: Papers. RePEc:arx:papers:2506.02796.

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2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

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2026Central limit theorem for a partially observed interacting system of Hawkes processes I: subcritical case. (2026). Xu, Liping ; Liu, Chenguang ; Zhang, AN. In: Papers. RePEc:arx:papers:2601.01189.

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2026A Robust Similarity Estimator. (2026). Archakov, Ilya. In: Papers. RePEc:arx:papers:2601.12198.

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2026Predictive Accuracy versus Interpretability in Energy Markets: A Copula-Enhanced TVP-SVAR Analysis. (2026). SADEFO KAMDEM, Jules ; Gnandi, Kpante Emmanuel ; Pokou, Fredy. In: Papers. RePEc:arx:papers:2601.19321.

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2026Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models. (2026). Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2601.21447.

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2026Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections. (2026). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2601.21534.

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2026An operator-level ARCH Model. (2026). Vanderdoes, Jeremy ; Rice, Gregory ; Kuhnert, Sebastian ; Aue, Alexander. In: Papers. RePEc:arx:papers:2603.10272.

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2026Shifting Correlations: How Trade Policy Uncertainty Alters stock-T bill Relationships. (2026). Lacava, Demetrio. In: Papers. RePEc:arx:papers:2603.25285.

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2026Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process. (2026). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2604.00346.

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2026Unified Mixture Sampler for State-Space Models: Application to Stochastic Conditional Duration Models. (2026). Omori, Yasuhiro ; Hiraki, Daichi. In: Papers. RePEc:arx:papers:2604.04517.

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2025Asset Hedging via Digital Asset Indices. (2025). Shalvardjiev, Dimiter. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:1:p:63-88.

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2025An Evaluation and Comparative Analysis of Fiscal and Macrofinancial Policies during the COVID-19 Pandemic: The Case of Bulgaria in the Balkan Context. (2025). Elgin, Ceyhun ; Elveren, Adem Y. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:1:p:89-112.

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2025Comparing the systemic risk of Italian insurers and banks. (2025). Bianchi, Michele Leonardo ; Pallante, Federica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_922_25.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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2025Which Global Cycle? A Stochastic Factor Selection Approach for Global Macro-Financial Cycles. (2025). Sebastian, Hienzsch ; Tino, Berger. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:541-559:n:1003.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2026Hydrogen in financial markets: A hybrid asset at the crossroads of technology and clean energy. (2026). Couture, Emilie. In: EconomiX Working Papers. RePEc:drm:wpaper:2026-7.

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2025Modelling dynamic interdependence in nonstationary variances with an application to carbon markets. (2025). Amado, Cristina ; Campos-Martins, Susana. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:173:y:2025:i:c:s0165188925000284.

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2025Cross-country risk spillovers: A FHM factor copula approach. (2025). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:150:y:2025:i:c:s026499932500118x.

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2026How does the common European labor market impact business cycle dynamics?. (2026). Baas, Timo. In: Economic Modelling. RePEc:eee:ecmode:v:154:y:2026:i:c:s0264999325003451.

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2025Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications. (2025). Escobar Anel, Marcos ; Yang, Yu-Jung ; Escobar-Anel, Marcos ; Zagst, Rudi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000166.

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2025Identifying the volatility risk price through the leverage effect. (2025). Renault, Eric ; Sangrey, Paul ; Cheng, XU. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400294x.

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2025Multivariate stochastic volatility models based on generalized Fisher transformation. (2025). Yu, Jun ; Fei, Yijie ; Chen, Han. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625000958.

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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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2025Forecasting financial volatility: An approach based on Parkinson volatility measure with long memory stochastic range model. (2025). de Khoo, Zhi ; Ng, Kok Haur ; Koh, You Beng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000398.

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2025Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data. (2025). Sibbertsen, Philipp ; del Barrio Castro, Tomás ; Escribano, Alvaro. In: Energy Economics. RePEc:eee:eneeco:v:147:y:2025:i:c:s0140988325003445.

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2025Compounding geopolitical and energy risks: A clustered stochastic multi-COVOL model. (2025). Billio, Monica ; Casarin, Roberto ; Lpez, Ovielt Baltodano ; Costola, Michele. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s0140988325005274.

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2025Hedging financial risks with a climate index based on EU ETS firms. (2025). Chiappari, Mattia ; Flori, Andrea ; Scotti, Francesco. In: Energy. RePEc:eee:energy:v:320:y:2025:i:c:s0360544225009193.

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2025Foreign exchange markets, climate risks and contextual news: An intraday analysis. (2025). ben Omrane, Walid ; Panah, Pari Gholi ; Ayadi, Mohamed A. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001905.

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2025Modeling the procyclical impact of monetary policy on bank leverage: A stochastic macroprudential approach. (2025). Perote, Javier ; Rendn, Juan F ; Corts, Lina M. In: Journal of Financial Stability. RePEc:eee:finsta:v:79:y:2025:i:c:s1572308925000506.

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2025The evolution of the relationship between onshore and offshore RMB markets under asymmetric volatility spillovers. (2025). Li, Jie ; Smallwood, Aaron D. In: Global Finance Journal. RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000134.

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2025News and intraday retail investor order flow in foreign exchange markets. (2025). Kaourma, Theofilia ; Milidonis, Andreas ; Nishiotis, George ; Panayides, Marios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000368.

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2025Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2025). Rossini, Luca ; Pfarrhofer, Michael ; Hauzenberger, Niko. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:361-376.

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2025SpotV2Net: Multivariate intraday spot volatility forecasting via vol-of-vol-informed graph attention networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1093-1111.

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2025Multivariate dynamic mixed-frequency density pooling for financial forecasting. (2025). Lopes, Hedibert F ; Virbickait, Audron ; Zaharieva, Martina Danielova. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1184-1198.

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2025A survey of models and methods used for forecasting when investing in financial markets. (2025). Swanson, Norman R ; Maung, Kenwin. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:4:p:1355-1382.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2025Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model. (2025). Honig, Igor ; Kircher, Felix. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001256.

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2025A stochastic model for predicting the response time of green vs brown stocks to climate change news risk. (2025). Fahmy, Hany. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s037842662500127x.

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2025Markov switching multiple-equation tensor regressions. (2025). Craiu, Radu V ; Casarin, Roberto ; Wang, Qing. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:208:y:2025:i:c:s0047259x25000223.

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2025Intraday volatility transmission in global energy markets: A Bayesian nonparametric approach. (2025). Zaharieva, Martina Danielova ; Virbickait, Audron ; Santos, Andr Portela. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000406.

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2025What events matter for exchange rate volatility?. (2025). Ferreira Batista Martins, Igor ; Lopes, Hedibert Freitas. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:104:y:2025:i:c:s1062976925001140.

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2025Exploring volatility reactions in cryptocurrency markets using intraday macroeconomic news analysis. (2025). Savaser, Tanseli ; ben Omrane, Walid ; Sebai, Saber ; Saadi, Samir ; Dabbou, Halim. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025006720.

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2025Towards the estimation of ESG ratings: A machine learning approach using balance sheet ratios. (2025). Cini, Federico ; Ferrari, Annalisa. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s027553192400446x.

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2025Existence of small-order moments for Markov-switching stochastic recurrence equations. (2025). Kandji, Baye Matar. In: Statistics & Probability Letters. RePEc:eee:stapro:v:226:y:2025:i:c:s0167715225001282.

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2025The impact of artificial intelligence on carbon market in China: Evidence from quantile-on-quantile regression approach. (2025). Zhao, Xiangyu ; Hu, Yanhui ; Jiang, Wei. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:212:y:2025:i:c:s0040162525000046.

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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2025Spot Volatility Measurement Using a Change-Point Duration Model in the High-Frequency Market. (2025). Wang, Yan ; Xing, Haipeng ; Li, Zhicheng. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:4:p:186-:d:1764124.

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2025Dynamic Modeling of Limit Order Book and Market Maker Strategy Optimization Based on Markov Queue Theory. (2025). Liang, Shenbao ; Hu, Changlong ; Liu, Yang ; Xie, Fei. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:5:p:778-:d:1600631.

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2025Asymmetric Shocks and Pension Fund Volatility: A GARCH Approach with Macroeconomic Predictors to an Unexplored Emerging Market. (2025). Guse, Daniel Dumitru ; Saiu, Gabriel Robert ; Girlovan, Aura ; Tudor, Cristiana. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1134-:d:1624073.

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2024Forecasting Realized Covariances Using HAR-Type Models. (2024). Manner, Hans ; Tafakori, Laleh ; Quiroz, Matias. In: Graz Economics Papers. RePEc:grz:wpaper:2024-20.

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2025A class of generalized autoregressive score panel stochastic frontier models. (2025). Tran, Kien ; Michaelides, Panayotis. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:64:y:2025:i:3:d:10.1007_s11123-024-00748-w.

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2025The exponential HEAVY model: an improved approach to volatility modeling and forecasting. (2025). Xu, Yongdeng. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:65:y:2025:i:2:d:10.1007_s11156-024-01358-1.

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2025Modeling value-at-risk for green bonds and clean energy investments. (2025). Kuffour, Thomas Adjei ; Junior, Peterson Owusu ; Akorsu, Patrick Kwashie. In: Risk Management. RePEc:pal:risman:v:27:y:2025:i:4:d:10.1057_s41283-025-00175-7.

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2025Integration, Contagion and Turmoils; Evidence from Emerging markets. (2025). NEIFAR, MALIKA ; Harzallah, Amira. In: MPRA Paper. RePEc:pra:mprapa:123775.

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2025The Role of Uncertainty in Forecasting Realized Covariance of US State-Level Stock Returns: A Reverse-MIDAS Approach. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Fu, Shengjie ; Luo, Jiawen. In: Working Papers. RePEc:pre:wpaper:202501.

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2025Deglobalization and Foreign Exchange Volatility: The Role of Supply Chain Pressures. (2025). GUPTA, RANGAN ; Demirer, Riza ; Schulte-Tillmann, Bjorn ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:202506.

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2025US-China Tensions and Stock Market Co-movement between the US and China: Insights from a DCC-DAGARCH-MIDAS Model. (2025). Xu, Jiawei ; Gupta, Rangan ; Fang, Libing ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202522.

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2025Statistical properties, dynamic conditional correlation, and scaling analysis: evidence from international financial markets high-frequency data. (2025). Enow, Samuel Tabot. In: International Journal of Research in Business and Social Science (2147-4478). RePEc:rbs:ijbrss:v:14:y:2025:i:4:p:251-255.

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2025Model-based vs. agnostic methods for the prediction of time-varying covariance matrices. (2025). Xidonas, Panos ; Poignard, Benjamin ; Fermanian, Jean-David. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06238-4.

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2026Comparative performance of cryptocurrencies through the Aumann–Serrano economic index of riskiness. (2026). Hodoshima, Jiro ; Serrano, Roberto ; Sheely, Joseph ; Yamawake, Toshiyuki. In: Annals of Operations Research. RePEc:spr:annopr:v:357:y:2026:i:1:d:10.1007_s10479-024-06333-6.

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2025Funding liquidity and stocks’ market liquidity: structural estimation from high-frequency data. (2025). Aielli, Gian Piero ; Pirino, Davide. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:2:d:10.1007_s10203-025-00521-0.

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2026Bitcoin, U.S. stock markets, and volatility: the interaction of digital assets with traditional markets. (2026). Kili, Ethem ; Eker, Kudbeddin. In: Digital Finance. RePEc:spr:digfin:v:8:y:2026:i:1:d:10.1007_s42521-026-00185-4.

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2025A Markov regime-switching event response model: beef price spread response to processing capacity shocks. (2025). Neill, Clinton L ; Boyer, Christopher N ; Park, Eunchun. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:3:d:10.1007_s00181-024-02677-x.

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2025Incorporating causal notions to forecasting time series: a case study. (2025). Kristjanpoller, Werner ; Llanos, Cristian ; Michell, Kevin ; Minutolo, Marcel C. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00681-9.

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2025Multivariate GARCH models with spherical parameterizations: an oil price application. (2025). Ballestra, Luca Vincenzo ; Pacelli, Graziella ; de Blasis, Riccardo. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00683-7.

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2025Forecasting cryptocurrency volatility: a novel framework based on the evolving multiscale graph neural network. (2025). Zhou, Yang ; Xie, Chi ; Zhu, You ; Gong, Jue ; Wang, Gang-Jin. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00768-x.

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2026Enhancing financial risk management: a novel multivariate neural network approach for realized covariance matrix prediction. (2026). Souto, Hugo Gobato ; Moradi, Amir. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00816-6.

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2026Do Non-technological Innovations Enhance Competitive Advantage? Evidence from the Manufacturing and Service Sectors in Senegal. (2026). Djoumessi, Yannick Fosso ; Tsambou, Andr Dumas. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:17:y:2026:i:2:d:10.1007_s13132-025-02772-z.

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2025Generative-Discriminative Machine Learning Models for High-Frequency Financial Regime Classification. (2025). Peters, Gareth W ; Koukorinis, Andreas ; Germano, Guido. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10148-8.

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2025The use of Markov-Switching GARCH models in a Mexican rice spot price hedging algorithm with CME rice futures. (2025). Durn-Snchez, Amador ; Bollainparra, Leticia ; Torre-Torres, Oscar V. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:3:d:10.1007_s11135-025-02169-9.

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2025The definition of highly cited researchers: the effect of different approaches on the empirical outcome. (2025). Bornmann, Lutz ; Frietsch, Rainer ; Gruber, Sonia. In: Scientometrics. RePEc:spr:scient:v:130:y:2025:i:2:d:10.1007_s11192-024-05158-1.

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2025Imitated student’s t distribution: a Bayesian approach. (2025). Lenart, Ukasz ; Mokrzycka-Gajda, Justyna. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:4:d:10.1007_s00362-025-01720-y.

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2025Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment. (2025). Romero, Laura Capera ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250041.

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2025Macroeconomic real‐time forecasts of univariate models with flexible error structures. (2025). Hou, Chenghan ; Zhang, BO ; Trinh, Kelly. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:1:p:59-78.

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2025Forecasting Expected Shortfall and Value‐at‐Risk With Cross‐Sectional Aggregation. (2025). Wang, Yongqiao. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:391-423.

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2025Parametric Quantile Autoregressive Conditional Duration Models With Application to Intraday Value‐at‐Risk Forecasting. (2025). Saulo, Helton ; Dasilva, Alan ; Vila, Roberto ; Souza, Rubens ; Pal, Suvra. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:589-605.

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2025Regime‐Switching Density Forecasts Using Economists Scenarios. (2025). Moramarco, Graziano. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:833-845.

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2025Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers. (2025). Xu, Yongdeng. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1266-1279.

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2025Dynamic Econometric Models: A State‐Space Formulation. (2025). Dos, Silvaneo V ; Alves, Mariane B ; Migon, Helio S ; Pinheiro, Eduardo G. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:8:p:2494-2508.

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2025Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets. (2025). Kosmidou, Kyriaki ; Ioannidis, Filippos ; Theodossiou, Panayiotis. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1253-1277.

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2025Linear regression with weak exogeneity. (2025). Sølvsten, Mikkel ; Slvsten, Mikkel ; Mikusheva, Anna. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:2:p:367-403.

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Luc Bauwens has edited the books:

YearTitleTypeCited

Works by Luc Bauwens:

YearTitleTypeCited
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE.
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2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: LIDAM Reprints CORE.
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2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
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2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
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2018State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2018State-space models on the Stiefel Manifold with a new approach to nonlinear filtering.(2018) In: LIDAM Reprints CORE.
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2018State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering.(2018) In: Econometrics.
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1991Bayesian Diagnostics for Heterogeneity In: Annals of Economics and Statistics.
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1991Bayesian diagnostics for heterogeneity.(1991) In: LIDAM Reprints CORE.
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1991The pathologie of the Natural Conjugate Prior Density in the Regression Model In: Annals of Economics and Statistics.
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1991The pathology of the natural conjugate prior density in the regression model.(1991) In: LIDAM Reprints CORE.
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1990THE PATHOLOGY OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL..(1990) In: G.R.E.Q.A.M..
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2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article194
2000The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: LIDAM Reprints CORE.
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1989BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED In: Econometric Institute Archives.
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2011Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA.
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2011Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE.
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2013Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE.
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2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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2011Multivariate volatility modeling of electricity futures.(2011) In: SFB 649 Discussion Papers.
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2011Volatility Models In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper27
2012Volatility Models.(2012) In: LIDAM Reprints ISBA.
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2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
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2024Asymmetric Models for Realized Covariances In: LIDAM Discussion Papers ISBA.
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2026Asymmetric models for realized covariances.(2026) In: LIDAM Reprints ISBA.
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2024Asymmetric Models for Realized Covariances.(2024) In: LIDAM Discussion Papers CORE.
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2026Asymmetric models for realized covariances.(2026) In: International Journal of Forecasting.
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2024Bayesian mortality modelling with pandemics: a vanishing jump approach In: LIDAM Discussion Papers ISBA.
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2013Modelling multivariate volatility of electricity futures In: LIDAM Reprints ISBA.
[Citation analysis]		paper7
1994Estimating End-Use Demand: A Bayesian Approach. In: Journal of Business & Economic Statistics.
[Citation analysis]		article18
1992Estimating End-Use Demand : A Bayesian Approach.(1992) In: LIDAM Discussion Papers CORE.
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1994Estimating End-use Demand: a Bayesian Approach.(1994) In: LIDAM Reprints CORE.
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1992Estimating end-use demand: A Bayesian approach.(1992) In: UC3M Working papers. Economics.
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2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article140
2005A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 140		paper
2006REGIME SWITCHING GARCH MODELS In: Working Papers.
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2009A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article33
2007A component GARCH model with time varying weights.(2007) In: LIDAM Discussion Papers CORE.
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2009A component GARCH model with time varying weights.(2009) In: LIDAM Reprints CORE.
[Citation analysis]
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2007A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006.
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2011The Resistible Decline of European Science In: Recherches économiques de Louvain.
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2007The resistible decline of European science.(2007) In: LIDAM Discussion Papers CORE.
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2011The resistible decline of European Science.(2011) In: LIDAM Reprints CORE.
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2008The Resistible Decline of European Science.(2008) In: CEPR Discussion Papers.
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2011The Resistible Decline of European Science.(2011) In: Discussion Papers (REL - Recherches Economiques de Louvain).
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2011The resistible decline of European science.(2011) In: LSE Research Online Documents on Economics.
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2021DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations In: Cardiff Economics Working Papers.
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2025DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations.(2025) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 8		paper
2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations.(2023) In: International Journal of Forecasting.
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2023The contribution of realized covariance models to the economic value of volatility timing In: Cardiff Economics Working Papers.
[Full Text][Citation analysis]		paper0
2023The contribution of realized covariance models to the economic value of volatility timing.(2023) In: LIDAM Discussion Papers CORE.
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2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper70
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: LIDAM Discussion Papers CORE.
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2011A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers.
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2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
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2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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2013Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS.
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2013Modeling the dependence of conditional correlations on volatility.(2013) In: LIDAM Discussion Papers CORE.
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2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics In: Working Paper CRENoS.
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2018Nonlinearities and regimes in conditional correlations with different dynamics.(2018) In: LIDAM Discussion Papers CORE.
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2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: LIDAM Reprints CORE.
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2020Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: Journal of Econometrics.
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2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models In: Working Paper CRENoS.
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2020Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models.(2020) In: LIDAM Discussion Papers CORE.
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2022Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.(2022) In: LIDAM Reprints CORE.
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2023Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.(2023) In: Journal of Financial Econometrics.
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1987Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods. In: LIDAM Discussion Papers CORE.
[Citation analysis]		paper37
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: LIDAM Reprints CORE.
[Citation analysis]
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1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics.
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1992Approximate HPD regions for testing residual autocorrelation using augmented regressions In: LIDAM Discussion Papers CORE.
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1993Approximate HPD regions for testing residual autocorrelation using augmented regressions.(1993) In: LIDAM Reprints CORE.
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1994Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper35
1996Identification restrictions and posterior densities in cointegrated Gaussian VAR system.(1996) In: LIDAM Reprints CORE.
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1994Do Art Experts make Rational Estimates of Pre-Sale Prices ? In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper0
1995On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper1
1996Bayesian Inference on GARCH Models using the Gibbs Sampler In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper118
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 118		paper
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal.
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1996Bayesian Inference on GARCH Models Using the Gibbs Sampler..(1996) In: G.R.E.Q.A.M..
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1997A Gibbs sampling approach to cointegration In: LIDAM Discussion Papers CORE.
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1998Gibbs sampling approach to cointegration.(1998) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 8		paper
1997Bayesian option pricing using asymmetric GARCH In: LIDAM Discussion Papers CORE.
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1997Bayesian Option Pricing Using Asymmetric GARCH.(1997) In: G.R.E.Q.A.M..
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1997Modelling interest rates with a cointegrated VAR-GARCH model In: LIDAM Discussion Papers CORE.
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1997The logarithmic ACD model: an application to market microstructure and NASDAQ In: LIDAM Discussion Papers CORE.
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1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper5
1999Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper13
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers.
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2000ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000.
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1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers.
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1999The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper138
2004The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository.
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2000Identifying long-run behaviour with non-stationary data. In: LIDAM Discussion Papers CORE.
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2000A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE.
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2004A comparison of financial duration models via density forecasts.(2004) In: LIDAM Reprints CORE.
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2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
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This paper has nother version. Agregated cites: 114		paper
2002A new class of multivariate skew densities, with application to GARCH models In: LIDAM Discussion Papers CORE.
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2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
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This paper has nother version. Agregated cites: 40		paper
2003The moments of Log-ACD models In: LIDAM Discussion Papers CORE.
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2009The moments of Log-ACD models.(2009) In: LIDAM Reprints CORE.
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2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: LIDAM Discussion Papers CORE.
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2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: LIDAM Reprints CORE.
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2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance.
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2003Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE.
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2006Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE.
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2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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2003Ranking economics departments in Europe: a statistical approach In: LIDAM Discussion Papers CORE.
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2003Ranking economics departments in Europe: a statistical approach.(2003) In: LIDAM Reprints CORE.
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2003Ranking Economics Departments in Europe: A Statistical Approach.(2003) In: Journal of the European Economic Association.
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2003Bayesian clustering of many GARCH models In: LIDAM Discussion Papers CORE.
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2007Bayesian clustering of many GARCH models.(2007) In: LIDAM Reprints CORE.
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2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
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2003Dynamic latent factor models for intensity processes In: LIDAM Discussion Papers CORE.
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2005Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE.
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2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: LIDAM Reprints CORE.
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2005Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics.
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2008Exchange rate volatility and the mixture of distribution hypothesis.(2008) In: Studies in Empirical Economics.
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2005Bayesian inference for the mixed conditional heteroskedasticity model In: LIDAM Discussion Papers CORE.
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2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: LIDAM Reprints CORE.
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2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
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2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
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2006Intra-daily FX optimal portfolio allocation In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper3
2006Intra-Daily FX Optimal Portfolio Allocation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has nother version. Agregated cites: 3		paper
2006Regime switching GARCH models In: LIDAM Discussion Papers CORE.
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2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
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2006Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE.
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2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: LIDAM Reprints CORE.
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2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
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2006General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper22
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2008General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics.
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2006General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market In: LIDAM Discussion Papers CORE.
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2006Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2009Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE.
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2007Modelling financial high frequency data using point processes.(2007) In: SFB 649 Discussion Papers.
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2011Estimating and forecasting structural breaks in financial time series In: LIDAM Discussion Papers CORE.
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2013Computationally efficient inference procedures for vast dimensional realized covariance models.(2013) 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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2019DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations In: LIDAM Discussion Papers CORE.
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2023Realized Covariance Models with Time-varying Parameters and Spillover Effects In: LIDAM Discussion Papers CORE.
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2025Realized covariance models with time-varying parameters and spillover effects.(2025) 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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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.(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.(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.(1985) In: Journal of Econometrics.
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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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