Access Statistics for Luc Bauwens

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A 1-1 poly-t random variable generator with application to Monte Carlo integration 0 0 0 6 1 1 1 10
A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models 1 2 4 52 1 2 7 69
A Comparison of Financial Duration Models via Density Forecasts 0 0 2 361 1 3 10 784
A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models 0 0 0 177 1 2 6 197
A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models 0 0 0 82 1 2 7 124
A Component GARCH Model with Time Varying Weights 1 1 1 193 2 3 8 394
A Gibbs sampling approach to cointegration 0 0 1 34 2 2 9 99
A New Approach to Volatility Modeling: The High-Dimensional Markov Model 0 0 2 31 0 0 9 47
A New Class of Multivariate skew Densities, with Application to GARCH Models 0 0 0 0 2 2 8 518
A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models 0 0 2 57 2 2 9 136
A comparison of financial duration models via density forecast 0 0 0 0 1 1 7 46
A comparison of financial duration models via density forecasts 0 0 1 79 2 3 11 1,121
A comparison of financial duration models via density forecasts 0 0 1 2 0 1 5 19
A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models 0 0 0 60 0 1 6 62
A component GARCH model with time varying weights 0 0 0 0 1 3 10 967
A component GARCH model with time varying weights 0 0 0 10 4 4 9 46
A component GARCH model with time varying weights 0 0 0 83 2 2 5 272
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 0 63 1 5 14 94
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 0 0 1 3 12 12
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 2 76 2 5 16 109
A new class of multivariate skew densities, with application to GARCH models 0 0 0 96 2 2 7 219
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 1 1 11 2 3 5 23
ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK 0 0 0 0 2 2 4 398
Adaptive Polar Sampling 0 0 0 0 0 3 6 155
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk 0 0 0 6 0 0 0 78
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk 0 0 0 181 1 1 3 992
Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces 0 0 0 24 1 2 2 511
Adaptive polar sampling with an application to a Bayes measure of value-at-risk 0 0 0 10 1 4 7 497
Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods 0 0 1 6 0 0 1 52
Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces 0 0 0 0 0 1 1 35
Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods 0 0 0 0 0 0 2 12
Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods 0 0 1 18 2 2 5 88
An export model for the Belgian industry 0 0 1 2 1 1 3 7
Approximate HPD regions for testing residual autocorrelation using augmented regressions 0 0 0 6 0 0 0 291
Approximate HPD regions for testing residual autocorrelation using augmented regressions 0 0 0 0 0 0 0 13
Art experts and auctions Are pre-sale estimates unbiased and fully informative? 0 0 1 53 3 3 5 191
Art experts and auctions are pre-sale estimates unbiased and fully informative? 0 0 0 0 0 0 1 25
Art experts and auctions:are pre-sale estimates unbiased and fully informative 1 1 2 3 1 4 9 28
Asymmetric ACD models: Introducing price information in ACD models 0 0 0 2 0 0 0 8
Asymmetric ACD models: introducing price information in ACD models with a two state transition model 0 0 1 78 1 3 5 1,036
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 0 0 0 6 7
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 1 1 8 8
Autoregressive moving average infinite hidden markov-switching models 0 1 2 49 0 2 6 89
BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS 0 0 0 191 2 2 4 478
BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED 0 0 0 0 1 1 2 2
Bayesian Inference in Dynamic Disequilibrium Models: an Application to the Polish Credit Market 0 0 1 130 1 1 4 387
Bayesian Inference on GARCH Models Using the Gibbs Sampler 0 0 0 1 1 1 4 1,664
Bayesian Inference on GARCH Models using the Gibbs Sampler 0 1 2 49 0 3 13 1,144
Bayesian Option Pricing Using Asymmetric GARCH 0 0 0 0 1 1 6 1,561
Bayesian Option Pricing using Asymmetric Garch Models 0 0 0 2 1 1 6 970
Bayesian and classical econometric modeling of time series 0 0 0 0 0 0 1 8
Bayesian clustering of many GARCH models 1 1 1 38 3 3 7 107
Bayesian clustering of many GARCH models 0 0 0 0 2 2 4 16
Bayesian diagnostics for heterogeneity 0 0 0 0 1 1 2 10
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 61 1 1 2 310
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 40 0 0 3 218
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 13 0 0 2 84
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 0 1 1 2 21
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market 0 0 0 24 3 4 6 111
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market 0 0 3 7 2 3 8 22
Bayesian inference on GARCH models using the Gibbs sampler 0 1 1 11 3 7 13 47
Bayesian methods 1 3 18 352 3 7 35 533
Bayesian option pricing using asymmetric GARCH 0 0 1 21 1 1 10 67
Bayesian option pricing using asymmetric GARCH models 0 0 0 0 0 1 4 17
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods 0 0 0 7 1 1 2 22
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods 0 0 0 0 0 2 8 69
Computationally efficient inference procedures for vast dimensional realized covariance models 0 0 0 33 0 1 2 87
Computationally efficient inference procedures for vast dimensional realized covariance models 0 0 0 1 1 1 2 13
Do Art Experts make Rational Estimates of Pre-Sale Prices ? 0 0 1 11 1 2 5 62
Dynamic conditional correlation models for realized covariance matrices 0 0 7 97 4 8 29 273
Dynamic latent factor models for intensity processes 0 0 1 107 2 2 10 297
Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange 0 0 0 0 1 1 4 19
Econometrics 0 0 0 0 0 1 3 22
Econometrics 0 0 0 19 1 3 13 72
Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics 0 0 0 0 1 1 1 13
Efficient importance sampling for ML estimation of SCD models 0 0 0 21 1 1 5 108
Efficient importance sampling for ML estimation of SCD models 0 0 0 46 0 2 4 179
Efficient importance sampling for ML estimation of SCD models 0 0 0 3 1 2 4 18
Estimating End-Use Demand: A Bayesian Approach 0 0 0 6 0 0 1 362
Estimating End-use Demand: a Bayesian Approach 0 0 0 2 0 0 0 10
Estimating and forecasting structural breaks in financial time series 0 1 4 88 1 7 18 284
Estimating end-use demand: A Bayesian approach 0 0 0 0 3 4 4 16
Estimation and Empirical Performance of Non-Scalar DCC Models 0 0 0 0 0 0 3 5
Estimation and empirical performance of non-scalar dynamic conditional correlation models 0 0 1 49 1 3 9 55
Exchange Rate Volatility and the Mixture of Distribution Hypothesis 0 0 0 166 1 1 2 557
Exchange rate volatility and the mixture of distribution hypothesis 0 0 1 35 2 2 8 134
Exchange rate volatility and the mixture of distribution hypothesis 0 0 0 1 0 0 0 15
Explaining Adaptive Radial-Based Direction Sampling 0 0 0 7 2 2 6 51
Forecasting comparison of long term component dynamic models for realized covariance matrices 0 0 0 38 2 3 7 73
Forecasting comparison of long term component dynamic models for realized covariance matrices 0 0 0 0 4 4 7 7
Forecasting long memory processes subject to structural breaks 0 0 2 47 3 5 15 123
General to Specific Modelling of Exchange Rate Volatility: a Forecast Evaluation 0 0 1 174 3 3 11 451
General to specific modelling of exchange rate volatility: a forecast evaluation 0 0 0 147 4 4 10 437
General to specific modelling of exchange rate volatility: a forecast evaluation 0 0 0 9 1 1 5 97
General-to-specific modelling of exchange rate volatility: a forecast evaluation 0 0 0 0 3 3 7 22
Gibbs sampling approach to cointegration 0 0 0 0 0 0 0 9
High frequency finance 0 0 0 0 0 0 4 31
High frequency financial econometrics. Recent developments 0 0 0 0 1 3 8 60
Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems 0 1 2 35 1 2 9 171
Identification restrictions and posterior densities in cointegrated Gaussian VAR system 0 0 0 0 0 1 2 19
Identifying long-run behaviour with non-stationary data 0 0 0 22 0 0 1 446
Intra-Daily FX Optimal Portfolio Allocation 0 0 0 214 0 0 3 986
Intra-daily FX optimal portfolio allocation 0 0 1 33 0 0 3 119
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 19 0 1 2 167
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 0 0 0 30 1 2 6 96
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 0 0 52 2 2 4 106
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 1 13 0 1 5 62
Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models 0 0 0 0 2 3 4 17
Modeling the Dependence of Conditional Correlations on Volatility 0 0 1 146 1 1 4 201
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 2 5 18 18
Modeling the dependence of conditional correlations on volatility 0 0 0 26 1 1 3 53
Modelling Financial High Frequency Data Using Point Processes 0 0 2 98 1 4 12 282
Modelling Financial High Frequency Data Using Point Processes 0 1 2 246 1 2 6 639
Modelling financial high frequency data using point processes 0 0 0 0 0 0 0 20
Modelling financial high frequency data using point processes 0 0 1 93 4 6 10 318
Modelling interest rates with a cointegrated VAR-GARCH model 0 1 2 150 0 3 10 1,937
Multiplicative Conditional Correlation Models for Realized Covariance Matrices 0 0 1 32 0 5 15 53
Multivariate GARCH models and their Estimation 0 0 0 0 1 4 10 488
Multivariate GARCH models: a survey 0 0 4 19 2 5 32 99
Multivariate GARCH models: a survey 0 2 10 455 3 9 35 1,016
Multivariate Volatility Modeling of Electricity Futures 0 0 0 65 0 0 4 191
Multivariate mixed normal conditional heteroskedasticity 0 0 0 149 1 1 2 464
Multivariate mixed normal conditional heteroskedasticity 0 0 0 20 1 2 4 92
Multivariate mixed normal conditional heteroskedasticity 0 0 0 2 0 0 0 8
Multivariate volatility modeling of electricity futures 0 0 0 20 1 1 8 97
News announcements, market activity and volatility in the Euro/Dollar foreign exchange market 0 0 2 62 0 0 28 192
News announcements, market activity and volatility in the euro/dollar foreign exchange market 0 0 2 4 0 0 6 26
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics 0 1 2 33 2 3 10 21
Nonlinearities and regimes in conditional correlations with different dynamics 0 2 9 10 0 4 22 23
On Marginal Likelihood Computation in Change-point Models 0 0 0 112 0 1 8 337
On marginal likelihood computation in change-point models 0 0 0 1 1 1 2 16
On marginal likelihood computation in change-point models 0 0 0 33 4 4 6 84
On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors 1 2 4 42 1 3 12 830
Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration 0 0 0 0 1 1 2 9
Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration 0 0 0 1 2 2 3 13
Ranking economics departments in Europe: a statistical approach 0 0 1 238 3 6 12 704
Ranking economics departments in Europe: a statistical approach 0 0 0 4 2 3 4 34
Recent developments in the econometrics of financial markets using intra-day data 0 0 0 0 1 1 1 2
Regime switching GARCH models 0 1 2 185 0 4 15 504
Regime switching GARCH models 0 0 0 600 0 3 8 1,262
Regime switching GARCH models 0 0 1 73 1 3 11 224
State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering 0 2 77 77 3 7 27 27
Stochastic conditional intensity processes 0 0 0 4 0 0 3 20
THE "PATHOLOGY" OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL 0 0 0 0 1 2 5 902
THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE 0 0 0 0 0 0 0 1,007
The "pathology" of the natural conjugate prior density in the regression model 0 0 0 0 0 0 0 2
The Contribution of Structural Break Models to Forecasting Macroeconomic Series 1 1 4 346 2 5 32 578
The Contribution of Structural Break Models to Forecating Macroeconomic Series 0 0 0 0 3 4 10 19
The Resistible Decline of European Science 0 0 0 4 3 3 6 41
The Resistible Decline of European Science 0 0 0 79 2 5 12 237
The law of large (small?) numbers and the demand for insurance 0 0 0 0 1 1 1 15
The logarithmic ACD model: an application to market microstructure and NASDAQ 0 0 1 53 3 3 10 1,867
The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks 0 0 0 0 1 2 2 33
The moments of Log-ACD models 0 1 2 44 1 5 7 175
The moments of Log-ACD models 0 0 0 0 1 3 5 39
The resistible decline of European Science 0 0 0 0 0 0 2 14
The resistible decline of European science 0 0 0 38 0 0 7 182
The resistible decline of European science 0 0 0 1 1 2 7 34
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 0 0 0 4 21
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 2 63 0 1 6 1,202
The stochastic conditional duration model: a latent variable model for the analysis of financial durations 0 0 0 4 1 1 1 13
Theory and Inference for a Markov-Switching GARCH Model 0 0 0 544 0 3 8 1,322
Theory and inference for a Markov switching GARCH model 0 0 1 52 2 3 4 146
Theory and inference for a Markov switching GARCH model 0 0 1 128 2 4 6 311
Theory and inference for a Markov switching Garch model 0 0 0 1 2 2 2 17
Theory and inference for a Markov switching Garch model 0 0 2 390 2 2 7 707
Trends and breaking points in the Bayesian econometric literature 0 0 0 0 0 0 1 8
Volatility models 1 3 18 289 2 5 29 552
Total Working Papers 8 31 229 9,419 193 358 1,176 43,656


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A 1-1 poly-t random variable generator with application to Monte Carlo integration 0 0 0 36 0 0 0 214
A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models 0 0 2 9 3 5 9 64
A Component GARCH Model with Time Varying Weights 0 2 3 81 1 3 12 267
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models 0 0 2 122 4 10 22 279
A comparison of financial duration models via density forecasts 1 1 3 99 2 3 10 312
A dynamic component model for forecasting high-dimensional realized covariance matrices 1 1 1 11 5 6 14 46
Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods 0 0 0 27 0 0 1 121
An export model for the Belgian industry 0 0 0 21 0 1 2 93
Asymmetric ACD models: Introducing price information in ACD models 0 0 2 129 0 0 4 329
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 2 3 2 3 12 20
Bayesian Clustering of Many Garch Models 0 0 0 55 1 2 5 149
Bayesian Diagnostics for Heterogeneity 0 0 0 1 1 2 3 11
Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market 0 0 2 56 1 1 7 190
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 32 1 5 11 284
Bayesian inference on GARCH models using the Gibbs sampler 0 0 0 2 3 7 18 1,142
Bayesian option pricing using asymmetric GARCH models 0 0 0 223 0 2 7 450
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods 0 0 1 67 2 2 4 154
Causality and exogeneity in econometrics 0 0 1 195 1 2 4 526
Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange 0 0 0 46 2 2 4 185
Editor's introduction 0 0 0 4 1 1 1 70
Editors' introduction Bayesian and classical econometric modeling of time series 0 0 0 44 1 1 1 159
Editor’s introduction 0 0 0 14 1 1 1 91
Efficient importance sampling for ML estimation of SCD models 0 0 0 21 3 3 6 106
Estimating End-Use Demand: A Bayesian Approach 0 0 0 0 1 1 1 355
Estimation and empirical performance of non-scalar dynamic conditional correlation models 0 0 0 4 1 2 4 19
Exchange rate volatility and the mixture of distribution hypothesis 0 0 2 86 1 4 14 283
Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices 0 0 3 7 3 3 16 36
Forecasting a long memory process subject to structural breaks 2 3 8 56 2 5 26 188
General-to-specific modelling of exchange rate volatility: A forecast evaluation 0 0 2 22 2 4 13 105
Inter-industry and intra-industry specialization in manufactured goods 0 0 1 69 0 1 6 288
Intra-industry Specialisation in a Multi-country and Multi-industry Framework 1 3 16 290 2 5 34 717
Intradaily dynamic portfolio selection 0 0 0 13 0 1 1 78
MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES 0 0 0 34 2 3 8 92
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 1 53 1 2 6 208
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 0 4 0 1 3 14
Multivariate GARCH models: a survey 3 10 53 1,642 7 26 130 3,309
Multivariate mixed normal conditional heteroskedasticity 0 0 0 50 2 2 3 125
News announcements, market activity and volatility in the euro/dollar foreign exchange market 0 0 3 181 1 6 23 531
On marginal likelihood computation in change-point models 0 1 1 10 0 1 2 51
Ranking Economics Departments in Europe: A Statistical Approach 0 0 0 1,250 2 2 9 4,445
Recent advances in Bayesian econometrics 0 0 0 69 4 4 5 168
State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering 0 0 1 1 2 4 9 9
Stochastic Conditional Intensity Processes 0 0 0 71 0 0 3 206
The 'pathologie' of the Natural Conjugate Prior Density in the Regression Model 0 0 2 6 0 0 3 14
The Contribution of Structural Break Models to Forecasting Macroeconomic Series 0 1 3 21 1 2 12 72
The Econometrics of Industrial Organization 0 0 0 201 1 1 2 405
The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks 1 1 3 4 3 4 9 28
The Resistible Decline of European Science 0 0 0 15 1 4 6 85
The determinants of intra-European trade in manufactured goods 0 0 1 74 0 0 2 195
The stochastic conditional duration model: a latent variable model for the analysis of financial durations 0 0 0 86 0 0 2 244
Theory and inference for a Markov switching GARCH model 0 0 1 106 4 5 11 342
Théorie de l’information et diagnostic médical: une analyse coût-efficacité 0 0 0 8 1 1 2 76
Total Journal Articles 9 23 120 5,731 79 156 523 17,950


Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Bayesian Inference in Dynamic Econometric Models 0 0 0 0 10 21 63 521
Total Books 0 0 0 0 10 21 63 521


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Bayesian methods 0 0 2 19 0 4 13 58
Total Chapters 0 0 2 19 0 4 13 58


Statistics updated 2019-09-09