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 2 11
A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models 0 0 4 52 0 1 8 72
A Comparison of Financial Duration Models via Density Forecasts 0 0 0 361 3 3 8 788
A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models 0 0 0 177 2 4 9 202
A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models 0 0 0 82 1 2 8 128
A Component GARCH Model with Time Varying Weights 0 0 1 193 1 2 9 398
A Gibbs sampling approach to cointegration 0 0 1 34 1 1 7 101
A New Approach to Volatility Modeling: The High-Dimensional Markov Model 0 0 2 32 2 3 11 53
A New Class of Multivariate skew Densities, with Application to GARCH Models 0 0 0 0 1 2 7 522
A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models 0 0 1 57 2 2 8 139
A comparison of financial duration models via density forecast 0 0 0 0 0 0 2 46
A comparison of financial duration models via density forecasts 0 0 0 2 0 2 6 23
A comparison of financial duration models via density forecasts 0 0 0 79 0 0 9 1,125
A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models 0 0 0 60 0 0 3 63
A component GARCH model with time varying weights 0 0 0 0 3 3 10 972
A component GARCH model with time varying weights 0 0 0 10 3 3 12 51
A component GARCH model with time varying weights 0 0 1 84 1 2 11 279
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 0 63 0 5 19 103
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 0 0 0 3 12 16
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 2 77 0 3 23 122
A new class of multivariate skew densities, with application to GARCH models 0 0 0 96 1 2 9 224
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 1 3 13 2 3 11 29
ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK 0 0 0 0 2 5 11 407
Adaptive Polar Sampling 0 0 0 0 0 0 6 158
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk 0 0 0 181 0 1 4 994
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk 0 0 0 6 1 1 2 80
Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces 0 0 0 24 1 1 7 516
Adaptive polar sampling with an application to a Bayes measure of value-at-risk 0 0 0 10 1 4 15 505
Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods 0 0 0 6 1 1 3 55
Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces 0 0 0 0 1 5 9 43
Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods 0 0 0 0 0 0 3 13
Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods 0 0 1 18 1 2 12 97
An export model for the Belgian industry 0 0 0 2 0 0 2 7
Approximate HPD regions for testing residual autocorrelation using augmented regressions 0 0 0 6 3 4 4 295
Approximate HPD regions for testing residual autocorrelation using augmented regressions 0 0 0 0 1 1 1 14
Art experts and auctions Are pre-sale estimates unbiased and fully informative? 0 1 1 54 0 5 13 201
Art experts and auctions are pre-sale estimates unbiased and fully informative? 0 0 0 0 2 6 9 33
Art experts and auctions:are pre-sale estimates unbiased and fully informative 0 0 2 3 1 3 10 33
Asymmetric ACD models: Introducing price information in ACD models 0 0 0 2 1 2 6 14
Asymmetric ACD models: introducing price information in ACD models with a two state transition model 0 0 0 78 4 7 14 1,047
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 0 2 7 11
Autoregressive moving average infinite hidden markov-switching models 0 0 2 49 3 4 10 94
BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS 0 0 1 192 1 2 10 484
BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED 0 0 0 0 1 1 4 4
Bayesian Inference in Dynamic Disequilibrium Models: an Application to the Polish Credit Market 0 2 2 132 0 5 7 393
Bayesian Inference on GARCH Models Using the Gibbs Sampler 0 0 0 1 2 4 9 1,670
Bayesian Inference on GARCH Models using the Gibbs Sampler 0 4 6 53 3 12 23 1,156
Bayesian Option Pricing Using Asymmetric GARCH 0 0 0 0 1 1 6 1,564
Bayesian Option Pricing using Asymmetric Garch Models 0 0 0 2 3 4 11 977
Bayesian and classical econometric modeling of time series 0 0 0 0 0 1 1 9
Bayesian clustering of many GARCH models 0 0 1 38 0 1 7 108
Bayesian clustering of many GARCH models 0 0 0 0 4 4 8 21
Bayesian diagnostics for heterogeneity 0 0 0 0 0 1 5 14
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 61 0 0 3 312
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 13 1 1 5 87
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 40 1 2 6 223
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 0 0 0 2 21
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market 0 0 0 24 0 2 12 118
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market 0 0 1 7 0 0 6 23
Bayesian inference on GARCH models using the Gibbs sampler 1 4 5 15 2 9 22 58
Bayesian methods 0 3 16 360 3 7 31 549
Bayesian option pricing using asymmetric GARCH 0 0 0 21 0 1 5 70
Bayesian option pricing using asymmetric GARCH models 0 0 0 0 0 0 5 20
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods 0 0 0 0 1 1 6 71
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods 0 0 0 7 2 2 5 25
Computationally efficient inference procedures for vast dimensional realized covariance models 0 0 0 33 3 4 8 93
Computationally efficient inference procedures for vast dimensional realized covariance models 0 0 0 1 2 3 6 17
DCC-HEAVY: a multivariate GARCH model based on realized variances and correlations 5 16 108 108 12 42 191 191
Do Art Experts make Rational Estimates of Pre-Sale Prices ? 2 2 2 13 4 5 8 67
Dynamic conditional correlation models for realized covariance matrices 0 1 9 103 4 11 40 296
Dynamic latent factor models for intensity processes 0 0 0 107 1 1 7 299
Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange 0 0 0 0 1 3 5 22
Econometrics 0 0 0 19 3 4 15 78
Econometrics 0 0 0 0 2 3 6 25
Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics 0 0 0 0 0 0 4 16
Efficient importance sampling for ML estimation of SCD models 0 0 0 3 0 1 5 19
Efficient importance sampling for ML estimation of SCD models 0 1 1 47 0 1 5 181
Efficient importance sampling for ML estimation of SCD models 0 0 0 21 1 2 7 112
Estimating End-Use Demand: A Bayesian Approach 0 0 0 6 1 1 2 364
Estimating End-use Demand: a Bayesian Approach 0 0 0 2 0 2 3 13
Estimating and forecasting structural breaks in financial time series 0 0 3 89 2 6 23 296
Estimating end-use demand: A Bayesian approach 0 0 0 0 0 0 11 23
Estimation and Empirical Performance of Non-Scalar DCC Models 0 0 0 0 2 2 6 9
Estimation and empirical performance of non-scalar dynamic conditional correlation models 0 1 2 50 0 1 10 58
Exchange Rate Volatility and the Mixture of Distribution Hypothesis 0 0 0 166 0 1 3 559
Exchange rate volatility and the mixture of distribution hypothesis 0 0 0 1 4 6 7 22
Exchange rate volatility and the mixture of distribution hypothesis 1 1 1 36 4 4 10 141
Explaining Adaptive Radial-Based Direction Sampling 0 0 0 7 2 2 6 53
Forecasting comparison of long term component dynamic models for realized covariance matrices 0 0 0 38 0 1 5 74
Forecasting comparison of long term component dynamic models for realized covariance matrices 0 0 0 0 1 1 9 10
Forecasting long memory processes subject to structural breaks 0 0 1 47 2 4 18 130
General to Specific Modelling of Exchange Rate Volatility: a Forecast Evaluation 0 0 0 174 1 2 9 454
General to specific modelling of exchange rate volatility: a forecast evaluation 0 1 1 148 1 3 13 443
General to specific modelling of exchange rate volatility: a forecast evaluation 0 0 0 9 0 1 5 99
General-to-specific modelling of exchange rate volatility: a forecast evaluation 0 0 0 0 1 2 9 26
Gibbs sampling approach to cointegration 0 0 0 0 1 1 2 11
High frequency finance 0 0 0 0 0 0 3 34
High frequency financial econometrics. Recent developments 0 0 0 0 0 0 5 60
Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems 0 0 1 35 1 3 12 179
Identification restrictions and posterior densities in cointegrated Gaussian VAR system 0 0 0 0 0 2 7 24
Identifying long-run behaviour with non-stationary data 0 0 0 22 1 2 4 449
Intra-Daily FX Optimal Portfolio Allocation 0 0 0 214 1 1 5 989
Intra-daily FX optimal portfolio allocation 0 0 1 33 1 2 7 123
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 19 1 1 3 169
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 0 0 0 30 2 2 7 99
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 0 0 52 2 3 7 111
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 4 5 9 69
Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models 0 0 0 0 2 3 8 21
Modeling the Dependence of Conditional Correlations on Volatility 0 0 0 146 1 2 6 204
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 0 1 14 21
Modeling the dependence of conditional correlations on volatility 0 0 1 27 0 1 6 57
Modelling Financial High Frequency Data Using Point Processes 0 0 2 246 1 1 5 641
Modelling Financial High Frequency Data Using Point Processes 0 0 3 99 2 2 12 286
Modelling financial high frequency data using point processes 0 0 0 0 0 2 3 23
Modelling financial high frequency data using point processes 0 1 2 94 1 5 15 325
Modelling interest rates with a cointegrated VAR-GARCH model 0 0 1 150 0 3 8 1,940
Multiplicative Conditional Correlation Models for Realized Covariance Matrices 0 0 0 32 0 1 13 56
Multivariate GARCH models and their Estimation 0 0 0 0 2 4 17 497
Multivariate GARCH models: a survey 0 1 3 21 3 11 39 119
Multivariate GARCH models: a survey 0 2 7 457 1 9 37 1,031
Multivariate Volatility Modeling of Electricity Futures 0 0 0 65 3 5 9 197
Multivariate mixed normal conditional heteroskedasticity 0 1 1 3 1 2 6 14
Multivariate mixed normal conditional heteroskedasticity 0 1 1 21 1 2 8 97
Multivariate mixed normal conditional heteroskedasticity 0 0 0 149 2 2 4 467
Multivariate volatility modeling of electricity futures 0 0 0 20 2 5 12 103
News announcements, market activity and volatility in the Euro/Dollar foreign exchange market 0 0 0 62 1 3 8 198
News announcements, market activity and volatility in the euro/dollar foreign exchange market 0 0 1 4 1 3 10 33
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics 1 1 4 35 6 8 20 34
Nonlinearities and regimes in conditional correlations with different dynamics 1 2 9 16 1 5 23 35
On Marginal Likelihood Computation in Change-point Models 0 1 1 113 2 8 15 346
On marginal likelihood computation in change-point models 0 0 0 33 1 2 11 89
On marginal likelihood computation in change-point models 0 1 1 2 1 2 6 20
On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors 0 1 5 43 0 3 15 835
Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration 0 0 0 0 0 0 3 10
Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration 0 0 0 1 0 2 6 16
Ranking economics departments in Europe: a statistical approach 0 1 1 5 1 2 9 39
Ranking economics departments in Europe: a statistical approach 0 0 0 238 1 2 14 709
Recent developments in the econometrics of financial markets using intra-day data 0 0 0 0 0 0 1 2
Regime switching GARCH models 0 0 2 185 1 2 11 508
Regime switching GARCH models 0 0 0 600 0 0 5 1,263
Regime switching GARCH models 0 0 0 73 1 2 12 227
State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering 0 0 4 78 3 4 19 34
Stochastic conditional intensity processes 0 0 0 4 1 1 2 21
THE "PATHOLOGY" OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL 0 0 0 0 1 1 5 904
THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE 0 0 0 0 3 3 3 1,010
The "pathology" of the natural conjugate prior density in the regression model 0 0 0 0 1 1 1 3
The Contribution of Structural Break Models to Forecasting Macroeconomic Series 1 3 8 352 11 28 50 614
The Contribution of Structural Break Models to Forecating Macroeconomic Series 0 0 0 0 0 5 13 25
The Resistible Decline of European Science 0 0 0 79 3 14 36 266
The Resistible Decline of European Science 0 0 0 4 3 3 13 49
The law of large (small?) numbers and the demand for insurance 0 0 0 0 2 4 6 20
The logarithmic ACD model: an application to market microstructure and NASDAQ 0 1 2 55 1 4 9 1,873
The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks 0 0 0 0 4 7 14 45
The moments of Log-ACD models 0 0 0 0 1 1 5 40
The moments of Log-ACD models 1 1 3 45 4 4 11 180
The resistible decline of European Science 0 0 0 0 1 2 5 18
The resistible decline of European science 0 0 0 38 1 2 9 188
The resistible decline of European science 0 0 0 1 2 2 6 37
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 4 65 0 0 9 1,207
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 0 4 4 9 28
The stochastic conditional duration model: a latent variable model for the analysis of financial durations 0 0 0 4 0 1 3 15
Theory and Inference for a Markov-Switching GARCH Model 1 1 1 545 5 7 15 1,332
Theory and inference for a Markov switching GARCH model 0 0 0 52 0 0 10 153
Theory and inference for a Markov switching GARCH model 0 0 0 128 0 1 11 318
Theory and inference for a Markov switching Garch model 0 0 0 1 0 1 7 22
Theory and inference for a Markov switching Garch model 0 0 0 390 2 6 15 719
Trends and breaking points in the Bayesian econometric literature 0 0 0 0 3 4 5 12
Volatility models 2 3 13 294 6 14 35 573
Total Working Papers 16 60 263 9,604 241 532 1,795 44,737
1 registered items for which data could not be found

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 3 3 3 217
A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models 0 0 5 12 1 1 16 72
A Component GARCH Model with Time Varying Weights 1 1 5 83 1 3 17 278
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models 1 3 4 125 3 7 27 289
A comparison of financial duration models via density forecasts 0 0 2 99 2 3 10 316
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 1 2 12 2 5 24 56
Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods 0 0 0 27 2 4 12 132
An export model for the Belgian industry 0 0 0 21 0 2 7 99
Asymmetric ACD models: Introducing price information in ACD models 0 0 2 129 1 2 6 332
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 3 2 2 14 27
Bayesian Clustering of Many Garch Models 0 0 0 55 0 0 3 149
Bayesian Diagnostics for Heterogeneity 0 0 0 1 1 1 4 13
Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market 0 0 1 56 0 1 5 192
Bayesian inference for the mixed conditional heteroskedasticity model 0 1 1 33 1 3 8 287
Bayesian inference on GARCH models using the Gibbs sampler 0 0 0 2 2 9 27 1,155
Bayesian option pricing using asymmetric GARCH models 0 0 0 223 0 3 9 455
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods 0 0 1 67 5 5 10 160
Causality and exogeneity in econometrics 0 0 2 196 1 1 6 529
Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange 0 0 0 46 0 1 4 186
Editor's introduction 0 0 0 4 0 1 2 71
Editors' introduction Bayesian and classical econometric modeling of time series 0 0 0 44 1 1 2 160
Editor’s introduction 0 0 0 14 3 3 5 95
Efficient importance sampling for ML estimation of SCD models 0 0 0 21 1 2 8 110
Estimating End-Use Demand: A Bayesian Approach 0 0 0 0 0 1 5 359
Estimation and empirical performance of non-scalar dynamic conditional correlation models 0 0 0 4 0 1 9 24
Exchange rate volatility and the mixture of distribution hypothesis 0 1 3 87 4 6 25 298
Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices 0 1 3 8 4 7 20 48
Forecasting a long memory process subject to structural breaks 0 0 5 56 2 4 20 199
General-to-specific modelling of exchange rate volatility: A forecast evaluation 0 0 0 22 0 1 11 108
Inter-industry and intra-industry specialization in manufactured goods 0 0 0 69 2 3 6 291
Intra-industry Specialisation in a Multi-country and Multi-industry Framework 3 5 13 295 8 15 36 737
Intradaily dynamic portfolio selection 0 1 1 14 0 3 7 84
MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES 0 1 1 35 2 4 16 101
Marginal likelihood for Markov-switching and change-point GARCH models 0 1 2 54 1 4 11 214
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 0 4 0 1 6 18
Multivariate GARCH models: a survey 3 6 43 1,650 12 25 130 3,352
Multivariate mixed normal conditional heteroskedasticity 0 0 0 50 1 3 6 129
News announcements, market activity and volatility in the euro/dollar foreign exchange market 0 1 4 182 3 7 26 542
On marginal likelihood computation in change-point models 0 0 1 10 3 4 6 55
Ranking Economics Departments in Europe: A Statistical Approach 0 1 1 1,251 0 4 11 4,452
Recent advances in Bayesian econometrics 0 0 0 69 0 1 15 178
State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering 0 0 0 1 1 7 16 18
Stochastic Conditional Intensity Processes 0 1 1 72 2 4 7 211
The 'pathologie' of the Natural Conjugate Prior Density in the Regression Model 0 0 1 7 1 2 3 17
The Contribution of Structural Break Models to Forecasting Macroeconomic Series 0 1 3 23 2 6 12 79
The Econometrics of Industrial Organization 0 0 0 201 0 0 5 409
The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks 0 0 2 4 1 4 15 37
The Resistible Decline of European Science 0 0 0 15 2 4 15 95
The determinants of intra-European trade in manufactured goods 0 0 1 74 1 1 5 199
The stochastic conditional duration model: a latent variable model for the analysis of financial durations 0 0 0 86 0 0 1 245
Theory and inference for a Markov switching GARCH model 1 3 4 109 1 4 18 353
Théorie de l’information et diagnostic médical: une analyse coût-efficacité 0 0 0 8 1 2 4 79
Total Journal Articles 9 29 114 5,769 86 191 696 18,311

Book File Downloads Abstract Views
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Bayesian Inference in Dynamic Econometric Models 0 0 0 0 5 27 84 561
Total Books 0 0 0 0 5 27 84 561

Chapter File Downloads Abstract Views
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Bayesian methods 0 1 3 20 1 3 14 63
Total Chapters 0 1 3 20 1 3 14 63

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Statistics updated 2020-02-04