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 2 3 13
A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models 0 0 0 52 0 1 5 76
A Comparison of Financial Duration Models via Density Forecasts 0 0 0 361 1 3 8 793
A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models 0 0 0 177 1 3 8 206
A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models 0 0 1 83 0 2 8 134
A Component GARCH Model with Time Varying Weights 0 0 0 193 0 0 3 399
A Gibbs sampling approach to cointegration 0 0 1 35 0 0 2 102
A New Approach to Volatility Modeling: The High-Dimensional Markov Model 0 0 0 32 0 2 6 56
A New Class of Multivariate skew Densities, with Application to GARCH Models 0 0 0 0 0 4 7 527
A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models 0 0 1 58 0 2 6 143
A comparison of financial duration models via density forecast 0 0 0 0 0 0 2 48
A comparison of financial duration models via density forecasts 0 2 2 4 0 4 9 30
A comparison of financial duration models via density forecasts 0 1 1 80 1 4 7 1,132
A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models 0 0 0 60 1 2 5 68
A component GARCH model with time varying weights 0 0 0 0 0 3 9 978
A component GARCH model with time varying weights 0 0 1 85 0 0 3 280
A component GARCH model with time varying weights 0 0 0 10 0 4 7 55
A dynamic component model for forecasting high-dimensional realized covariance matrices 1 1 3 66 2 7 19 117
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 0 0 1 4 12 25
A new approach to volatility modeling: the High-Dimensional Markov model 0 0 0 77 2 5 10 129
A new approach: the factorial hidden Markov volatility model 0 0 0 0 1 2 8 8
A new class of multivariate skew densities, with application to GARCH models 0 0 0 96 1 2 6 228
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 0 2 14 0 3 14 40
ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK 0 0 0 0 1 2 11 413
Adaptive Polar Sampling 0 0 0 0 0 1 2 160
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk 0 0 0 181 2 3 5 998
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk 0 0 0 6 0 1 3 82
Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces 0 0 0 24 0 0 1 516
Adaptive polar sampling with an application to a Bayes measure of value-at-risk 0 0 0 10 0 3 12 513
Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods 0 0 0 6 0 3 4 58
Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces 0 0 0 0 0 1 6 44
Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods 0 0 0 0 1 1 1 14
Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods 0 0 0 18 0 1 3 98
An export model for the Belgian industry 0 0 1 3 0 1 2 9
Approximate HPD regions for testing residual autocorrelation using augmented regressions 0 0 0 0 0 0 2 15
Approximate HPD regions for testing residual autocorrelation using augmented regressions 0 0 0 6 0 2 6 297
Art experts and auctions Are pre-sale estimates unbiased and fully informative? 1 1 5 58 1 1 15 211
Art experts and auctions are pre-sale estimates unbiased and fully informative? 0 0 0 0 0 0 13 40
Art experts and auctions:are pre-sale estimates unbiased and fully informative 0 0 0 3 0 0 7 37
Asymmetric ACD models: Introducing price information in ACD models 0 0 0 2 0 2 6 18
Asymmetric ACD models: introducing price information in ACD models with a two state transition model 0 0 0 78 1 1 9 1,049
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 0 0 2 6 16
Autoregressive moving average infinite hidden Markov-switching models 0 0 0 0 0 1 6 15
Autoregressive moving average infinite hidden markov-switching models 0 1 2 51 1 2 8 98
BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS 0 1 1 193 0 1 5 487
BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED 1 1 1 1 2 5 7 10
Bayesian Inference in Dynamic Disequilibrium Models: an Application to the Polish Credit Market 0 0 2 132 0 1 6 394
Bayesian Inference on GARCH Models Using the Gibbs Sampler 0 0 0 1 0 0 7 1,673
Bayesian Inference on GARCH Models using the Gibbs Sampler 0 0 5 54 0 2 20 1,164
Bayesian Option Pricing Using Asymmetric GARCH 0 0 0 0 0 1 2 1,565
Bayesian Option Pricing using Asymmetric Garch Models 0 0 0 2 0 3 9 982
Bayesian and classical econometric modeling of time series 0 0 0 0 0 0 4 12
Bayesian clustering of many GARCH models 0 0 0 0 0 1 6 23
Bayesian clustering of many GARCH models 1 1 1 39 1 2 4 111
Bayesian diagnostics for heterogeneity 0 0 0 0 0 0 3 16
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 40 0 2 4 225
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 13 0 2 6 92
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 61 0 1 4 316
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 0 0 0 4 6 27
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market 0 0 0 7 0 0 3 26
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market 0 0 0 24 0 0 2 118
Bayesian inference on GARCH models using the Gibbs sampler 0 0 9 20 0 1 21 70
Bayesian methods 1 3 13 370 1 3 24 566
Bayesian option pricing using asymmetric GARCH 0 0 0 21 0 0 2 71
Bayesian option pricing using asymmetric GARCH models 0 0 0 0 0 0 1 21
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods 0 0 0 7 0 0 4 27
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods 0 0 0 0 0 0 4 74
Computationally efficient inference procedures for vast dimensional realized covariance models 0 0 1 2 0 1 7 21
Computationally efficient inference procedures for vast dimensional realized covariance models 0 0 1 34 0 0 7 96
DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations 0 1 9 9 0 5 19 19
DCC-HEAVY: a multivariate GARCH model based on realized variances and correlations 2 6 42 134 6 19 114 263
Do Art Experts make Rational Estimates of Pre-Sale Prices ? 0 0 5 16 0 0 14 76
Dynamic conditional correlation models for realized covariance matrices 0 2 7 109 2 7 28 313
Dynamic latent factor models for intensity processes 0 0 2 109 0 0 3 301
Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange 0 0 0 0 2 4 8 27
Econometrics 0 0 0 0 0 1 6 28
Econometrics 0 0 0 19 4 8 15 89
Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics 0 0 0 0 0 0 0 16
Efficient importance sampling for ML estimation of SCD models 0 0 1 47 1 2 3 183
Efficient importance sampling for ML estimation of SCD models 0 0 0 3 1 1 3 21
Efficient importance sampling for ML estimation of SCD models 0 0 0 21 1 2 4 114
Estimating End-Use Demand: A Bayesian Approach 0 0 0 6 0 0 1 364
Estimating End-use Demand: a Bayesian Approach 0 0 0 2 0 0 5 16
Estimating and forecasting structural breaks in financial time series 0 2 10 99 1 10 30 320
Estimating end-use demand: A Bayesian approach 0 0 0 0 1 3 5 28
Estimation and Empirical Performance of Non-Scalar DCC Models 0 0 0 0 0 2 5 12
Estimation and empirical performance of non-scalar dynamic conditional correlation models 0 0 2 51 0 0 3 60
Exchange Rate Volatility and the Mixture of Distribution Hypothesis 0 0 0 166 0 0 3 561
Exchange rate volatility and the mixture of distribution hypothesis 0 0 0 1 0 0 8 24
Exchange rate volatility and the mixture of distribution hypothesis 0 0 1 36 0 0 9 146
Explaining Adaptive Radial-Based Direction Sampling 0 0 0 7 0 2 5 56
Forecasting comparison of long term component dynamic models for realized covariance matrices 0 0 0 0 1 2 8 17
Forecasting comparison of long term component dynamic models for realized covariance matrices 0 0 1 39 0 1 7 80
Forecasting long memory processes subject to structural breaks 0 1 2 49 2 4 14 140
General to Specific Modelling of Exchange Rate Volatility: a Forecast Evaluation 0 0 0 174 0 3 14 466
General to specific modelling of exchange rate volatility: a forecast evaluation 0 0 1 148 1 4 17 457
General to specific modelling of exchange rate volatility: a forecast evaluation 0 0 0 9 1 5 15 113
General-to-specific modelling of exchange rate volatility: a forecast evaluation 0 0 0 0 0 3 12 36
Gibbs sampling approach to cointegration 0 0 0 0 0 0 2 12
High frequency finance 0 0 0 0 0 1 1 35
High frequency financial econometrics. Recent developments 0 0 0 0 0 0 3 63
Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems 0 1 5 40 1 2 13 189
Identification restrictions and posterior densities in cointegrated Gaussian VAR system 0 0 0 0 0 4 6 28
Identifying long-run behaviour with non-stationary data 0 0 0 22 0 1 4 451
Intra-Daily FX Optimal Portfolio Allocation 0 1 2 216 1 5 7 995
Intra-daily FX optimal portfolio allocation 0 0 0 33 0 1 4 125
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models 0 0 0 19 0 1 5 173
Marginal Likelihood for Markov-Switching and Change-Point Garch Models 0 0 0 30 0 1 3 100
Marginal Likelihood for Markov-switching and Change-point Garch Models 0 0 0 52 4 10 14 122
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 0 13 1 3 8 72
Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models 0 0 0 0 0 0 3 21
Modeling the Dependence of Conditional Correlations on Volatility 0 0 0 146 1 3 6 208
Modeling the dependence of conditional correlations on market volatility 0 0 0 0 0 1 6 26
Modeling the dependence of conditional correlations on volatility 0 0 0 27 0 0 1 57
Modelling Financial High Frequency Data Using Point Processes 0 0 1 100 1 1 5 289
Modelling Financial High Frequency Data Using Point Processes 1 1 3 249 2 3 10 650
Modelling financial high frequency data using point processes 0 0 0 0 2 3 6 27
Modelling financial high frequency data using point processes 0 0 1 94 0 1 15 335
Modelling interest rates with a cointegrated VAR-GARCH model 0 0 1 151 1 2 8 1,945
Modelling multivariate volatility of electricity futures 0 0 0 0 0 0 0 0
Multiplicative Conditional Correlation Models for Realized Covariance Matrices 0 0 4 36 2 2 11 66
Multivariate GARCH models and their Estimation 0 0 0 0 1 3 15 508
Multivariate GARCH models: a survey 1 3 5 25 2 13 42 150
Multivariate GARCH models: a survey 1 2 6 461 3 12 39 1,061
Multivariate Volatility Modeling of Electricity Futures 0 0 0 65 0 1 6 198
Multivariate mixed normal conditional heteroskedasticity 0 0 1 21 0 1 6 101
Multivariate mixed normal conditional heteroskedasticity 0 0 1 3 0 0 2 14
Multivariate mixed normal conditional heteroskedasticity 0 0 0 149 1 1 4 469
Multivariate volatility modeling of electricity futures 0 0 0 0 0 2 3 3
Multivariate volatility modeling of electricity futures 0 0 0 20 1 3 10 108
News announcements, market activity and volatility in the Euro/Dollar foreign exchange market 0 1 2 64 0 3 11 206
News announcements, market activity and volatility in the euro/dollar foreign exchange market 0 0 0 4 1 3 9 39
Nonlinearities and Regimes in Conditional Correlations with Different Dynamics 0 2 4 38 0 4 17 43
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 2 16 0 0 10 40
On Marginal Likelihood Computation in Change-point Models 0 0 1 113 0 4 15 353
On marginal likelihood computation in change-point models 0 0 1 2 0 2 6 24
On marginal likelihood computation in change-point models 0 0 0 33 0 2 6 93
On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors 1 1 6 48 2 4 13 845
Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration 0 0 0 1 1 1 3 17
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 1 3 13
Ranking economics departments in Europe: a statistical approach 1 1 2 6 1 4 7 44
Ranking economics departments in Europe: a statistical approach 1 1 1 239 1 4 10 717
Recent developments in the econometrics of financial markets using intra-day data 0 0 0 0 0 2 3 5
Regime switching GARCH models 0 1 2 75 0 2 8 233
Regime switching GARCH models 0 0 0 600 0 1 3 1,266
Regime switching GARCH models 0 0 1 186 0 1 6 512
State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering 0 0 0 78 2 7 18 48
State-space models on the Stiefel Manifold with a new approach to nonlinear filtering 0 0 0 0 1 3 8 8
Stochastic conditional intensity processes 0 0 0 4 0 2 3 23
THE "PATHOLOGY" OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL 0 0 0 0 1 1 2 905
THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE 0 0 0 0 0 2 6 1,013
The "pathology" of the natural conjugate prior density in the regression model 0 0 0 0 0 0 1 3
The Contribution of Structural Break Models to Forecasting Macroeconomic Series 0 2 9 358 1 7 44 630
The Contribution of Structural Break Models to Forecating Macroeconomic Series 0 0 0 0 1 3 16 36
The Resistible Decline of European Science 0 0 1 80 1 8 31 283
The Resistible Decline of European Science 0 0 0 4 1 1 9 55
The law of large (small?) numbers and the demand for insurance 0 0 0 0 0 2 6 22
The logarithmic ACD model: an application to market microstructure and NASDAQ 0 0 2 56 0 1 10 1,879
The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks 0 0 0 0 1 3 17 55
The moments of Log-ACD models 0 0 0 0 1 1 3 42
The moments of Log-ACD models 1 2 3 47 1 4 8 184
The resistible decline of European Science 1 1 1 1 1 2 7 23
The resistible decline of European science 0 0 0 38 1 3 11 197
The resistible decline of European science 0 0 0 1 0 0 4 39
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 0 1 1 7 31
The stochastic conditional duration model: a latent factor model for the analysis of financial durations 0 0 0 65 1 3 3 1,210
The stochastic conditional duration model: a latent variable model for the analysis of financial durations 0 0 0 4 1 2 3 17
Theory and Inference for a Markov-Switching GARCH Model 0 0 1 545 0 2 12 1,337
Theory and inference for a Markov switching GARCH model 0 0 0 52 0 1 1 154
Theory and inference for a Markov switching GARCH model 0 0 0 128 1 1 4 321
Theory and inference for a Markov switching Garch model 0 0 0 390 2 3 9 722
Theory and inference for a Markov switching Garch model 0 0 0 1 0 2 4 25
Trends and breaking points in the Bayesian econometric literature 0 0 0 0 0 2 7 15
Volatility Models 0 0 0 0 2 6 7 7
Volatility Models 0 0 0 0 2 3 4 4
Volatility models 0 0 9 300 6 9 39 598
Total Working Papers 15 44 215 9,759 106 409 1,543 45,758


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 5 219
A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models 0 1 4 16 2 4 10 81
A Component GARCH Model with Time Varying Weights 0 1 2 84 2 6 14 289
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model 1 2 3 3 1 3 6 6
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models 1 2 10 132 1 3 19 301
A comparison of financial duration models via density forecasts 0 0 0 99 0 1 6 319
A dynamic component model for forecasting high-dimensional realized covariance matrices 0 0 2 13 1 5 17 68
Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods 0 0 0 27 0 0 4 132
An export model for the Belgian industry 0 0 1 22 1 1 9 106
Asymmetric ACD models: Introducing price information in ACD models 1 1 1 130 1 3 5 335
Autoregressive Moving Average Infinite Hidden Markov-Switching Models 0 0 0 3 0 1 8 33
Bayesian Clustering of Many Garch Models 0 0 0 55 0 0 0 149
Bayesian Diagnostics for Heterogeneity 0 1 1 2 1 2 6 18
Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market 0 0 0 56 0 3 5 196
Bayesian inference for the mixed conditional heteroskedasticity model 0 0 1 33 0 0 6 290
Bayesian inference on GARCH models using the Gibbs sampler 0 0 0 2 0 1 23 1,169
Bayesian option pricing using asymmetric GARCH models 0 0 1 224 1 1 8 460
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods 0 0 2 69 0 1 10 165
Causality and exogeneity in econometrics 0 0 1 197 0 0 2 530
Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange 0 0 2 48 2 4 9 194
Editor's introduction 0 0 0 4 0 0 2 72
Editors' introduction Bayesian and classical econometric modeling of time series 0 0 0 44 0 0 1 160
Editor’s introduction 0 0 0 14 0 1 4 96
Efficient importance sampling for ML estimation of SCD models 0 0 0 21 1 1 3 111
Estimating End-Use Demand: A Bayesian Approach 0 0 0 0 0 0 2 360
Estimation and empirical performance of non-scalar dynamic conditional correlation models 0 0 1 5 0 0 6 29
Exchange rate volatility and the mixture of distribution hypothesis 0 0 1 87 0 0 9 301
Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices 0 0 3 10 0 2 19 60
Forecasting a long memory process subject to structural breaks 0 0 2 58 2 4 16 211
General-to-specific modelling of exchange rate volatility: A forecast evaluation 0 0 1 23 0 3 21 128
Inter-industry and intra-industry specialization in manufactured goods 0 0 1 70 0 0 8 296
Intra-industry Specialisation in a Multi-country and Multi-industry Framework 1 2 13 303 4 8 49 771
Intradaily dynamic portfolio selection 0 0 1 14 0 1 5 86
MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES 0 1 2 36 0 3 8 105
Marginal likelihood for Markov-switching and change-point GARCH models 0 0 2 55 1 1 8 218
Modeling the Dependence of Conditional Correlations on Market Volatility 0 0 0 4 1 2 11 28
Multivariate GARCH models: a survey 2 12 42 1,686 11 37 143 3,470
Multivariate mixed normal conditional heteroskedasticity 0 0 0 50 0 0 3 129
News announcements, market activity and volatility in the euro/dollar foreign exchange market 0 0 5 186 0 1 17 552
Nonlinearities and regimes in conditional correlations with different dynamics 0 0 0 0 4 8 11 11
On marginal likelihood computation in change-point models 0 0 0 10 0 1 7 58
Ranking Economics Departments in Europe: A Statistical Approach 0 0 3 1,253 2 5 13 4,461
Recent advances in Bayesian econometrics 0 0 0 69 0 1 2 179
State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering 0 0 2 3 2 3 19 30
Stochastic Conditional Intensity Processes 0 1 2 73 0 1 5 212
The 'pathologie' of the Natural Conjugate Prior Density in the Regression Model 0 1 1 8 1 3 6 21
The Contribution of Structural Break Models to Forecasting Macroeconomic Series 0 0 3 25 2 5 19 92
The Econometrics of Industrial Organization 0 0 1 202 0 0 2 411
The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks 0 0 4 8 1 5 19 52
The Resistible Decline of European Science 0 0 0 15 4 5 16 107
The determinants of intra-European trade in manufactured goods 0 0 2 76 0 1 6 204
The stochastic conditional duration model: a latent variable model for the analysis of financial durations 0 0 0 86 0 0 1 246
Theory and inference for a Markov switching GARCH model 0 0 4 110 1 1 8 357
Théorie de l’information et diagnostic médical: une analyse coût-efficacité 0 0 0 8 0 0 3 80
Total Journal Articles 6 25 127 5,867 50 142 644 18,764


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 4 20 111 645
Total Books 0 0 0 0 4 20 111 645


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Bayesian methods 0 0 2 21 0 0 8 68
Total Chapters 0 0 2 21 0 0 8 68


Statistics updated 2020-11-03