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Displaying 12 results.
    • Journal article
    Stochastic Conditional Intensity Processes
    Bauwens, Luc[UCL] Hautsch, Nikolaus (2006) Journal of Financial Econometrics — Vol. 4, no. 3, p. 450-493 (2006)
    • Journal article
    Exchange rate volatility and the mixture of distribution hypothesis
    Bauwens, Luc[UCL] Rime, Dagfinn Sucarrat, Genaro[UCL] (2006) Empirical Economics : a quarterly journal of the Institute for Advanced Studies, Vienna — Vol. 30, no. 4, p. 889-911 (Janvier 2006)
    • WorkingPaper
    General to specific modelling of exchange rate volatility : a forecast evaluation
    Bauwens, Luc[UCL] Succarat, Genaro[UCL] (2006)
    • WorkingPaper
    Intra-daily FX optimal portfolio allocation
    Bauwens, Luc[UCL] Ben Omrane, Walid[UCL] Rengifo, Erick[UCL] (2006)
    • WorkingPaper
    Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market
    Bauwens, Luc[UCL] Lubrano, Michel (2006)
    • Journal article
    Causality and exogeneity in econometrics
    Bauwens, Luc[UCL] Boswijk, H. Peter Urbain, Jean-Pierre (2006) Journal of Econometrics — Vol. 132, no. 2, p. 305-309 (2006)
    • Journal article
    Recent developments in high frequency financial econometrics - Editor's introduction
    Bauwens, Luc[UCL] Pohlmeier, W. Veredas, David[UCL] (2006) Empirical Economics : a quarterly journal of the Institute for Advanced Studies, Vienna — Vol. 30, no. 4, p. 791-794 (2006)
    • Journal article
    Multivariate GARCH models: a survey
    Bauwens, Luc[UCL] Laurent, Sébastien[UCL] Rombouts, Jeroen[UCL] (2006) Journal of Applied Econometrics — Vol. 21, no. 1, p. 79-109 (Janvier 2006)
    • Journal article
    Econometric analysis of intra-daily trading activity on the Tokyo stock exchange
    Bauwens, Luc[UCL] (2006) Monetary and Economic Studies — Vol. 24, no. 1, p. 1-23 (2006)
    • WorkingPaper
    Multivariate mixed normal conditional heteroskedasticity
    Bauwens, Luc[UCL] Hafner, Christian[UCL] Rombouts, Jeroen (2006)
    • WorkingPaper
    Regime switching GARCH models
    Bauwens, Luc[UCL] Preminger, Arie[UCL] Rombouts, Jeroen (2006)
    • WorkingPaper
    Modelling financial high frequency data using point processes.
    Bauwens, Luc[UCL] Hautsch, Nikolaus (2006)