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Displaying 2 results.
    • Journal article
    A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
    Augustyniak, Maciej Bauwens, Luc[UCL] Dufays, Arnaud (2019) Journal of Business & Economic Statistics — Vol. 37, no.4, p. 696-709 (2019)
    • WorkingPaper
    DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations
    Bauwens, Luc[UCL] Xu, Yongdeng (2019)