All Publications

Pages

1. • Journal article

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   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)
2. • Journal article

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   Ranking economics departments in Europe: a statistical approach

   Lubrano, Michel Kirman, Alan Protopopescu, Camelia Bauwens, Luc[UCL] (2003) Journal of the European Economic Association — Vol. 1, no. 6, p. 1367–1401 (Décembre 2003)
3. • Journal article

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   The Moments of Log-ACD Models

   Bauwens, Luc[UCL] Galli, Fausto[UCL] Giot, Pierre[UCL] (2008) Quantitative and Qualitative Analysis in Social Sciences — Vol. 2, no. 1, p. 1-28 (2008)
4. • Journal article

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   Adaptive radial-based direction sampling : a class of flexible and robust Monte Carlo integration methods

   Bauwens, Luc[UCL] Bos, Charles van Dijk, Herman van Oest, Rutger (2004) Journal of Econometrics — Vol. 123, no. 2, p. 201-225 (Décembre 2004)
5. • Journal article

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   A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models

   Bauwens, Luc[UCL] Laurent, Sébastien[UCL] (2005) Journal of Business and Economic Statistics — Vol. 23, no. 3, p. 346-354 (Juillet 2005)
6. • Journal article

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   Bayesian option pricing using asymmetric GARCH models

   Bauwens, Luc[UCL] Lubrano, Michel (2002) Journal of Empirical Finance — Vol. 9, no. 3, p. 321 – 342 (Août 2002)
7. • Journal article

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   General-to-specific modelling of exchange rate volatility: a forecast evaluation

   Bauwens, Luc[UCL] Sucarrat, Genaro (2010) International Journal of Forecasting — Vol. 26, no. 4, p. 885-907 (Octobre 2010)
8. • Journal article

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   We modeled long memory with just one lag!

   Bauwens, Luc[UCL] Chevillon, Guillaume Laurent, Sébastien (2023) Journal of Econometrics — Vol. 236, no.1, p. 105467 (2023)
9. • Journal article

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   State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering

   Yang, Yukai Bauwens, Luc[UCL] (2018) Econometrics — Vol. 6, no.4, p. 48 (2018)
10. • Journal article

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    A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models

    Bauwens, Luc[UCL] De Backer, Bruno[UCL] Dufays, Arnaud[UCL] (2014) Journal of Empirical Finance — Vol. 29, p. 207-229 (2014)
11. • WorkingPaper

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    Nonlinearities and regimes in conditional correlations with different dynamics

    Bauwens, Luc[UCL] Otranto, Edoardo (2018)
12. • WorkingPaper

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    Bayesian methods

    Bauwens, Luc[UCL] Korobilis, Dimitris (2011)
13. • Journal article

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    Annals of econometrics: Bayes, Bernoullis, and Basel - Introduction

    Bauwens, Luc[UCL] Polasek, W Vandijk, HK. (1996) Journal of Econometrics — Vol. 75, no. 1, p. 1-5 (1996)
14. • Journal article

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    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)
15. • Journal article

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    A Gibbs sampling approach to cointegration

    Bauwens, Luc[UCL] Giot, Pierre[UCL] (1998) Computational Statistics — Vol. 13, no. 3, p. 339-368 (1998)
16. • Journal article

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    The resistible decline of European science

    Bauwens, Luc[UCL] Mion, Giordano Thisse, Jacques-François[UCL] (2011) Recherches économiques de Louvain — Vol. 77, no. 4, p. 5-31 (2011)
17. • Journal article

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    The logarithmic ACD model : an application to the bid-ask quote process and three NYSE stocks

    Bauwens, Luc[UCL] Giot, Pierre[UCL] (2000) Annales d'économie et de statistique — Vol. 60, p. 117-149 (2000)
18. • WorkingPaper

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    Estimating and forecasting structural breaks in financial time series

    Bauwens, Luc[UCL] Dufays, Arnaud[UCL] de Backer, Bruno (2011)
19. • WorkingPaper

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    Forecasting long memory processes subject to structural breaks

    Wang, Shin-Huei Bauwens, Luc[UCL] Hsiao, Cheng (2012)
20. • BookChapter

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    Trends and breaking points in the Bayesian econometric literature

    Bauwens, Luc[UCL] Lubrano, Michel (1999) Economics beyond the millennium —
21. • Journal article

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    On marginal likelihood computation in change-point models

    Bauwens, Luc[UCL] Rombouts, Jeroen V.K. (2012) Computational Statistics & Data Analysis — Vol. 56, no. 11, p. 3415-3429 (2012)
22. • WorkingPaper

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    Autoregressive Moving Average Infinite Hidden Markov-Switching Models

    Bauwens, Luc[UCL] Carpantier, Jean-Francois Dufays, Arnaud[UCL] (2015)
23. • WorkingPaper

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    Computationally efficient inference procedures for vast dimensional realized covariance models

    Bauwens, Luc[UCL] Storti, Giuseppe (2012)
24. • Journal article

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    Modeling the Dependence of Conditional Correlations on Market Volatility

    Bauwens, Luc[UCL] Otranto, Edoardo (2016) Journal of Business & Economic Statistics — Vol. 34, p. 254-268 (2016)
25. • Journal article

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    Art experts and auctions are pre-sale estimates unbiased and fully informative?

    Bauwens, Luc[UCL] Ginsburgh, Victor (2000) Recherches Economiques de Louvain — Vol. 66, no. 2, p. 131-144 (2000)

Pages