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2“...New parameterizations of the dynamic conditional correlation (DCC) model and of the regime-switching dynamic correlation (RSDC) model are introduced, such that...”
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4by Bauwens, Luc Otranto, Edoardo Published in Journal of business & economic statistics (02.04.2016)“...Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns and several studies have...”
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5by Luc Bauwens Sébastien Laurent Jeroen V. K. Rombouts Published in Journal of applied econometrics (Chichester, England) (01.01.2006)“...This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and...”
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6by Bauwens, Luc Dufays, Arnaud Rombouts, Jeroen V.K Published in Journal of econometrics (01.01.2014)“...GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are...”
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8“...This book contains an up-to-date coverage of the last twenty years of advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It...”
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9by Bauwens, Luc Laurent, Sébastien Published in Journal of business & economic statistics (01.07.2005)“...We propose a practical and flexible method to introduce skewness in multivariate symmetric distributions. Applying this procedure to the multivariate Student...”
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10“...We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin...”
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11by LUC BAUWENS GARY KOOP DIMITRIS KOROBILIS JEROEN V. K. ROMBOUTS Published in Journal of applied econometrics (Chichester, England) (01.06.2015)“...This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their...”
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12by Wang, Cindy Shin-Huei Bauwens, Luc Hsiao, Cheng Published in Journal of econometrics (01.12.2013)“...We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving average (ARFIMA) process subject to...”
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13“..."The main purpose of this handbook is to illustrate the mathematically fundamental implementation of various volatility models in the banking and financial...”
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14by LUC BAUWENS CHRISTIAN M. HAFNER DIANE PIERRET Published in Journal of applied econometrics (Chichester, England) (01.08.2013)“...We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic...”
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15“...We introduce a class of models for the analysis of durations, which we call stochastic conditional duration (SCD) models. These models are based on the...”
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16“...The general-to-specific (GETS) methodology is widely employed in the modelling of economic series, but less so in financial volatility modelling, due to its...”
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17by Luc Bauwens Arie Preminger Jeroen V. K. Rombouts Published in The econometrics journal (01.01.2010)“...¿We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching...”
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18by Bauwens, Luc Ben Omrane, Walid Giot, Pierre Published in Journal of international money and finance (2005)“...We study the impact of nine categories of scheduled and unscheduled news announcements on the euro/dollar return volatility. We highlight and analyze the...”
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19by Luc Bauwens Manuela Braione Giuseppe Storti Published in Annals of economics and statistics (01.12.2016)“...Novel model specifications that include a time-varying long-run component in the dynamics of realized covariance matrices are proposed. The modelling framework...”
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20by Bauwens, Luc Giot, Pierre Grammig, Joachim Veredas, David Published in International journal of forecasting (2004)“...Using density forecast evaluation techniques, we compare the predictive performance of econometric specifications that have been developed for modeling...”