CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
Université catholique de Louvain
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Volatility, Multivariate GARCH models, Financial econometrics
Duration, intensity, point process, high frequency data, ACD models
Financial point processes, dynamic duration models, dynamic intensity models
GARCH, regime switching, Bayesian inference
duration, high frquency data, liquidity, market microstructure
Multivariate skew density, multivariate student density, multivariate GARCH models, Value-at-Risk
Multivariate point process, latent factor, transaction durations, efficient importance sampling
GARCH, Markov-switching, Bayesian inference
Duration and transition model, High frequency data, Market microstructure
foreign exchange market, volatility, news announcements, high frequency data
GARCH, persistence, volatility components, value-at-risk, expected shortfall
Duration, Hazard function, Market microstructure, Latent variable model
Duration model, overdispersion, autocorrelation function, high frequency financial data
Optimal portfolio selection, Value-at-Risk, GARCH models, Foreign exchange markets
Numerical integration, simulation, dynamic discrete choice, stochastic volatility, finire mixtures
Duration processes, transactions data, intra-day financial markets, density forecast evaluation
ACD, trade durations, high frequency data, Tokyo Stock Exchange
auctions, pre-sale price estimate, unbiasedness
Bayesian inference, Simulation, GARCH, Markov-switching model, Change-point model, Marginal likelihood, Particle MCMC
Forecasting, change-points, Markov switching, Bayesian inference
Exchange rate volatility, log-linear analysis, mixture of distribution hypothesis
Bayesian inference, dynamic regression model, prior distributions, MCMC methods
Exchange Rate Volatility, General to Specific, Forecasting
Bayesian inference, Clustering, GARCH, Gibbs sampling, Mixtures
multivariate volatility modeling, dynamic conditional correlations (DCC), non-scalar DCC models, constrained optimization, Bregman divergences, Bregman-proximal trust-region method.
stochastic conditional duration, importance sampling
Latent variables, disequilibrium models, Bayesian inference, Gibbs sampler, credit rationing
Disequilibrium models, Bayesian inference, Gibbs sampler, credit rationing
Multivariate volatility, Finite mixture, EM algorithm, Bayesian inference
Finite mixture, ML estimation, Bayesian inference, Value at Risk.
forecasting, long memory process, structural break, HAR model
Volatility, Markov-switching, Persistence, Leverage effect
Multivariate GARCH, dynamic correlations, multiplicative model, forecasting, electricity futures
Dynamic conditional correlations, Markov switching, Minimum variance portfolio, Model confidence set, Forecasting
Bayesian Inference, MCMC, Structural Breaks, Recurrent Regimes, Marginal Likelihood, GARCH, Forecasting
Bayesian estimation, Ridge regression, Vector autoregressive model, Forecasting.
Realized covariance, dynamic component models, multi-step forecasting, iterative algorithm
ARMA, Bayesian inference, Dirichlet process, Forecasting
realized covariance, component dynamic models, MIDAS, minimum variance portfolio, Model Confidence Set, Value-at-Risk
Bayesian inference, BIC, change-point model, structural break, marginal likelihood
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Citations, knowledge economics, research performance, university governance
conditional intensity function, efficient importance sampling, multivariate point processes, parameter-driven and observation-driven models, price intensities
Markov chain Monte Carlo, importance sampling, radial coordinates
Bayesian inference, GARCH, Option pricing, simulation
Ranking economics departments, journal ranking
Bayesian inference, GARCH, Gibbs sampler, Monte Carlo, Option pricing.
Forecasting, Structural Breaks, Change Points, Markov Switching, Bayesian Inference
