Luc Bauwens

Université catholique de Louvain

CORE

34 Voie du Roman Pays

B-1348 Louvain-la-Neuve, b-1348

Belgium

  • Université catholique de Louvain

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SCHOLARLY PAPERS

49

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295

Scholarly Papers (49)

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1.

Multivariate GARCH Models: A Survey

CORE Discussion Paper No. 2003/31
Number of pages: 39 Posted: 06 Aug 2003
Luc Bauwens, Sébastien Laurent and J. V. K. Rombouts
Université catholique de Louvain, AMSE and HEC Montreal
Downloads 2,303 (8,938)
Citation 117

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Volatility, Multivariate GARCH models, Financial econometrics

2.

Modelling Financial High Frequency Data Using Point Processes

Downloads 886 ( 38,169)
Citation 14

Modelling Financial High Frequency Data Using Point Processes

CORE Discussion Paper No. 2006/80
Number of pages: 31 Posted: 19 Nov 2006
Nikolaus Hautsch and Luc Bauwens
University of Vienna - Department of Statistics and Operations Research and Université catholique de Louvain
Downloads 491 (81,224)
Citation 4

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Duration, intensity, point process, high frequency data, ACD models

Modelling Financial High Frequency Data Using Point Processes

CRC Discussion Paper No. 2007-066
Number of pages: 30 Posted: 06 Aug 2008
Luc Bauwens and Nikolaus Hautsch
Université catholique de Louvain and University of Vienna - Department of Statistics and Operations Research
Downloads 395 (104,878)
Citation 15

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Financial point processes, dynamic duration models, dynamic intensity models

3.

Regime Switching GARCH Models

CORE Discussion Paper No. 2006/11
Number of pages: 24 Posted: 14 Jul 2006
Luc Bauwens, Arie Preminger and J. V. K. Rombouts
Université catholique de Louvain, University of Haifa - Department of Economics and HEC Montreal
Downloads 739 (48,743)
Citation 23

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GARCH, regime switching, Bayesian inference

4.

The Logarithmic Acd Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks

Annales d'Economie et de Statistique, Vol. 60, pp. 117-149, 2000
Number of pages: 34 Posted: 22 Feb 2006
Luc Bauwens and Pierre Giot
Université catholique de Louvain and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 513 (77,712)
Citation 2

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duration, high frquency data, liquidity, market microstructure

5.

A New Class of Multivariate Skew Densities, with Application to GARCH Models

Journal of Business and Economic Statistics, 23/3, 346-354, 2005.
Number of pages: 44 Posted: 14 Apr 2005
Luc Bauwens and Sébastien Laurent
Université catholique de Louvain and AMSE
Downloads 436 (94,279)
Citation 2

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Multivariate skew density, multivariate student density, multivariate GARCH models, Value-at-Risk

6.

News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market

Downloads 385 (108,923)
Citation 10

News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market

CORE Discussion Paper
Number of pages: 27 Posted: 07 May 2003
Walid Ben Omrane, Luc Bauwens and Pierre Giot
Brock University - Department of Finance, Operations and Information Systems (FOIS), Université catholique de Louvain and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 385 (108,069)
Citation 10

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foreign exchange market, volatility, news announcements, high frequency data

News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market

Journal of Internztional Money and Finance, Vol. 24, pp. 1108-1125, 2005
Posted: 21 Feb 2006
Luc Bauwens, Walid Ben Omrane and Pierre Giot
Université catholique de Louvain, Brock University - Department of Finance, Operations and Information Systems (FOIS) and Facultés Universitaires Notre-Dame de la Paix (FUNDP)

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foreign exchange market, volatility, news announcements, high frequency data

7.

Dynamic Latent Factor Models for Intensity Processes

CORE Discussion Paper No. 2003/103
Number of pages: 37 Posted: 14 Apr 2005
Luc Bauwens and Nikolaus Hautsch
Université catholique de Louvain and University of Vienna - Department of Statistics and Operations Research
Downloads 372 (113,130)
Citation 18

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Multivariate point process, latent factor, transaction durations, efficient importance sampling

8.

The Stochastic Conditional Duration Model: A Latent Factor Model for the Analysis of Financial Durations

Journal of Econometrics, Vol. 119, No. 2, pp. 381-412, 2004
Number of pages: 37 Posted: 08 Apr 2005
Luc Bauwens and David Veredas
Université catholique de Louvain and Vlerick Business School
Downloads 329 (129,503)
Citation 13

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Duration, Hazard function, Market microstructure, Latent variable model

9.

Asymmetric Acd Models: Introducing Price Information in Acd Models with a Two State Transition Model

Number of pages: 24 Posted: 08 Apr 2005
Luc Bauwens and Pierre Giot
Université catholique de Louvain and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 324 (131,598)

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Duration and transition model, High frequency data, Market microstructure

10.

A Component GARCH Model With Time Varying Weights

CORE Discussion Paper No. 2007/19
Number of pages: 32 Posted: 16 Aug 2007
Luc Bauwens and Giuseppe Storti
Université catholique de Louvain and CSEF - University of Naples Federico II - Department of Economics
Downloads 323 (132,008)
Citation 1

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GARCH, persistence, volatility components, value-at-risk, expected shortfall

11.

Theory and Inference for a Markov Switching GARCH Model

CORE Discussion Paper No. 2007/55
Number of pages: 26 Posted: 06 Sep 2007
Luc Bauwens, Arie Preminger and J. V. K. Rombouts
Université catholique de Louvain, University of Haifa - Department of Economics and HEC Montreal
Downloads 318 (134,103)
Citation 6

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GARCH, Markov-switching, Bayesian inference

12.

The Moments of Log-Acd Models

CORE Discussion Paper
Number of pages: 26 Posted: 25 Feb 2003
Luc Bauwens, Fausto Galli and Pierre Giot
Université catholique de Louvain, Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 273 (157,075)
Citation 14

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Duration model, overdispersion, autocorrelation function, high frequency financial data

13.

Intra-Daily FX Optimal Portfolio Allocation

CORE Discussion Paper No. 2006/10
Number of pages: 28 Posted: 10 Jul 2006
Luc Bauwens, Walid Ben Omrane and Erick W. Rengifo
Université catholique de Louvain, Brock University - Department of Finance, Operations and Information Systems (FOIS) and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 241 (177,636)
Citation 1

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Optimal portfolio selection, Value-at-Risk, GARCH models, Foreign exchange markets

14.

Econometrics

Handbook of Computational Statistics, Vol. I, pp. 952-979, Forthcoming
Number of pages: 29 Posted: 18 Apr 2005
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 232 (184,151)

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Numerical integration, simulation, dynamic discrete choice, stochastic volatility, finire mixtures

15.

A Comparison of Financial Duration Models Via Density Forecast

International Journal of Forecasting, Vol. 20, pp. 589-604
Number of pages: 37 Posted: 09 Sep 2005
Luc Bauwens, Joachim Grammig, David Veredas and Pierre Giot
Université catholique de Louvain, University of Tuebingen, Vlerick Business School and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 216 (197,080)
Citation 8

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Duration processes, transactions data, intra-day financial markets, density forecast evaluation

16.

Econometric Analysis of Intra-Daily Activity on Tokyo Stock Exchange

IMES Discussion Paper No. 2005-E-3
Number of pages: 31 Posted: 14 Apr 2005
Luc Bauwens
Université catholique de Louvain
Downloads 179 (233,101)
Citation 4

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ACD, trade durations, high frequency data, Tokyo Stock Exchange

17.

Art Experts and Auctions: Are Pre-Sale Estimates Unbiased and Fully Informative?

Recherches Economiques de Louvain/Louvain Economic Review, Vol. 66, pp. 131-144, 2000
Number of pages: 14 Posted: 22 Feb 2006
Luc Bauwens and Victor A. Ginsburgh
Université catholique de Louvain and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 158 (259,072)
Citation 1

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auctions, pre-sale price estimate, unbiasedness

18.

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Downloads 147 (274,578)

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Number of pages: 31 Posted: 14 Apr 2005
Luc Bauwens, Dagfinn Rime and Genaro Sucarrat
Université catholique de Louvain, BI Norwegian Business School and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 147 (275,450)
Citation 4

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Exchange rate volatility, log-linear analysis, mixture of distribution hypothesis

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Empirical Economics, Vol. 30, No. 4, pp. 889-911, 2005
Posted: 22 Feb 2006
Luc Bauwens, Dagfinn Rime and Genaro Sucarrat
Université catholique de Louvain, BI Norwegian Business School and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)

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Exchange rate volatility, log-linear analysis, mixture of distribution hypothesis

19.

Marginal Likelihood for Markov-Switching and Change-Point GARCH Models

CIRANO - Scientific Publication No. 2011s-72
Number of pages: 36 Posted: 29 Nov 2011
Luc Bauwens, Arnaud Dufays and J. V. K. Rombouts
Université catholique de Louvain, Université catholique de Louvain, CORE and HEC Montreal
Downloads 131 (300,139)
Citation 15

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Bayesian inference, Simulation, GARCH, Markov-switching model, Change-point model, Marginal likelihood, Particle MCMC

20.

General to Specific Modelling of Exchange Rate Volatility: A Forecast Evaluation

CORE Discussion Paper No. 2006/21
Number of pages: 37 Posted: 03 Aug 2006
Luc Bauwens and Genaro Sucarrat
Université catholique de Louvain and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 129 (303,690)
Citation 4

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Exchange Rate Volatility, General to Specific, Forecasting

21.

Bayesian Clustering of Many GARCH Models

CORE Discussion Paper No. 2003/87
Number of pages: 42 Posted: 14 Apr 2005
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 116 (327,872)
Citation 4

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Bayesian inference, Clustering, GARCH, Gibbs sampling, Mixtures

22.

Estimation and Empirical Performance of Non-Scalar Dynamic Conditional Correlation Models

Forthcoming in Computational Statistics and Data Analysis
Number of pages: 68 Posted: 11 Mar 2014 Last Revised: 21 Feb 2015
Luc Bauwens, Lyudmila Grigoryeva, Juan-Pablo Ortega and Juan-Pablo Ortega
Université catholique de Louvain, University of Konstanz and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 115 (329,889)
Citation 1

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multivariate volatility modeling, dynamic conditional correlations (DCC), non-scalar DCC models, constrained optimization, Bregman divergences, Bregman-proximal trust-region method.

23.

The Contribution of Structural Break Models to Forecasting Macroeconomic Series

Number of pages: 35 Posted: 21 Aug 2011 Last Revised: 10 May 2017
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 95 (374,526)
Citation 12

Abstract:

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Forecasting, change-points, Markov switching, Bayesian inference

24.

Bayesian Analysis of Dynamic Disequilibrium Models: An Application to the Polish Credit Market

Number of pages: 23 Posted: 14 Apr 2005
Luc Bauwens and Michel Lubrano
Université catholique de Louvain and Ecole des Hautes Etudes en Sciences Sociales (EHESS)
Downloads 91 (384,774)

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Disequilibrium models, Bayesian inference, Gibbs sampler, credit rationing

25.

Bayesian Methods

Number of pages: 20 Posted: 18 Mar 2012
Luc Bauwens and Dimitris Korobilis
Université catholique de Louvain and University of Glasgow - Adam Smith Business School
Downloads 87 (395,448)
Citation 1

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Bayesian inference, dynamic regression model, prior distributions, MCMC methods

26.

Efficient Importance Sampling for ML Estimation of SCD Models

CORE Discussion Paper No. 2007/53
Number of pages: 31 Posted: 30 Aug 2007
Luc Bauwens and Fausto Galli
Université catholique de Louvain and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 87 (395,448)
Citation 2

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stochastic conditional duration, importance sampling

27.

Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market

CORE Discussion Paper No. 2006/50
Number of pages: 24 Posted: 22 Aug 2006
Luc Bauwens and Michel Lubrano
Université catholique de Louvain and Ecole des Hautes Etudes en Sciences Sociales (EHESS)
Downloads 87 (395,448)
Citation 2

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Latent variables, disequilibrium models, Bayesian inference, Gibbs sampler, credit rationing

28.

A Comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models

CIRANO - Scientific Publications No. 2011s-13
Posted: 27 Jan 2011
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 81 (412,487)
Citation 3

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Forecasting, change-points, Markov switching, Bayesian inference

29.

Multivariate Mixed Normal Conditional Heteroskedasticity

CORE Discussion Paper No. 2006/12
Number of pages: 23 Posted: 15 Jul 2006
Luc Bauwens, Christian Hafner and J. V. K. Rombouts
Université catholique de Louvain, Catholic University of Louvain (UCL) - School of Statistics and HEC Montreal
Downloads 78 (421,588)
Citation 6

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Multivariate volatility, Finite mixture, EM algorithm, Bayesian inference

30.

Forecasting a Long Memory Process Subject to Structural Breaks

CAFE Research Paper No. 13.01
Number of pages: 37 Posted: 20 Aug 2013 Last Revised: 26 Aug 2013
Cindy S.H. Wang, Luc Bauwens and Cheng Hsiao
Catholic University of Louvain (UCL)Peking University, HSBC Business School, Université catholique de Louvain and University of Southern California - Department of Economics
Downloads 58 (491,175)
Citation 2

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forecasting, long memory process, structural break, HAR model

31.

Multiplicative Conditional Correlation Models for Realized Covariance Matrices

CORE DISCUSSION PAPER SERIES, 2020
Number of pages: 29 Posted: 25 Feb 2020
Luc Bauwens, Manuela Braione and Giuseppe Storti
Université catholique de Louvain, SOSE and CSEF - University of Naples Federico II - Department of Economics
Downloads 57 (495,069)
Citation 3

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32.

Bayesian Inference for the Mixed Conditional Heteroskedasticity Model

CORE Discussion Paper No. 2005/85
Number of pages: 24 Posted: 24 Feb 2006
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 54 (507,319)
Citation 1

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Finite mixture, ML estimation, Bayesian inference, Value at Risk.

33.

A New Approach to Volatility Modeling: The High-Dimensional Markov Model

CRREP working serie 2016-09
Number of pages: 50 Posted: 30 Mar 2018 Last Revised: 25 Apr 2018
Maciej Augustyniak, Arnaud Dufays and Luc Bauwens
University of Montreal - Department of Mathematics and Statistics, EDHEC Business school and Université catholique de Louvain
Downloads 53 (511,545)

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Volatility, Markov-switching, Persistence, Leverage effect

34.

Modeling the Dependence of Conditional Correlations on Market Volatility

Journal of Business and Economic Statistics, 34/2, 254-268, 2016
Number of pages: 38 Posted: 09 May 2017
Luc Bauwens and Edoardo Otranto
Université catholique de Louvain and University of Messina
Downloads 44 (552,536)

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Dynamic conditional correlations, Markov switching, Minimum variance portfolio, Model confidence set, Forecasting

35.

A Dynamic Component Model for Forecasting High-Dimensional Realized Covariance Matrices

Econometrics and Statistics, 1, 40-61, 2017
Number of pages: 24 Posted: 09 May 2017
Luc Bauwens, Manuela Braione and Giuseppe Storti
Université catholique de Louvain, SOSE and CSEF - University of Naples Federico II - Department of Economics
Downloads 36 (594,198)
Citation 3

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Realized covariance, dynamic component models, multi-step forecasting, iterative algorithm

36.

Multivariate Volatility Modeling of Electricity Futures

Journal of Applied Econometrics, 28/5, 743-761, 2013
Number of pages: 24 Posted: 09 May 2017
Luc Bauwens, Christian Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain (UCL) - School of Statistics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 32 (617,470)
Citation 2

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Multivariate GARCH, dynamic correlations, multiplicative model, forecasting, electricity futures

37.

Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices

Annales d'Economie et de Statistique, 123-124,103-134, December, 2016
Number of pages: 33 Posted: 10 May 2017
Luc Bauwens, Manuela Braione and Giuseppe Storti
Université catholique de Louvain, SOSE and CSEF - University of Naples Federico II - Department of Economics
Downloads 29 (636,362)
Citation 2

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realized covariance, component dynamic models, MIDAS, minimum variance portfolio, Model Confidence Set, Value-at-Risk

38.

Autoregressive Moving Average Infinite Hidden Markov-Switching Models

Number of pages: 47 Posted: 09 May 2017 Last Revised: 11 May 2017
Luc Bauwens, Jean-Francois Carpantier and Arnaud Dufays
Université catholique de Louvain, Universite du Luxembourg and Université catholique de Louvain, CORE
Downloads 29 (636,362)
Citation 7

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ARMA, Bayesian inference, Dirichlet process, Forecasting

39.

A Bayesian Method of Change-Point Estimation with Recurrent Regimes: Application to GARCH Models

Number of pages: 41 Posted: 09 May 2017
Luc Bauwens, Bruno De Backer and Arnaud Dufays
Université catholique de Louvain, National Bank of Belgium and Université catholique de Louvain, CORE
Downloads 28 (643,038)
Citation 6

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Bayesian Inference, MCMC, Structural Breaks, Recurrent Regimes, Marginal Likelihood, GARCH, Forecasting

40.

On Marginal Likelihood Computation in Change-Point Models

Computational Statistics and Data Analysis, 56, 3415-3429, 2012
Number of pages: 35 Posted: 09 May 2017
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 14 (752,629)
Citation 2

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Bayesian inference, BIC, change-point model, structural break, marginal likelihood

41.

Multivariate Volatility Modeling of Electricity Futures: Online Appendix

Number of pages: 6 Posted: 10 May 2017
Luc Bauwens, Christian Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain (UCL) - School of Statistics and Universite du Luxembourg - Luxembourg School of Finance
Downloads 11 (780,555)
Citation 1

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Multivariate GARCH, dynamic correlations, multiplicative model, forecasting, electricity futures

42.

Supplementary Appendix to 'Modeling the Dependence of Conditional Correlations on Market Volatility'

Number of pages: 16 Posted: 10 May 2017
Luc Bauwens and Edoardo Otranto
Université catholique de Louvain and University of Messina
Downloads 10 (790,184)

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Dynamic conditional correlations, Markov switching, Minimum variance portfolio, Model confidence set, Forecasting

43.

Supplementary Appendix to Autoregressive Moving Average Infinite Hidden Markov-Switching Models

Number of pages: 17 Posted: 11 May 2017
Luc Bauwens, Jean-Francois Carpantier and Arnaud Dufays
Université catholique de Louvain, Universite du Luxembourg and Université catholique de Louvain, CORE
Downloads 8 (810,113)

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44.

The Resistible Decline of European Science

CEPR Discussion Paper No. DP6625
Number of pages: 27 Posted: 05 Jun 2008
Luc Bauwens, Giordano Mion and Jacques-François Thisse
Université catholique de Louvain, University of Sussex - Department of Economics and Catholic University of Louvain (UCL)
Downloads 5 (841,084)
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Citations, knowledge economics, research performance, university governance

45.

Stochastic Conditional Intensity Processes

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 450-493, 2006
Posted: 29 Feb 2008
Nikolaus Hautsch and Luc Bauwens
University of Vienna - Department of Statistics and Operations Research and Université catholique de Louvain

Abstract:

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conditional intensity function, efficient importance sampling, multivariate point processes, parameter-driven and observation-driven models, price intensities

46.

Adaptive Radial-Based Direction Sampling: Some Flexible and Robust Monte Carlo Integration Methods

Posted: 14 Apr 2005
Luc Bauwens, Charles S. Bos, H. K. van Dijk and R.D. van Oest
Université catholique de Louvain, VU University Amsterdam, Tinbergen Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

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Markov chain Monte Carlo, importance sampling, radial coordinates

47.

Bayesian Option Pricing Using Asymmetric GARCH Models

Posted: 14 Apr 2005
Luc Bauwens and Michel Lubrano
Université catholique de Louvain and Ecole des Hautes Etudes en Sciences Sociales (EHESS)

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Bayesian inference, GARCH, Option pricing, simulation

48.

Ranking Economics Departments in Europe: A Statistical Approach

Journal of the European Economic Association, Vol. 1, No. 6, pp. 1367-1401
Posted: 08 Apr 2005
Luc Bauwens, Michel Lubrano, Alan Kirman and Camelia Protopopescu
Université catholique de Louvain, Ecole des Hautes Etudes en Sciences Sociales (EHESS), GREQAM and University of Angers - French Institute of Health and Medical Research (INSERM)

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Ranking economics departments, journal ranking

49.

Bayesian Inference on GARCH Models Using the Gibbs Sampler

Posted: 06 Apr 1999
Luc Bauwens and Michel Lubrano
Université catholique de Louvain and Ecole des Hautes Etudes en Sciences Sociales (EHESS)

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Bayesian inference, GARCH, Gibbs sampler, Monte Carlo, Option pricing.

Other Papers (1)

Total Downloads: 8
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1.

Technical Appendix to 'The Contribution of Structural Break Models to Forecasting Macroeconomic Series'

Number of pages: 42 Posted: 21 Aug 2011 Last Revised: 10 May 2017
Luc Bauwens, Gary Koop, Dimitris Korobilis and J. V. K. Rombouts
Université catholique de Louvain, University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics, University of Glasgow - Adam Smith Business School and HEC Montreal
Downloads 8

Abstract:

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Forecasting, Structural Breaks, Change Points, Markov Switching, Bayesian Inference