Luc Bauwens

Université catholique de Louvain

CORE

34 Voie du Roman Pays

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

Belgium

SCHOLARLY PAPERS

48

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446

Scholarly Papers (48)

1.

Multivariate GARCH Models: A Survey

CORE Discussion Paper No. 2003/31
Number of pages: 39 Posted: 06 Aug 2003
Université catholique de Louvain, University of Angers - Research Group in Quantitative Saving (GREQAM) and HEC Montreal
Downloads 2,217 (5,948)
Citation 278

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Volatility, Multivariate GARCH models, Financial econometrics

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 469 (58,625)
Citation 2

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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 370 (78,020)
Citation 17

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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
Université catholique de Louvain, University of Haifa - Department of Economics and HEC Montreal
Downloads 548 (48,682)
Citation 11

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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 470 (59,116)
Citation 39

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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 University of Angers - Research Group in Quantitative Saving (GREQAM)
Downloads 419 (67,927)
Citation 26

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

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 371 (77,752)
Citation 37

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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 332 (89,112)
Citation 16

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

8.

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

Empirical Economics, Vol. 28, No. 4, pp. 709-731
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 319 (93,131)
Citation 15

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Duration and transition model, High frequency data, Market microstructure

9.

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 301 (99,160)
Citation 30

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Duration, Hazard function, Market microstructure, Latent variable model

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 University of Salerno - Department of Economics
Downloads 290 (103,281)
Citation 4

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

11.
Downloads 273 (110,206)
Citation 15

Theory and Inference for a Markov Switching GARCH Model

CORE Discussion Paper No. 2007/55
Number of pages: 26 Posted: 06 Sep 2007
Université catholique de Louvain, University of Haifa - Department of Economics and HEC Montreal
Downloads 270 (110,921)
Citation 4

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GARCH, Markov-switching, Bayesian inference

Theory and Inference for a Markov Switching GARCH Model

Econometrics Journal, Vol. 13, Issue 2, pp. 218-244, July 2010
Number of pages: 27 Posted: 10 May 2010
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 3 (650,106)
Citation 17
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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 254 (118,800)
Citation 11

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

13.

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 224 (134,705)
Citation 4

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

14.

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
Université catholique de Louvain, Eberhard Karls Universitaet Tübingen, Vlerick Business School and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 209 (143,925)
Citation 26

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

15.

Intra-Daily FX Optimal Portfolio Allocation

CORE Discussion Paper No. 2006/10
Number of pages: 28 Posted: 10 Jul 2006
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 206 (145,801)

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

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 173 (171,056)
Citation 5

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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 139 (205,437)
Citation 20

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auctions, pre-sale price estimate, unbiasedness

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 124 (225,616)
Citation 5

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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.

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 123 (226,020)
Citation 5

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Exchange Rate Volatility, General to Specific, Forecasting

20.

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 114 (239,089)
Citation 16

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

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 113 (240,601)
Citation 9

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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
Université catholique de Louvain, University of Konstanz and Universität Sankt Gallen
Downloads 102 (258,455)
Citation 6

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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.

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 85 (290,592)

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Disequilibrium models, Bayesian inference, Gibbs sampler, credit rationing

24.

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 84 (292,686)
Citation 6

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

25.

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 83 (294,813)
Citation 9

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stochastic conditional duration, importance sampling

26.

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 82 (297,016)
Citation 1

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

27.

The Contribution of Structural Break Models to Forecasting Macroeconomic Series

Number of pages: 35 Posted: 21 Aug 2011 Last Revised: 10 May 2017
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 76 (310,647)
Citation 11

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Forecasting, change-points, Markov switching, Bayesian inference

28.

Multivariate Mixed Normal Conditional Heteroskedasticity

CORE Discussion Paper No. 2006/12
Number of pages: 23 Posted: 15 Jul 2006
Université catholique de Louvain, Catholic University of Louvain (UCL) - School of Statistics and HEC Montreal
Downloads 75 (313,020)
Citation 14

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Multivariate volatility, Finite mixture, EM algorithm, Bayesian inference

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 50 (390,145)
Citation 2

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

Bayesian Inference for the Mixed Conditional Heteroskedasticity Model

Econometrics Journal, Vol. 10, No. 2, pp. 408-425, July 2007
Number of pages: 18 Posted: 27 Jun 2007
Luc Bauwens and J. V. K. Rombouts
Université catholique de Louvain and HEC Montreal
Downloads 25 (501,835)
Citation 5
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30.

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

CIRANO - Scientific Publications No. 2011s-13
Posted: 27 Jan 2011
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 65 (338,394)
Citation 1

Abstract:

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Forecasting, change-points, Markov switching, Bayesian inference

31.

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
National Tsing Hua University - College of Technology Management, Université catholique de Louvain and University of Southern California - Department of Economics
Downloads 46 (397,233)
Citation 1

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forecasting, long memory process, structural break, HAR model

32.

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
University of Montreal - Department of Mathematics and Statistics, Université Laval and Université catholique de Louvain
Downloads 30 (461,585)

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Volatility, Markov-switching, Persistence, Leverage effect

33.

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 30 (461,585)
Citation 4

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

34.

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, Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and University of Salerno - Department of Economics
Downloads 24 (492,575)
Citation 4

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

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, Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and University of Salerno - Department of Economics
Downloads 22 (503,818)
Citation 6

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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 HEC - University of Lausanne
Downloads 21 (509,558)
Citation 9

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

37.

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 17 (532,650)
Citation 2

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

38.

Autoregressive Moving Average Infinite Hidden Markov-Switching Models

Number of pages: 47 Posted: 09 May 2017 Last Revised: 11 May 2017
Université catholique de Louvain, Universite du Luxembourg and Université catholique de Louvain, CORE
Downloads 16 (538,334)
Citation 5

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ARMA, Bayesian inference, Dirichlet process, Forecasting

39.

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 8 (586,965)

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Dynamic conditional correlations, Markov switching, Minimum variance portfolio, Model confidence set, 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 7 (593,256)
Citation 2

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

41.

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

Number of pages: 17 Posted: 11 May 2017
Université catholique de Louvain, Universite du Luxembourg and Université catholique de Louvain, CORE
Downloads 6 (599,746)

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42.

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 HEC - University of Lausanne
Downloads 5 (606,323)
Citation 1

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

43.

The Resistible Decline of European Science

CEPR Discussion Paper No. DP6625
Number of pages: 27 Posted: 05 Jun 2008
Université catholique de Louvain, University of Sussex - Department of Economics and Catholic University of Louvain (UCL)
Downloads 5 (606,323)
Citation 3
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Citations, knowledge economics, research performance, university governance

44.

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

45.

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

Journal of Econometrics, Vol. 123, No. 3, pp. 201-225
Posted: 14 Apr 2005
Université catholique de Louvain, VU University Amsterdam, Tinbergen Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

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Markov chain Monte Carlo, importance sampling, radial coordinates

46.

Bayesian Option Pricing Using Asymmetric GARCH Models

Journal of Empirical Finance, Vol. 9, No. 3, pp. 321-342
Posted: 14 Apr 2005
Luc Bauwens and Michel Lubrano
Université catholique de Louvain and Ecole des Hautes Etudes en Sciences Sociales (EHESS)

Abstract:

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Bayesian inference, GARCH, Option pricing, simulation

47.

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
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)

Abstract:

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Ranking economics departments, journal ranking

Bayesian Inference on GARCH Models Using the Gibbs Sampler

The Econometrics Journal, Vol. 1, Issue 1, pp. 23-46, 1998
Number of pages: 24 Posted: 24 Sep 2014
Luc Bauwens and Michel Lubrano
Université catholique de Louvain and Ecole des Hautes Etudes en Sciences Sociales (EHESS)
Downloads 0
Citation 20
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Bayesian inference, GARCH, Gibbs sampler, Monte Carlo, Option pricing

Bayesian Inference on GARCH Models Using the Gibbs Sampler

The Econometrics Journal, Vol. 1, 1998
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: 5
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
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 5

Abstract:

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