Luc Bauwens

Université catholique de Louvain

CORE

34 Voie du Roman Pays

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

Belgium

SCHOLARLY PAPERS

49

DOWNLOADS
Rank 4,821

SSRN RANKINGS

Top 4,821

in Total Papers Downloads

9,395

SSRN CITATIONS
Rank 2,372

SSRN RANKINGS

Top 2,372

in Total Papers Citations

198

CROSSREF CITATIONS

323

Scholarly Papers (49)

1.

Multivariate GARCH Models: A Survey

CORE Discussion Paper No. 2003/31
Number of pages: 39 Posted: 06 Aug 2003
Université catholique de Louvain, AMSE and HEC Montreal
Downloads 2,259 (6,836)
Citation 84

Abstract:

Loading...

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 478 (65,475)
Citation 4

Abstract:

Loading...

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 382 (85,615)
Citation 15

Abstract:

Loading...

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 600 (49,698)
Citation 22

Abstract:

Loading...

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 481 (65,624)
Citation 2

Abstract:

Loading...

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 424 (76,477)
Citation 2

Abstract:

Loading...

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 378 (86,675)
Citation 9

Abstract:

Loading...

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)

Abstract:

Loading...

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 343 (97,731)
Citation 16

Abstract:

Loading...

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

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 321 (105,265)

Abstract:

Loading...

Duration and transition model, High frequency data, Market microstructure

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 305 (110,575)
Citation 6

Abstract:

Loading...

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 (729,783)
Citation 4
  • Add to Cart

Abstract:

Loading...

10.

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 308 (110,026)
Citation 13

Abstract:

Loading...

Duration, Hazard function, Market microstructure, Latent variable model

11.

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 295 (115,305)
Citation 1

Abstract:

Loading...

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

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 262 (130,596)
Citation 14

Abstract:

Loading...

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 228 (149,839)

Abstract:

Loading...

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

14.

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 214 (158,989)

Abstract:

Loading...

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

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
Université catholique de Louvain, Eberhard Karls Universität Tübingen, Vlerick Business School and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 213 (159,689)
Citation 8

Abstract:

Loading...

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 176 (190,116)
Citation 4

Abstract:

Loading...

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 149 (218,954)
Citation 1

Abstract:

Loading...

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 130 (244,835)
Citation 4

Abstract:

Loading...

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)

Abstract:

Loading...

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 127 (248,369)
Citation 3

Abstract:

Loading...

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 119 (260,880)
Citation 10

Abstract:

Loading...

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 115 (267,319)
Citation 4

Abstract:

Loading...

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 112 (272,411)
Citation 1

Abstract:

Loading...

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 88 (319,499)

Abstract:

Loading...

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 86 (324,080)
Citation 2

Abstract:

Loading...

Latent variables, 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 85 (326,434)
Citation 1

Abstract:

Loading...

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

26.

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 85 (326,434)
Citation 11

Abstract:

Loading...

Forecasting, change-points, Markov switching, Bayesian inference

27.

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 85 (326,434)
Citation 2

Abstract:

Loading...

stochastic conditional duration, importance sampling

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 78 (343,596)
Citation 6

Abstract:

Loading...

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 53 (425,940)
Citation 1

Abstract:

Loading...

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 (562,388)
  • Add to Cart

Abstract:

Loading...

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 71 (362,244)
Citation 2

Abstract:

Loading...

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 51 (426,209)
Citation 2

Abstract:

Loading...

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, CeReFiM. Université de Namur. and Université catholique de Louvain
Downloads 44 (453,242)

Abstract:

Loading...

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 35 (492,514)

Abstract:

Loading...

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

34.

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 University of Salerno - Department of Economics
Downloads 31 (512,213)
Citation 2

Abstract:

Loading...

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

35.

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 University of Salerno - Department of Economics
Downloads 27 (534,103)
Citation 2

Abstract:

Loading...

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

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 25 (546,051)
Citation 2

Abstract:

Loading...

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 22 (564,852)
Citation 5

Abstract:

Loading...

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

38.

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 University of Salerno - Department of Economics
Downloads 20 (577,750)
Citation 2

Abstract:

Loading...

39.

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 20 (577,750)
Citation 4

Abstract:

Loading...

ARMA, Bayesian inference, Dirichlet process, 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 12 (631,908)
Citation 1

Abstract:

Loading...

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

41.

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 (646,062)

Abstract:

Loading...

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

42.

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 8 (660,565)

Abstract:

Loading...

43.

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 7 (667,763)
Citation 1

Abstract:

Loading...

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

44.

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 (682,597)
  • Add to Cart

Abstract:

Loading...

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:

Loading...

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
Université catholique de Louvain, VU University Amsterdam, Tinbergen Institute and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Abstract:

Loading...

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)

Abstract:

Loading...

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
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:

Loading...

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
  • Add to Cart

Abstract:

Loading...

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

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)

Abstract:

Loading...

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

Other Papers (1)

Total Downloads: 7
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 7

Abstract:

Loading...

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