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 2,283 (8,079)
Citation 117

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Volatility, Multivariate GARCH models, Financial econometrics

2.

Modelling Financial High Frequency Data Using Point Processes

Downloads 876 ( 34,738)
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 488 (73,887)
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 388 (96,975)
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 654 (51,614)
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 496 (73,160)
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 429 (87,026)
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 379 (100,421)
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 379 (99,592)
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 361 (106,057)
Citation 18

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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

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 (120,763)

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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 318 (122,009)
Citation 13

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Duration, Hazard function, Market microstructure, Latent variable model

10.

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 311 (124,903)
Citation 6

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GARCH, Markov-switching, Bayesian inference

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 305 (127,527)
Citation 1

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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 269 (145,428)
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 235 (166,133)
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 231 (168,844)

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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, Eberhard Karls Universität Tübingen, Vlerick Business School and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 215 (180,752)
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 178 (214,395)
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 157 (238,558)
Citation 1

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auctions, pre-sale price estimate, unbiasedness

18.

Exchange Rate Volatility and the Mixture of Distribution Hypothesis

Downloads 142 (258,801)

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 142 (259,615)
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)

Abstract:

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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 129 (278,663)
Citation 4

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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 127 (281,963)
Citation 15

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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 116 (301,036)
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 (302,889)
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.

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 90 (356,258)

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Disequilibrium models, Bayesian inference, Gibbs sampler, credit rationing

24.

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 89 (358,776)
Citation 12

Abstract:

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Forecasting, change-points, Markov switching, Bayesian inference

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 (363,867)
Citation 1

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

26.

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 (366,502)
Citation 2

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

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 (369,172)
Citation 2

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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
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 (388,246)
Citation 6

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Multivariate volatility, Finite mixture, EM algorithm, Bayesian inference

29.

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 76 (394,035)
Citation 3

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Forecasting, change-points, Markov switching, 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, Cindy S.H. Wang, Luc Bauwens and Cheng Hsiao
Catholic University of Louvain (UCL)National Tsing Hua University - College of Technology Management, Université catholique de Louvain and University of Southern California - Department of Economics
Downloads 58 (453,515)
Citation 2

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forecasting, long memory process, structural break, HAR model

31.

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 (468,552)
Citation 1

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

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
Maciej Augustyniak, Arnaud Dufays and Luc Bauwens
University of Montreal - Department of Mathematics and Statistics, CeReFiM. Université de Namur. and Université catholique de Louvain
Downloads 51 (480,631)

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Volatility, Markov-switching, Persistence, Leverage effect

33.

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 47 (497,532)
Citation 3

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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 41 (524,703)

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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 University of Salerno - Department of Economics
Downloads 36 (549,638)
Citation 3

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

36.

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 29 (588,506)
Citation 2

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

37.

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 27 (600,893)
Citation 2

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

38.

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 27 (600,893)
Citation 6

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

39.

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 27 (600,893)
Citation 7

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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 (708,763)
Citation 2

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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 (724,453)

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

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 Universite du Luxembourg - Luxembourg School of Finance
Downloads 9 (732,439)
Citation 1

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

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 (740,370)

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44.

The Resistible Decline of European Science

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 (763,998)
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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