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person:"Bauwens, Luc"
subject:"Statistical theory"
~subject:"ARCH model"
~subject:"Theorie"
~type_genre:"Working Paper"
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Bauwens, Luc
Härdle, Wolfgang
56
Pesaran, M. Hashem
35
Franses, Philip Hans
30
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26
Phillips, Peter C. B.
25
Maravall Herrero, Agustín
24
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24
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22
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18
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16
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16
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16
Diebold, Francis X.
15
Giles, David E. A.
15
Lucas, André
15
Sheather, Simon J.
15
Spokojnyj, Vladimir G.
15
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13
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12
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DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
2
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
3
The moments of Log-ACD models
Bauwens, Luc
;
Galli, Fausto
;
Giot, Pierre
-
2003
Persistent link: https://www.econbiz.de/10001790741
Saved in:
4
A new class of multivariate skew densities, with application to GARCH models
Bauwens, Luc
;
Laurent, Sébastien
-
2002
Persistent link: https://www.econbiz.de/10001672395
Saved in:
5
Asymmetric ACD models : introducing price information in ACD models with a two state transition model
Bauwens, Luc
-
1998
Persistent link: https://www.econbiz.de/10000994354
Saved in:
6
A Gibbs sampling approach to cointegration
Bauwens, Luc
-
1997
Persistent link: https://www.econbiz.de/10000962645
Saved in:
7
The logarithmic ACD model : an application to market microstructure and NASDAQ
Bauwens, Luc
;
Giot, Pierre
-
1997
Persistent link: https://www.econbiz.de/10000980123
Saved in:
8
Bayesian inference on GARCH models using the Gips sampler
Bauwens, Luc
-
1996
Persistent link: https://www.econbiz.de/10000948275
Saved in:
9
On the weak consistency of the quasi-maximum likelihood estimator in VAR models with BEKK-GARCH (1,q) errors
Bauwens, Luc
;
Vandeuren, Jean-Pierre
-
1995
Persistent link: https://www.econbiz.de/10000918211
Saved in:
10
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods
Zellner, Arnold
;
Bauwens, Luc
;
Dijk, Herman K. van
-
1987
Persistent link: https://www.econbiz.de/10000747362
Saved in:
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