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Modelling financial high frequency data using point processes
Bauwens, Luc (contributor); Hautsch, Nikolaus (contributor) - 2007
fundamental statistical concepts of point process theory, we review duration-based and intensity-based models of financial point …
Persistent link: https://www.econbiz.de/10003635084
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General to specific modelling of exchange rate volatility : a forecast evaluation
Bauwens, Luc (contributor); Sucarrat, Genaro (contributor) - 2008
Persistent link: https://www.econbiz.de/10003774414
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Regime switching GARCH models
Bauwens, Luc (contributor); Preminger, Arie (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003326701
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General to specific modelling of exchange rate volatility : a forecast evaluation
Bauwens, Luc (contributor); Sucarrat, Genaro (contributor) - 2006
Persistent link: https://www.econbiz.de/10003328223
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Modelling financial high frequency data using point processes
Bauwens, Luc (contributor); Hautsch, Nikolaus (contributor) - 2006
Persistent link: https://www.econbiz.de/10003375931
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Regime switching GARCH models
Bauwens, Luc (contributor); Preminger, Arie (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003396156
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On marginal likelihood computation in change-point models
Bauwens, Luc; Rombouts, Jeroen V. K. - 2009
Persistent link: https://www.econbiz.de/10003965962
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - 2011
Persistent link: https://www.econbiz.de/10009382620
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - 2011
Persistent link: https://www.econbiz.de/10009504878
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Forecasting long memory processes subject to structural breaks
Wang, Shin-huei; Bauwens, Luc; Hsiao, Cheng - 2012
Persistent link: https://www.econbiz.de/10009731091