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Identification of structural multivariate GARCH models
Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone - 2018
Persistent link: https://www.econbiz.de/10011993276
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A dynamic component model for forecasting high-dimensional realized covariance matrices
Bauwens, Luc; Braione, Manuela; Storti, Giuseppe - 2016
Persistent link: https://www.econbiz.de/10011581858
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A new approach to volatility modeling : the high-dimensional Markov Model
Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud - 2016
Persistent link: https://www.econbiz.de/10011894434
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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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Volatility models
Bauwens, Luc; Hafter, Christian; Laurent, Sébastien - 2011
Persistent link: https://www.econbiz.de/10009390311
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Modeling the dependence of conditional correlations on volatility
Bauwens, Luc; Otranto, Edoardo - 2013
Persistent link: https://www.econbiz.de/10010203488
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Estimation and empirical performance of non-scalar dynamic conditional correlation models
Bauwens, Luc; Grigoryeva, Lyudmila; Ortega, Juan-Pablo - 2014
Persistent link: https://www.econbiz.de/10010385192
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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
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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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Bayesian inference for the mixed conditional heteroskedasticity model
Bauwens, Luc (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003311396