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The logarithmic ACD model : an application to market microstructure and NASDAQ
Bauwens, Luc; Giot, Pierre - 1997
Persistent link: https://www.econbiz.de/10000980123
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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
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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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The stochastic conditional duration model : a latent factor model for the analysis of financial durations
Bauwens, Luc; Veredas, David - 1999
Persistent link: https://www.econbiz.de/10001430783
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
Persistent link: https://www.econbiz.de/10001430824
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Dynamic latent factor models for intensity processes
Bauwens, Luc; Hautsch, Nikolaus - 2003
Persistent link: https://www.econbiz.de/10001946172
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Multivariate GARCH models : a survey
Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V. K. - 2003
Persistent link: https://www.econbiz.de/10001791482
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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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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