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~person:"Bauwens, Luc"
~subject:"Volatility"
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Volatility
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Bauwens, Luc
Bollerslev, Tim
75
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60
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54
Andersen, Torben
45
Koopman, Siem Jan
41
Lux, Thomas
39
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38
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33
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32
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32
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31
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30
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27
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26
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24
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24
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23
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22
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Lucas, André
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Meddahi, Nour
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Yu, Jun
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21
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21
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21
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21
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20
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20
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19
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19
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19
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19
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19
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19
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19
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ECONIS (ZBW)
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1
Forecasting comparison of long term component dynamic models for realized covariance matrices
Bauwens, Luc
;
Braione, Manuela
;
Storti, Giuseppe
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 103-134
Persistent link: https://www.econbiz.de/10011592738
Saved in:
2
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
Saved in:
3
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
Saved in:
4
Multivariate GARCH models : a survey
Bauwens, Luc
;
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
-
2003
Persistent link: https://www.econbiz.de/10001791482
Saved in:
5
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
Saved in:
6
Volatility models
Bauwens, Luc
;
Hafter, Christian
;
Laurent, Sébastien
-
2011
Persistent link: https://www.econbiz.de/10009390311
Saved in:
7
Modeling the dependence of conditional correlations on volatility
Bauwens, Luc
;
Otranto, Edoardo
-
2013
Persistent link: https://www.econbiz.de/10010203488
Saved in:
8
General-to-specific modelling of exchange rate volatility : a forecast evaluation
Bauwens, Luc
;
Sucarrat, Genaro
- In:
International journal of forecasting
26
(
2010
)
4
,
pp. 885-907
Persistent link: https://www.econbiz.de/10008807690
Saved in:
9
Handbook of volatility models and their applications
Bauwens, Luc
(
ed.
);
Hafner, Christian M.
(
contributor
); …
-
2012
balanced treatment between
theory
and practice, as well as to showcase how accuracy and efficiency in implementing various …
Persistent link: https://www.econbiz.de/10009410416
Saved in:
10
General to specific modelling of exchange rate volatility : a forecast evaluation
Bauwens, Luc
(
contributor
);
Sucarrat, Genaro
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003362339
Saved in:
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