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Theory and inference for a Markov switching Garch model

BAUWENS, Luc; PREMINGER, Arie; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010675034

General-to-specific modelling of exchange rate volatility: a forecast evaluation

BAUWENS, Luc; SUCARRAT, Genaro - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010675036

The moments of Log-ACD models

BAUWENS, Luc; GALLi, Fausto; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010675073

Bayesian inference for the mixed conditional heteroskedasticity model

BAUWENS, Luc; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010675096

Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange

BAUWENS, Luc - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010675372

Efficient importance sampling for ML estimation of SCD models

BAUWENS, Luc; GALLI, Fausto - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010675375

Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market

BAUWENS, Luc; LUBRANO, Michel - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010675423

Multivariate mixed normal conditional heteroskedasticity

BAUWENS, Luc; HAFNER, Christian M.; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010675440

Multivariate GARCH models: a survey

BAUWENS, Luc; LAURENT, Sébastien; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010675470

Dynamic conditional correlation models for realized covariance matrices

BAUWENS, Luc; STORTI, Giuseppe; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), … - 2012

New dynamic models for realized covariance matrices are proposed. The expected value of the realized covariance matrix is specified in two steps: one for each realized variance, and one for the realized correlation matrix. The realized correlation model is a scalar dynamic conditional...

Persistent link: https://www.econbiz.de/10010662648