Multivariate GARCH models: a survey
Bauwens, Luc, Laurent, Sébastien, Rombouts, Jeroen V. K.
Published in Journal of applied econometrics (Chichester, England) (01.01.2006)
Published in Journal of applied econometrics (Chichester, England) (01.01.2006)
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Journal Article
Theory and inference for a Markov switching GARCH model
Bauwens, Luc, Preminger, Arie, Rombouts, Jeroen V. K.
Published in The econometrics journal (01.01.2010)
Published in The econometrics journal (01.01.2010)
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Journal Article
News announcements, market activity and volatility in the euro/dollar foreign exchange market
Bauwens, Luc, Ben Omrane, Walid, Giot, Pierre
Published in Journal of international money and finance (01.11.2005)
Published in Journal of international money and finance (01.11.2005)
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Journal Article
Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices
Luc Bauwens, Manuela Braione, Giuseppe Storti
Published in Annals of economics and statistics (01.12.2016)
Published in Annals of economics and statistics (01.12.2016)
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Journal Article
Achievements of the EC network of excellence HySafe
Thomas, Jordan, Paul, Adams, Inaki, Azkarate, Daniele, Baraldi, Herve, Barthelemy, Luc, Bauwens, Alain, Bengaouer, Sile, Brennan, Marco, Carcassi, Arief, Dahoe, Norbert, Eisenreich, Angunn, Engebo, Espen, Funnemark, Eduardo, Gallego, Andrey, Gavrikov, Erling, Haland, Marit, Hansen Anne, Petra, Haugom Gerd, Stuart, Hawksworth, Olaf, Jedicke, Armin, Kessler, Alexei, Kotchourko, Suresh, Kumar, Gesa, Langer, Stefan, Ledin, Alexander, Lelyakin, Dmitriy, Makarov, Alessia, Marangon, Frank, Markert, Prankul, Middha, Vladimir, Molkov, Sandra, Nilsen, Efthymia, Papanikolaou, Lionel, Perrette, Ernst-Arendt, Reinecke, Ulrich, Schmidtchen, Pierre, Serre-Combe, Michael, Stöcklin, Aurelie, Sully, Andrzej, Teodorczyk, Delphine, Tigreat, Alexander, Venetsanos, Karl, Verfondern, Nico, Versloot, Ana, Vetere, Manfred, Wilms, Nikolay, Zaretskiy
Published in International journal of hydrogen energy (01.02.2011)
Published in International journal of hydrogen energy (01.02.2011)
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Journal Article
Conference Proceeding
We modeled long memory with just one lag
Bauwens, Luc, Chevillon, Guillaume, Laurent, Sébastien
Published in Journal of econometrics (01.09.2023)
Published in Journal of econometrics (01.09.2023)
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Journal Article
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
Augustyniak, Maciej, Bauwens, Luc, Dufays, Arnaud
Published in Journal of business & economic statistics (02.10.2019)
Published in Journal of business & economic statistics (02.10.2019)
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Journal Article
A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
Bauwens, Luc, De Backer, Bruno, Dufays, Arnaud
Published in Journal of empirical finance (01.12.2014)
Published in Journal of empirical finance (01.12.2014)
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Journal Article
MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
Bauwens, Luc, Hafner, Christian M., Pierret, Diane
Published in Journal of applied econometrics (Chichester, England) (01.08.2013)
Published in Journal of applied econometrics (Chichester, England) (01.08.2013)
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Journal Article
A dynamic component model for forecasting high-dimensional realized covariance matrices
Bauwens, Luc, Braione, Manuela, Storti, Giuseppe
Published in Econometrics and statistics (01.01.2017)
Published in Econometrics and statistics (01.01.2017)
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Journal Article