General to specific modelling of exchange rate volatility : a forecast evaluation (2008)
Bauwens, Luc, Sucarrat, Genaro
The general-to-specific (GETS) methodology is widely employed in the modelling of economic series, but less so in financial volatility modelling due to computational complexity when many explanatory...
Modelling Financial High Frequency Data Using Point Processes (2007)
Bauwens, Luc, Hautsch, Nikolaus
In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of...
Modelling Financial High Frequency Data Using Point Processes (2007)
Bauwens, Luc, Hautsch, Nikolaus
In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of...
Theory and Inference for a Markov-Switching GARCH Model (2007)
Bauwens, Luc, Preminger, Arie, Rombouts, Jeroen V.K.
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We...
The Econometrics of Industrial Organization (2007)
Escribano Sáez, Álvaro [alvaroe], Bauwens, Luc, Lubrano, Michel
Publicado
Leus, Kristin, Macdonald, Alastair A, Goodall, Gordon P, Mitchell, Steven, Hartley, A, Bauwens, Luc
The stomach of the babirusa differs from that of other pigs: it is larger and possesses a large diverticulum ventriculi, the gastric glands are confined to a small section at the end od the corpus...
OCCURRENCE OF LISTERIA SPP. IN CAPTIVE ANTELOPE HERDS AND THEIR ENVIRONMENT (2001)
Luc Bauwens, Francis Vercammen, Walter De Meurichy
Two juvenile scimitar-horned oryx (Oryx dammah) at the Wild Animal Park Planckendael died from acute septicemia caused by Listeria monocytogenes serovar 4b. Subsequently, Listeria spp. were isolated...
Estimating end-use demand: A Bayesian approach (1992)
Bauwens, Luc, Fiebig, Denzil G., Steel, Mark F.J.
Eliminating negative end-use or appliance consumption estimates and incorporating direct metering information into the process of generating these estimates; these are two important aspects, of...
Ramjet combustor instabilities : an analytical and numerical model / (1989)
Thesis (Ph. D in Engineering)--University of California, Berkeley, May 1989.
Ranking Economics Departments in Europe: A Statistical Approach
Michel Lubrano, Luc Bauwens, Alan Kirman, Camelia Protopopescu
We provide a ranking of economics departments in Europe and we discuss the methods used to obtain it. TheJEL CD-ROM serves as a database for a period covering ten years. Journals are ranked using a...
A component GARCH model with time varying weights
The empirical evidence from financial markets suggests that the pattern of response of market volatility to shocks is highly dependent on the magnitude of shocks themselves. Markov-Switching GARCH...
Theory and Inference for a Markov-Switching GARCH Model
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We...
BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS
We consider the estimation of a large number of GARCH models, say of the order of several hundreds. Especially in the multivariate case, the number of parameters is extremely large. To reduce this...
A New Class of Multivariate skew Densities, with Application to GARCH Models
Luc Bauwens, Sébastien Laurent
Multivariate skewness, Multivariate Student density, Multivariate GARCH models.
polar transformation, importance sampling, markov chain monte carlo, mixture distributions
ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK
K. Van Dijk, Luc Bauwens, Charles Bos
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a...
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying...
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a...
Intra-industry Specialisation in a Multi-country and Multi-industry Framework.
This paper tests alternative hypotheses as to the factors determining the extent of intraindustry trade. The explanatory power of the regressions for the entire group of countries exporting...
Bayesian inference on GARCH models using the Gibbs sampler
This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analyti-cal knowledge of the full conditional...
A comparison of financial duration models via density forecasts
Bauwens, Luc, Giot, Pierre, Grammig, Joachim, Veredas, David
Modelling Financial High Frequency Data Using Point Processes
In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of...
Theory and inference for a Markov switching Garch model.
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We...
Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange
We analyze statistically inter-trade durations of four stocks listed on the Tokyo Stock Exchange in 2003. We find that these data display the usual stylized facts (intra-daily seasonality,...
The Resistible Decline of European Science
Bauwens, Luc, Mion, Giordano, Thisse, Jacques-François
Using a data set of highly cited researchers in all fields of science, we show that the gap in scientific performance between Europe, especially continental Europe, and the USA is large. We model the...
A Comparison of Financial Duration Models via Density Forecasts
Luc Bauwens, Pierre Giot, Joachim Grammig, David Veredas
Using density forecasts, we compare the predictive performance of duration models that have been developed for modelling intra-day data on stock markets. The compared models are the autoregressive...
Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
Bauwens, Luc, Bos, Charles S., Van Dijk, Herman K., Van Oest, Rutger D.
Estimating End-Use Demand: A Bayesian Approach.
Bauwens, Luc, Fiebig, Denzil G, Steel, Mark F J
Eliminating negative end-use or appliance-consumption estimates and incorporating direct-metering information into the process of generating these estimates--these are two important aspects of...
Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces
Adaptive Polar Sampling is proposed as an algorithm where random drawings are directly generated from the target function (posterior) in all-but-one directions of the parameter space. The method is...
Multivariate GARCH models: a survey
Sébastien Laurent, Luc Bauwens
This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research....
Bayesian inference for the mixed conditional heteroskedasticity model
We estimate by Bayesian inference the mixed conditional heteroskedasticity model of (Haas, Mittnik, and Paolella 2004a). We construct a Gibbs sampler algorithm to compute posterior and predictive...
Stochastic Conditional Intensity Processes
In this article, we introduce the so-called stochastic conditional intensity (SCI) model by extending Russell's (1999) autoregressive conditional intensity (ACI) model by a latent common dynamic...
General to specific modelling of exchange rate volatility : a forecast evaluation
The general-to-specific (GETS) methodology is widely employed in the modelling of economic series, but less so in financial volatility modelling due to computational complexity when many explanatory...
Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
We propose a Bayesian approach for inference in a dynamic disequilibrium model. To circumvent the difficulties raised by the Maddala and Nelson (1974) specification in the dynamic case, we analyze a...
Asymmetric ACD models: Introducing price information in ACD models
This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process...
Exchange rate volatility and the mixture of distribution hypothesis
Luc Bauwens, Dagfinn Rime, Genaro Sucarrat
Exchange rate volatility, Mixture of distribution hypothesis, F31,
A component GARCH model with time varying weights
BAUWENS, Luc, STORTI, Giuseppe
We present a novel GARCH model that accounts for time varying, state dependent, persistence in the volatility dynamics. The proposed model generalizes the component GARCH model of Ding and Granger...
Efficient importance sampling for ML estimation of SCD models
The evaluation of the likelihood function of the stochastic conditional duration model requires to compute an integral that has the dimension of the sample size. We apply the efficient importance...
Theory and inference for a Markov switching GARCH model
BAUWENS, Luc, PREMINGER, Arie, ROMBOUTS, Jeroen V.K.
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We...
The resistible decline of European science
BAUWENS, Luc, MION, Giordano, THISSE, Jacques-Franois
Using a data set of highly cited researchers in all fields of science, we show that the gapin scientific performance between Europe, especially continental Europe, and the USAis large. We model the...
Intra-daily FX optimal portfolio allocation
BAUWENS, Luc, BEN OMRANE, Walid, RENGIFO, Erick
We design and implement optimal foreign exchange portfolio allocations. An optimal allocation maximizes the expected return sub ject to a Value-at-Risk (VaR) constraint. Based on intradaily data, the...
BAUWENS, Luc, PREMINGER, Arie, ROMBOUTS, Jeroen
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying...
Multivariate mixed normal conditional heteroskedasticity
BAUWENS, Luc, HAFNER, Christian, ROMBOUTS, Jeroen
We propose a new multivariate volatility model where the conditional distribution of a vector time series is given by a mixture of multivariate normal distributions. Each of these distributions is...
General to specific modelling of exchange rate volatility: a forecast evaluation
BAUWENS, Luc, SUCARRAT, Genaro
The general-to-speciÞc (GETS) approach to modelling is widely employed in the modelling of economic series, but less so in Þnancial volatility modelling due to computational complexity when many...
Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market
We review Bayesian inference for dynamic latent variable models using the data augmentation principle. We detail the diffculties of simulating dynamic latent variables in a Gibbs sampler. We propose...
Modelling financial high frequency data using point processes
BAUWENS, Luc, HAUTSCH, Nikolaus
In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes...