Luc Bauwens

Available identifiers

zbMath Open bauwens.luc-c-aWikidataQ30070100 ScholiaQ30070100MaRDI QIDQ1068502

List of research outcomes

Publication	Date of Publication	Type
Modeling the Dependence of Conditional Correlations on Market Volatility	2025-01-20	Paper
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model	2024-11-08	Paper
Autoregressive Moving Average Infinite Hidden Markov-Switching Models	2024-10-09	Paper
We modeled long memory with just one lag!	2023-08-18	Paper
Bayesian inference on GARCH models using the Gibbs sampler	2023-07-07	Paper
Nonlinearities and regimes in conditional correlations with different dynamics	2020-06-18	Paper
Estimation and empirical performance of non-scalar dynamic conditional correlation models	2018-08-15	Paper
Marginal likelihood for Markov-switching and change-point GARCH models	2014-08-07	Paper
Forecasting a long memory process subject to structural breaks	2014-06-06	Paper
Intradaily dynamic portfolio selection	2014-04-14	Paper
The stochastic conditional duration model: a latent variable model for the analysis of financial durations	2014-03-07	Paper
On marginal likelihood computation in change-point models	2012-12-30	Paper
Handbook of Volatility Models and Their Applications	2012-04-19	Paper
Theory and inference for a Markov switching GARCH model	2011-05-31	Paper
A Component GARCH Model with Time Varying Weights	2010-07-02	Paper
Modelling Financial High Frequency Data Using Point Processes	2009-11-27	Paper
Multivariate mixed normal conditional heteroskedasticity	2009-05-29	Paper
Bayesian inference for the mixed conditional heteroskedasticity model	2007-11-21	Paper
Bayesian Clustering of Many Garch Models	2007-06-20	Paper
Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market	2007-06-20	Paper
Econometric modelling of stock market intraday activity.	2005-11-17	Paper
Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods	2004-11-18	Paper
https://portal.mardi4nfdi.de/entity/Q2760416	2002-01-01	Paper
A Gibbs sampling approach to cointegration	1999-09-14	Paper
https://portal.mardi4nfdi.de/entity/Q3972465	1992-06-25	Paper
A 1-1 poly-t random variable generator with application to Monte Carlo integration	1985-01-01	Paper
Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo	1984-01-01	Paper

Research outcomes over time

This page was built for person: Luc Bauwens