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M. Luc Bauwens

SSH/ESPO - Faculté des sciences économiques, sociales, politiques et de communication

Adresse courrier
  CORE - Voie du Roman Pays 34 bte L1.03.01 à 1348 Louvain-la-Neuve
Email
 
ECON
  Téléphone : 010 47 43 36
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  Mobile : 0486 46 83 30
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IMAQ
  Téléphone : 010 47 43 36
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ECON




Diplômes

année

intitulé

établissement

1975Licencié en sciences économiquesUniversité de Liège
1975Agrégation de l'enseignement secondaire supérieur en science économique appliquéUniversité de Liège
1976Maître en sciences économiquesUniversité catholique de Louvain
1979Diplome spécial en statistiqueUniversité catholique de Louvain
1983Docteur en sciences économiquesUniversité catholique de Louvain



Consulter http://perso.uclouvain.be/luc.bauwens/Bauwens.htm pour ma liste de publications.

Intérêts de recherche: Econométrie. Modélisation et prévision de séries temporelles: en particulier modèles de volatilité pour séries financières; modélisation de ruptures dans les séries temporelles. Inférence Bayesienne. Méthodes de simulation.

2016
Document de travail (Working Paper)
  • Bauwens, Luc ; Braione, Manuela ; STORTI, Giuseppe. A dynamic component model for forecasting high-dimensional realized covariance matrices (CORE DP; 2016/01), 2016. 26 p. http://hdl.handle.net/2078.1/171242

  • 2015
    Article de périodique (Journal article)
  • Bauwens, Luc ; Koop, Gary ; Korobilis, Dimitris ; Rombouts, Jeroen V.K.. The Contribution of Structural Break Models to Forecasting Macroeconomic Series. In: Journal of Applied Econometrics, Vol. 30, no.4, p. 596-620 (2015). doi:10.1002/jae.2387. http://hdl.handle.net/2078.1/162482

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Carpantier, Jean-Francois ; Dufays, Arnaud. Autoregressive Moving Average Infinite Hidden Markov-Switching Models (CORE DISCUSSION PAPER; 2015/07), 2015. 42 p. http://hdl.handle.net/2078.1/157068

  • 2014
    Article de périodique (Journal article)
  • Bauwens, Luc ; De Backer, Bruno ; Dufays, Arnaud. A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models. In: Journal of Empirical Finance, Vol. 29, p. 207-229 (2014). doi:10.1016/j.jempfin.2014.06.008. http://hdl.handle.net/2078.1/153254

  • Bauwens, Luc ; Dufays, Arnaud ; Rombouts, Jeroen. Marginal likelihood for Markov-switching and change-point GARCH models. In: Journal of Econometrics, Vol. 178, Part 3, p. 508-522 (2014). doi:10.1016/j.jeconom.2013.08.017. http://hdl.handle.net/2078.1/136057

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo. Estimation and empirical performance of non-scalar dynamic conditional correlation models (CORE Discussion Paper; 2014/12), 2014. http://hdl.handle.net/2078.1/143967

  • Bauwens, Luc ; Braione, Manuela ; Storti, Giuseppe. Forecasting comparison of long term component dynamic models for realized covariance matrices (CORE Disccusion Papers; 2014/53), 2014. 31 p. http://hdl.handle.net/2078.1/152566

  • 2013
    Article de périodique (Journal article)
  • Wang, Cindy Shin-Huei ; Bauwens, Luc ; Hsiao, Cheng. Forecasting a long memory process subject to structural breaks. In: Journal of Econometrics, Vol. 177, no.2, p. 171-184 (2013). doi:10.1016/j.jeconom.2013.04.006. http://hdl.handle.net/2078.1/142529

  • Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures, collab. Bauwens, Luc. In: Journal of Applied Econometrics, Vol. 28, no.5, p. 743-761 (2013). doi:10.1002/jae.2280. http://hdl.handle.net/2078.1/135148

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Storti, Giuseppe. Computationally efficient inference procedures for vast dimensional realized covariance models. In: M. Grigoletto et al., Complex Methods and Computational Methods in Statistics, 2013. doi:10.1007/978-88-470-2871-5_4. http://hdl.handle.net/2078.1/128515

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Otranto, Edoardo. Modeling the dependence of conditional correlations on volatility (CORE Discussion Paper; 2013/14), 2013. http://hdl.handle.net/2078.1/128437

  • 2012
    Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Hafner, Christian ; Laurent, Sébastien. Volatility Models. In: Bauwens, L., Hafner, C. and S. Laurent, Handbook of Volatility Models and Their Applications, John Wiley & Sons, Inc.: Hoboken, NJ, USA, 2012, p. 1-45. 978-0-470-87251-2. doi:10.1002/9781118272039.ch1. http://hdl.handle.net/2078.1/119729

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Storti, Giuseppe. Computationally efficient inference procedures for vast dimensional realized covariance models (CORE Discussion Paper; 2012/28), 2012. http://hdl.handle.net/2078.1/112951

  • Bauwens, Luc ; Storti, Giuseppe ; Violante, Francesco. Dynamic conditional correlation models for realized covariance matrices (CORE Discussion Paper; 2012/60), 2012. http://hdl.handle.net/2078.1/122203

  • Wang, Shin-Huei ; Bauwens, Luc ; Hsiao, Cheng. Forecasting long memory processes subject to structural breaks (CORE Discussion Paper; 2012/48), 2012. http://hdl.handle.net/2078/118389

  • Monographie (Book)
  • Handbook of Volatility Models and Their Applications, éd. Bauwens, Luc ; Hafner, Christian ; laurent, Sébastien, John Wiley & Sons, Inc., 2012. 9780470872512. 568 p. doi:10.1002/9781118272039. http://hdl.handle.net/2078.1/119799

  • 2011
    Article de périodique (Journal article)
  • Bauwens, Luc ; Mion, Giordano ; Thisse, Jacques-François. The resistible decline of European science. In: Recherches économiques de Louvain, Vol. 77, no. 4, p. 5-31 (2011). doi:10.3917/rel.774.0005. http://hdl.handle.net/2078.1/108767

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Koop, Gary ; Rombouts, Jeroen. A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models (CORE Discussion Paper; 2011/3), 2011. http://hdl.handle.net/2078.1/69207

  • Bauwens, Luc ; Korobilis, Dimitris. Bayesian methods (CORE Discussion Paper; 2011/61), 2011. http://hdl.handle.net/2078.1/104095

  • Bauwens, Luc ; Dufays, Arnaud ; de Backer, Bruno. Estimating and forecasting structural breaks in financial time series (CORE Discussion Paper; 2011/55), 2011. http://hdl.handle.net/2078.1/93464

  • Bauwens, Luc ; Dufays, Arnaud ; Rombouts, Jeroen. Marginal likelihood for Markov-switching and change-point GARCH models (CORE Discussion Paper; 2011/13), 2011. http://hdl.handle.net/2078.1/95704

  • Bauwens, Luc ; Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures (CORE Discussion Paper ISBA Discussion Paper; 2011/11 2011/13), 2011. 27 p. http://hdl.handle.net/2078.1/75253

  • Bauwens, Luc ; Hafner, Christian ; Laurent, Sébastien. Volatility models (CORE Discussion Paper; 2011/58), 2011. http://hdl.handle.net/2078.1/95747

  • 2010
    Article de périodique (Journal article)
  • Bauwens, Luc ; Sucarrat, Genaro. General-to-specific modelling of exchange rate volatility: a forecast evaluation. In: International Journal of Forecasting, Vol. 26, no. 4, p. 885-907 (Octobre 2010). doi:10.1016/j.ijforecast.2010.07.001. http://hdl.handle.net/2078.1/33454

  • Bauwens, Luc ; Ben Omrane, Walid ; Rengifo, Erick. Intradaily dynamic portfolio selection. In: Computational Statistics & Data Analysis, Vol. 54, no. 11, p. 2400-2418 (2010). doi:10.1016/j.csda.2009.05.027. http://hdl.handle.net/2078.1/34405

  • Bauwens, Luc ; Rombouts, Jeroen V.K.. On marginal likelihood computation in change-point models. In: Computational Statistics & Data Analysis, Vol. 56, no. 11, p. 3415-3429 (2012). doi:10.1016/j.csda.2010.06.025. http://hdl.handle.net/2078.1/112084

  • 2009
    Article de périodique (Journal article)
  • Bauwens, Luc ; Storti, Giuseppe. A component GARCH model with time varying weights. In: Studies in Nonlinear Dynamics & Econometrics, Vol. 13, no. 2, p. 1-31 (2009). doi:10.2202/1558-3708.1512. http://hdl.handle.net/2078.1/28904

  • Bauwens, Luc ; Galli, Fausto. Efficient importance sampling for ML estimation of SCD models. In: Computational Statistics & Data Analysis, Vol. 53, no. 6, p. 1974-1992 (Avril 2009). doi:10.1016/j.csda.2008.02.014. http://hdl.handle.net/2078.1/23146

  • Bauwens, Luc ; Preminger, Arie ; Rombouts, Jeroen. Theory and inference for a Markov switching GARCH model. In: The Econometrics Journal, Vol. 13, no. 2, p. 218-244 (2010). doi:10.1111/j.1368-423X.2009.00307.x. http://hdl.handle.net/2078.1/73492

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Hautsch, Nicolas. Modelling financial high frequency data using point processes. In: T.G. Andersen, R.A. Davis, J.-P. Kreiss, T. Mikosch, Handbook of financial time series, Springer-Verlag: Heidelberg, 2009, p. 953-979. http://hdl.handle.net/2078.1/74109

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Rombouts, Jeroen. On marginal likelihood computation in change-point models (CORE Discussion Papers; 2009/61), 2009. http://hdl.handle.net/2078.1/28520

  • 2008
    Article de périodique (Journal article)
  • Bauwens, Luc ; Galli, Fausto ; Giot, Pierre. The Moments of Log-ACD Models. In: Quantitative and Qualitative Analysis in Social Sciences, Vol. 2, no. 1, p. 1-28 (2008). http://hdl.handle.net/2078.1/23145

  • 2007
    Article de périodique (Journal article)
  • Bauwens, Luc ; Rombouts, Jeroen. Bayesian Clustering of Many Garch Models. In: Econometric Reviews, Vol. 26, no. 2-4, p. 365-386 (Mars 2007). doi:10.1080/07474930701220576. http://hdl.handle.net/2078.1/23133

  • Bauwens, Luc ; Lubrano, Michel. Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market. In: Econometric Reviews, Vol. 26, no. 2-4, p. 469 - 486 (Mars 2007). doi:10.1080/07474930701220634. http://hdl.handle.net/2078.1/23135

  • Bauwens, Luc ; Rombouts, Jeroen. Bayesian inference for the mixed conditional heteroskedasticity model. In: Econometrics Journal, Vol. 10, no. 2, p. 408-425 (Juillet 2007). doi:10.1111/j.1368-423X.2007.00213.x. http://hdl.handle.net/2078.1/23140

  • Bauwens, Luc ; Hafner, Christian ; Rombouts, Jeroen. Multivariate mixed normal conditional heteroskedasticity. In: Computational Statistics & Data Analysis, Vol. 51, no. 7, p. 3551-3566 (Avril 2007). doi:10.1016/j.csda.2006.10.012. http://hdl.handle.net/2078.1/23132

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Storti, Giuseppe. A component GARCH model with time varying weights (ECON Discussion Papers CORE Discussion Papers; 2007/12 2007/19), 2007. http://hdl.handle.net/2078.1/5101

  • Bauwens, Luc ; Galli, Fausto. Efficient importance sampling for ML estimation of SCD models (ECON Discussion Papers CORE Discussion Papers; 2007/32 2007/53), 2007. http://hdl.handle.net/2078.1/5066

  • Bauwens, Luc ; Mion, Giordano ; Thisse, Jacques-François. The resistible decline of European science (CORE Discussion Papers; 2007/92), 2007. 24 p. http://hdl.handle.net/2078.1/5901

  • Bauwens, Luc ; Preminger, Arie ; Rombouts, Jeroen. Theory and inference for a Markov switching GARCH model (ECON Discussion Papers CORE Discussion Papers; 2007/33 2007/55), 2007. http://hdl.handle.net/2078.1/5064

  • 2006
    Article de périodique (Journal article)
  • Bauwens, Luc ; Boswijk, H. Peter ; Urbain, Jean-Pierre. Causality and exogeneity in econometrics. In: Journal of Econometrics, Vol. 132, no. 2, p. 305-309 (2006). doi:10.1016/j.jeconom.2005.02.001. http://hdl.handle.net/2078.1/38074

  • Bauwens, Luc. Econometric analysis of intra-daily trading activity on the Tokyo stock exchange. In: Monetary and Economic Studies, Vol. 24, no. 1, p. 1-23 (2006). http://hdl.handle.net/2078.1/74013

  • Bauwens, Luc ; Rime, Dagfinn ; Sucarrat, Genaro. Exchange rate volatility and the mixture of distribution hypothesis. In: Empirical Economics : a quarterly journal of the Institute for Advanced Studies, Vienna, Vol. 30, no. 4, p. 889-911 (Janvier 2006). doi:10.1007/s00181-005-0005-x. http://hdl.handle.net/2078.1/23084

  • Bauwens, Luc ; Laurent, Sébastien ; Rombouts, Jeroen. Multivariate GARCH models: a survey. In: Journal of Applied Econometrics, Vol. 21, no. 1, p. 79-109 (Janvier 2006). doi:10.1002/jae.842. http://hdl.handle.net/2078.1/23131

  • Bauwens, Luc ; Pohlmeier, W. ; Veredas, David. Recent developments in high frequency financial econometrics - Editor's introduction. In: Empirical Economics : a quarterly journal of the Institute for Advanced Studies, Vienna, Vol. 30, no. 4, p. 791-794 (2006). doi:10.1007/s00181-005-0010-0. http://hdl.handle.net/2078.1/38763

  • Bauwens, Luc ; Hautsch, Nikolaus. Stochastic Conditional Intensity Processes. In: Journal of Financial Econometrics, Vol. 4, no. 3, p. 450-493 (2006). doi:10.1093/jjfinec/nbj013. http://hdl.handle.net/2078.1/23142

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Lubrano, Michel. Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market (ECON Discussion Papers CORE Discussion Papers; 2006/27 2006/50), 2006. http://hdl.handle.net/2078.1/4504

  • Bauwens, Luc ; Succarat, Genaro. General to specific modelling of exchange rate volatility : a forecast evaluation (ECON Working Papers CORE Discussion Papers; 2006/13 2006/21), 2006. http://hdl.handle.net/2078.1/5758

  • Bauwens, Luc ; Ben Omrane, Walid ; Rengifo, Erick. Intra-daily FX optimal portfolio allocation (ECON Discussion Papers CORE Discussion Papers; 2006/05 2006/10), 2006. http://hdl.handle.net/2078.1/4464

  • Bauwens, Luc ; Hautsch, Nikolaus. Modelling financial high frequency data using point processes. (ECON Working Papers CORE Discussion Papers; 2006/39 2006/80), 2006. http://hdl.handle.net/2078.1/5783

  • Bauwens, Luc ; Hafner, Christian ; Rombouts, Jeroen. Multivariate mixed normal conditional heteroskedasticity (ECON Discussion Papers CORE Discussion Papers; 2006/07 2006/12), 2006. http://hdl.handle.net/2078.1/4466

  • Bauwens, Luc ; Preminger, Arie ; Rombouts, Jeroen. Regime switching GARCH models (ECON Discussion Papers CORE Discussion Papers; 2006/06 2006/11), 2006. http://hdl.handle.net/2078.1/4465

  • 2005
    Article de périodique (Journal article)
  • Bauwens, Luc ; Laurent, Sébastien. A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models. In: Journal of Business and Economic Statistics, Vol. 23, no. 3, p. 346-354 (Juillet 2005). doi:10.1198/073500104000000523. http://hdl.handle.net/2078.1/23086

  • Bauwens, Luc ; Giot, Pierre ; Ben Omrane, Walid. News announcements, market activity and volatility in the Euro-Dollar foreign exchange market. In: Journal of International Money and Finance, Vol. 24 Iss. 7, p. 1108-1125 (2005). doi:10.1016/j.jimonfin.2005.08.008. http://hdl.handle.net/2078/19259

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Rombouts, Jeroen. Bayesian inference for the mixed conditional heteroskedasticity model (ECON Discussion Papers CORE Discussion Papers; 2005/58 2005/85), 2005. http://hdl.handle.net/2078.1/4681

  • Bauwens, Luc ; Rime, Dagfinn ; Sucarrat, Genaro. Exchange rate volatility and the mixture of distribution hypothesis (ECON Discussion Papers CORE Discussion Papers; 2005/43 2005/58), 2005. http://hdl.handle.net/2078.1/4654

  • 2004
    Article de périodique (Journal article)
  • Bauwens, Luc ; Grammig, Joachim ; Giot, Pierre ; Veredas, David. A comparison of financial duration models via density forecasts. In: International Journal of Forecasting, Vol. 20, no. 4, p. 589-609 (2004). doi:10.1016/j.ijforecast.2003.09.014. http://hdl.handle.net/2078/18119

  • Bauwens, Luc ; Bos, Charles ; van Dijk, Herman ; van Oest, Rutger. Adaptive radial-based direction sampling : a class of flexible and robust Monte Carlo integration methods. In: Journal of Econometrics, Vol. 123, no. 2, p. 201-225 (Décembre 2004). doi:10.1016/j.jeconom.2003.12.002. http://hdl.handle.net/2078.1/23082

  • Bauwens, Luc ; Lubrano, M. ; van Dijk, HK. Recent advances in Bayesian econometrics. In: Journal of Econometrics, Vol. 123, no. 2, p. 197-199 (2004). doi:10.1016/j.jeconom.2003.12.001. http://hdl.handle.net/2078.1/40477

  • Bauwens, Luc ; Veredas, David. The stochastic conditional duration model: a latent variable model for the analysis of financial durations. In: Journal of Econometrics, Vol. 119, no. 2, p. 381-412 (2004). doi:10.1016/S0304-4076(03)00201-X. http://hdl.handle.net/2078.1/40491

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Rombouts, Jeroen. Econometrics. In: J.E. Gentle, W. Härdle, Y. Mori, Handbook of computational statistics : concepts and methods, Springer: Berlin, 2004, 951-979. 978-3-540-40464-4. http://hdl.handle.net/2078/23080

  • 2003
    Article de périodique (Journal article)
  • Bauwens, Luc ; Giot, Pierre. Asymmetric ACD models : Introducing price information in ACD model with a two state transition model. In: Empirical Economics, Vol. 28, no. 4, p. 709-731 (2003). doi:10.1007/s00181-003-0155-7. http://hdl.handle.net/2078/18121

  • Lubrano, Michel ; Kirman, Alan ; Protopopescu, Camelia ; Bauwens, Luc. Ranking economics departments in Europe: a statistical approach. In: Journal of the European Economic Association, Vol. 1, no. 6, p. 1367–1401 (Décembre 2003). doi:10.1162/154247603322752575. http://hdl.handle.net/2078.1/23078

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Rombouts, Jeroen. Bayesian clustering of many GARCH models (ECON Discussion Papers CORE Discussion Papers; 2003/91 2003/87), 2003. http://hdl.handle.net/2078.1/4965

  • Bauwens, Luc ; Hautsch, Nikolaus. Dynamic latent factor models for intensity processes (ECON Discussion Papers CORE Discussion Papers; 2003/103 2003/103), 2003. http://hdl.handle.net/2078.1/4980

  • Ben Omrane, Walid ; Bauwens, Luc ; Giot, Pierre. Les annonces, l'activité et la volatilité sur le marché des changes euro/dollar (IAG - LSM Working Papers; 03/82), 2003. 38 p. http://hdl.handle.net/2078/18230

  • Bauwens, Luc ; Ben Omrane, Walid ; Giot, Pierre. News announcements, market activity and volatility in the Euro/Dollar foreign exchange market (ECON Discussion Papers CORE Discussion Papers; 2003/26 2003/29), 2003. http://hdl.handle.net/2078.1/4910

  • Bauwens, Luc ; Kirman, Alan ; Lubrano, Michel ; Protopopescu, Camelia. Ranking economics departments in Europe: a statistical approach (ECON Discussion Papers CORE Discussion Papers; 2003/50 2003/50), 2003. http://hdl.handle.net/2078.1/4929

  • Bauwens, Luc ; Galli, Fausto ; Giot, Pierre. The moments of Log-ACD models (ECON Discussion Papers CORE Discussion Papers; 2003/10 2003/11), 2003. http://hdl.handle.net/2078.1/4893

  • 2002
    Article de périodique (Journal article)
  • Bauwens, Luc ; Lubrano, Michel. Bayesian option pricing using asymmetric GARCH models. In: Journal of Empirical Finance, Vol. 9, no. 3, p. 321 – 342 (Août 2002). doi:10.1016/S0927-5398(01)00058-5. http://hdl.handle.net/2078.1/23059

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Giot, Pierre ; Galli, Fausto. The moments of first order Log-ACD models, 2002. http://hdl.handle.net/2078/19355

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Laurent, Sébastien. A new class of multivariate skew densities, with application to GARCH models (CORE Discussion Papers; 2002/20), 2002. http://hdl.handle.net/2078.1/4264

  • 2000
    Article de périodique (Journal article)
  • Bauwens, Luc ; Ginsburgh, Victor. Art experts and auctions are pre-sale estimates unbiased and fully informative?. In: Recherches Economiques de Louvain, Vol. 66, no. 2, p. 131-144 (2000). http://hdl.handle.net/2078.1/23047

  • Bauwens, Luc ; Giot, Pierre. Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models. In: Bulletin of EU and US inflation and macroeconomic analysis, Vol. 65, p. 49-56 (2000). http://hdl.handle.net/2078.1/73983

  • Bauwens, Luc ; Giot, Pierre. The logarithmic ACD model : an application to the bid-ask quote process and three NYSE stocks. In: Annales d'économie et de statistique, Vol. 60, p. 117-149 (2000). http://hdl.handle.net/2078.1/73985

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Giot, Pierre ; Grammig, Joachim ; Veredas, David. A comparison of financial duration models via density forecasts (CORE Discussion Papers; 2000/60), 2000. http://hdl.handle.net/2078.1/4149

  • Bauwens, Luc ; Hunter, John. Identifying long-run behaviour with non-stationary data (CORE Discussion Papers; 2000/43), 2000. http://hdl.handle.net/2078.1/4132

  • 1999
    Article de périodique (Journal article)
  • Bauwens, Luc. Recent developments in the econometrics of financial markets using intra-day data. In: Bulletin of EU and US inflation and macroeconomic analysis, Vol. 57, p. 60-70 (1999). http://hdl.handle.net/2078.1/73979

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Lubrano, Michel. Trends and breaking points in the Bayesian econometric literature. In: A. Kirman, L.-A. Gérard-Varet, Economics beyond the millennium, Oxford University Press: Oxford, 1999, p. 273-299. http://hdl.handle.net/2078.1/74060

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Bos, Charles S. ; Van Dijk, Herman. Adaptive polar sampling with an application to a bayes measure of value-at-risk (CORE Discussion Papers; 1999/57), 1999. http://hdl.handle.net/2078.1/4069

  • Bauwens, Luc ; Veredas, David. The stochastic conditional duration model: a latent factor model for the analysis of financial durations (CORE Discussion Papers; 1999/58), 1999. http://hdl.handle.net/2078.1/4070

  • Monographie (Book)
  • Bauwens, Luc ; Lubrano, Michel ; Richard, Jean-François. Bayesian inference in dynamic econometric models, Oxford University Press, 1999. 978-0-19-877312-2. 366 p. http://hdl.handle.net/2078.1/75318

  • 1998
    Article de périodique (Journal article)
  • Bauwens, Luc ; Giot, Pierre. A Gibbs sampling approach to cointegration. In: Computational Statistics, Vol. 13, no. 3, p. 339-368 (1998). http://hdl.handle.net/2078.1/45057

  • Bauwens, Luc ; Lubrano, Michel. Bayesian inference on GARCH models using the Gibbs sampler. In: The Econometrics Journal, Vol. 1, p. C23-C46 (1998). http://hdl.handle.net/2078.1/75250

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Giot, Pierre. Asymmetric ACD models: introducing price information in ACD models with a two state transition model (CORE Discussion Papers; 1998/44), 1998. http://hdl.handle.net/2078.1/3951

  • 1997
    Document de travail (Working Paper)
  • Bauwens, Luc ; Deprins, Dominique ; Vandeuren, Jean-Pierre. Multivariate modelling of interest rates with a cointegrated VAR-GARCH model (CORE Discussion Paper; 9780), 1997. http://hdl.handle.net/2078.1/73978

  • 1996
    Article de périodique (Journal article)
  • Bauwens, Luc ; Polasek, W ; Vandijk, HK.. Annals of econometrics: Bayes, Bernoullis, and Basel - Introduction. In: Journal of Econometrics, Vol. 75, no. 1, p. 1-5 (1996). doi:10.1016/0304-4076(95)01764-X. http://hdl.handle.net/2078.1/47477

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc. Identification restrictions and posterior densities in cointegrated Gaussian VAR system. In: T.B. Fomby, Advances in econometrics - Vol. 11B : Bayesian methods applied to time series data, JAI Press, 1996, p. 3-28. http://hdl.handle.net/2078.1/73977

  • 1995
    Article de périodique (Journal article)
  • Bauwens, Luc ; Lubrano, M.. Bayesian and Classical Econometric Modeling of Time-series - Introduction. In: Journal of Econometrics, Vol. 69, no. 1, p. 1-4 (1995). doi:10.1016/0304-4076(94)01659-N. http://hdl.handle.net/2078.1/48400

  • 1994
    Article de périodique (Journal article)
  • Bauwens, Luc ; Fiebig, DG. ; Steel, MFJ.. Estimating End-use Demand - a Bayesian-approach. In: Journal of Business and Economic Statistics, Vol. 12, no. 2, p. 221-231 (1994). http://hdl.handle.net/2078.1/49245

  • 1993
    Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc. Approximate HPD regions for testing residual autocorrelation using augmented regressions. In: W. Härdle, L. Simar, Computer Intensive Methods in Statistics, Physica-Verlag: Heidelberg, 1993, p. 47-61. http://hdl.handle.net/2078.1/73959

  • 1991
    Article de périodique (Journal article)
  • Bauwens, Luc ; Lubrano, Michel. Bayesian diagnostics for heterogeneity. In: Annales d'économie et de statistique, Vol. 21, p. 17-40 (1991). http://hdl.handle.net/2078.1/73951

  • Bauwens, Luc. The "pathology" of the natural conjugate prior density in the regression model. In: Annales d'économie et de statistique, Vol. 23, p. 50-64 (1991). http://hdl.handle.net/2078.1/73957

  • Eeckhoudt, Louis ; Bauwens, Luc ; Briys, E. ; Scarmure, P.. The Law of Large (small) Numbers and the Demand for Insurance. In: Journal of Risk and Insurance, Vol. 58, no. 3, p. 438-451 (1991). doi:10.2307/253401. http://hdl.handle.net/2078.1/51344

  • 1990
    Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; van Dijk, Herman K.. Bayesian limited information analysis revisited. In: J. Gabszewicz, J.F. Richard, L. Wolsey, Economic decision-making : Games, Econometrics, and Decision-making - Contributions in honour of Jacques Drèze, North-Holland: Amsterdam, 1990, p. 385-424. http://hdl.handle.net/2078.1/75159

  • 1988
    Article de périodique (Journal article)
  • Zellner, A. ; Bauwens, Luc ; Vandijk, HK.. Bayesian Specification Analysis and Estimation of Simultaneous Equation Models Using Monte-carlo Methods. In: Journal of Econometrics, Vol. 38, no. 1-2, p. 39-72 (1988). doi:10.1016/0304-4076(88)90026-7. http://hdl.handle.net/2078.1/53400

  • Bauwens, Luc ; Balassa, B.. Inter-industry and intra-industry specialization in manufactured goods. In: Weltwirtschaftliches Archiv, Vol. 124, p. 1-13 (1988). http://hdl.handle.net/2078.1/75247

  • Bauwens, Luc ; Balassa, B.. The determinants of intra-European trade in manufactured goods. In: European Economic Review, Vol. 32, p. 1421-1437 (1988). http://hdl.handle.net/2078.1/75248

  • Monographie (Book)
  • Bauwens, Luc ; Balassa, B.. Changing trade patterns in manufactured goods : an econometric investigation, North-Holland, 1988. 202 p. http://hdl.handle.net/2078.1/75321

  • 1987
    Article de périodique (Journal article)
  • Lebrun, T. ; Eeckhoudt, Louis ; Sailly, J.-C. ; Bauwens, Luc. De l'intérêt des méthodes d'évaluation dans la décision et la pratique du médecin. In: Journal d'Economie Médicale, Vol. 5, p. 183-199 (1987). http://hdl.handle.net/2078.1/75169

  • Bauwens, Luc ; Balassa, B.. Intra-industry specialization in a multi-country and multi-industry framework. In: The Economic Journal, Vol. 97, p. 923-939 (1987). http://hdl.handle.net/2078.1/75245

  • Eeckhoudt, Louis ; Hermans, J. ; Bauwens, Luc ; Lebrun, T. ; Beauduin, M. ; Pluygers, E. ; Sailly, J.-C.. La valeur diagnostique de la scintigraphie au thallium 201 dans la détermination de la malignité du nodule froid thyroïdien. In: Bulletin du cancer, Vol. 74, no. 1, p. 88-94 (1987). http://hdl.handle.net/2078.1/75225

  • 1985
    Article de périodique (Journal article)
  • Bauwens, Luc ; Richard, JF.. A 1-1 poly-t random variable generator with application to Monte-Carlo integration. In: Journal of Econometrics, Vol. 29, no. 1-2, p. 19-46 (1985). doi:10.1016/0304-4076(85)90031-4. http://hdl.handle.net/2078.1/55124

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Balassa, B.. Comparative advantage in manufactured goods in a multi-country, multi-commodity, and multi-factor model. In: T. Peeters, P. Praet, P. Reding, International Trade and Exchange Rates in the Late Eighties, North-Holland: Amsterdam, 1985, p. 31-52. http://hdl.handle.net/2078.1/75164

  • 1984
    Article de périodique (Journal article)
  • Bauwens, Luc. Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration By Monte-carlo. In: Lecture Notes in Economics and Mathematical Systems : operations research, computer science, social science, Vol. 232, p. 1-114 (1984). http://hdl.handle.net/2078.1/56288

  • 1983
    Article de périodique (Journal article)
  • Bauwens, Luc ; d'Alcantara, G.. An Export Model for the Belgian Industry. In: European Economic Review, Vol. 22, no. 3, p. 265-276 (1983). doi:10.1016/0014-2921(83)90044-2. http://hdl.handle.net/2078.1/57009

  • Bauwens, Luc. Posterior moments of elasticities between real wages and unemployment in Belgium : an application of Bayesian inference by Monte Carlo integration. In: Recherches économiques de louvain, Vol. 49, p. 47-59 (1983). http://hdl.handle.net/2078.1/75167


  • Biographie


    Diplômes

    année

    intitulé

    établissement

    1975Licencié en sciences économiquesUniversité de Liège
    1975Agrégation de l'enseignement secondaire supérieur en science économique appliquéUniversité de Liège
    1976Maître en sciences économiquesUniversité catholique de Louvain
    1979Diplome spécial en statistiqueUniversité catholique de Louvain
    1983Docteur en sciences économiquesUniversité catholique de Louvain



    Enseignement




    Recherche


    Consulter http://perso.uclouvain.be/luc.bauwens/Bauwens.htm pour ma liste de publications.

    Intérêts de recherche: Econométrie. Modélisation et prévision de séries temporelles: en particulier modèles de volatilité pour séries financières; modélisation de ruptures dans les séries temporelles. Inférence Bayesienne. Méthodes de simulation.


    Publications


    2016
    Document de travail (Working Paper)
  • Bauwens, Luc ; Braione, Manuela ; STORTI, Giuseppe. A dynamic component model for forecasting high-dimensional realized covariance matrices (CORE DP; 2016/01), 2016. 26 p. http://hdl.handle.net/2078.1/171242

  • 2015
    Article de périodique (Journal article)
  • Bauwens, Luc ; Koop, Gary ; Korobilis, Dimitris ; Rombouts, Jeroen V.K.. The Contribution of Structural Break Models to Forecasting Macroeconomic Series. In: Journal of Applied Econometrics, Vol. 30, no.4, p. 596-620 (2015). doi:10.1002/jae.2387. http://hdl.handle.net/2078.1/162482

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Carpantier, Jean-Francois ; Dufays, Arnaud. Autoregressive Moving Average Infinite Hidden Markov-Switching Models (CORE DISCUSSION PAPER; 2015/07), 2015. 42 p. http://hdl.handle.net/2078.1/157068

  • 2014
    Article de périodique (Journal article)
  • Bauwens, Luc ; De Backer, Bruno ; Dufays, Arnaud. A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models. In: Journal of Empirical Finance, Vol. 29, p. 207-229 (2014). doi:10.1016/j.jempfin.2014.06.008. http://hdl.handle.net/2078.1/153254

  • Bauwens, Luc ; Dufays, Arnaud ; Rombouts, Jeroen. Marginal likelihood for Markov-switching and change-point GARCH models. In: Journal of Econometrics, Vol. 178, Part 3, p. 508-522 (2014). doi:10.1016/j.jeconom.2013.08.017. http://hdl.handle.net/2078.1/136057

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Grigoryeva, Lyudmila ; Ortega, Juan-Pablo. Estimation and empirical performance of non-scalar dynamic conditional correlation models (CORE Discussion Paper; 2014/12), 2014. http://hdl.handle.net/2078.1/143967

  • Bauwens, Luc ; Braione, Manuela ; Storti, Giuseppe. Forecasting comparison of long term component dynamic models for realized covariance matrices (CORE Disccusion Papers; 2014/53), 2014. 31 p. http://hdl.handle.net/2078.1/152566

  • 2013
    Article de périodique (Journal article)
  • Wang, Cindy Shin-Huei ; Bauwens, Luc ; Hsiao, Cheng. Forecasting a long memory process subject to structural breaks. In: Journal of Econometrics, Vol. 177, no.2, p. 171-184 (2013). doi:10.1016/j.jeconom.2013.04.006. http://hdl.handle.net/2078.1/142529

  • Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures, collab. Bauwens, Luc. In: Journal of Applied Econometrics, Vol. 28, no.5, p. 743-761 (2013). doi:10.1002/jae.2280. http://hdl.handle.net/2078.1/135148

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Storti, Giuseppe. Computationally efficient inference procedures for vast dimensional realized covariance models. In: M. Grigoletto et al., Complex Methods and Computational Methods in Statistics, 2013. doi:10.1007/978-88-470-2871-5_4. http://hdl.handle.net/2078.1/128515

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Otranto, Edoardo. Modeling the dependence of conditional correlations on volatility (CORE Discussion Paper; 2013/14), 2013. http://hdl.handle.net/2078.1/128437

  • 2012
    Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Hafner, Christian ; Laurent, Sébastien. Volatility Models. In: Bauwens, L., Hafner, C. and S. Laurent, Handbook of Volatility Models and Their Applications, John Wiley & Sons, Inc.: Hoboken, NJ, USA, 2012, p. 1-45. 978-0-470-87251-2. doi:10.1002/9781118272039.ch1. http://hdl.handle.net/2078.1/119729

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Storti, Giuseppe. Computationally efficient inference procedures for vast dimensional realized covariance models (CORE Discussion Paper; 2012/28), 2012. http://hdl.handle.net/2078.1/112951

  • Bauwens, Luc ; Storti, Giuseppe ; Violante, Francesco. Dynamic conditional correlation models for realized covariance matrices (CORE Discussion Paper; 2012/60), 2012. http://hdl.handle.net/2078.1/122203

  • Wang, Shin-Huei ; Bauwens, Luc ; Hsiao, Cheng. Forecasting long memory processes subject to structural breaks (CORE Discussion Paper; 2012/48), 2012. http://hdl.handle.net/2078/118389

  • Monographie (Book)
  • Handbook of Volatility Models and Their Applications, éd. Bauwens, Luc ; Hafner, Christian ; laurent, Sébastien, John Wiley & Sons, Inc., 2012. 9780470872512. 568 p. doi:10.1002/9781118272039. http://hdl.handle.net/2078.1/119799

  • 2011
    Article de périodique (Journal article)
  • Bauwens, Luc ; Mion, Giordano ; Thisse, Jacques-François. The resistible decline of European science. In: Recherches économiques de Louvain, Vol. 77, no. 4, p. 5-31 (2011). doi:10.3917/rel.774.0005. http://hdl.handle.net/2078.1/108767

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Koop, Gary ; Rombouts, Jeroen. A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models (CORE Discussion Paper; 2011/3), 2011. http://hdl.handle.net/2078.1/69207

  • Bauwens, Luc ; Korobilis, Dimitris. Bayesian methods (CORE Discussion Paper; 2011/61), 2011. http://hdl.handle.net/2078.1/104095

  • Bauwens, Luc ; Dufays, Arnaud ; de Backer, Bruno. Estimating and forecasting structural breaks in financial time series (CORE Discussion Paper; 2011/55), 2011. http://hdl.handle.net/2078.1/93464

  • Bauwens, Luc ; Dufays, Arnaud ; Rombouts, Jeroen. Marginal likelihood for Markov-switching and change-point GARCH models (CORE Discussion Paper; 2011/13), 2011. http://hdl.handle.net/2078.1/95704

  • Bauwens, Luc ; Hafner, Christian ; Pierret, Diane. Multivariate volatility modeling of electricity futures (CORE Discussion Paper ISBA Discussion Paper; 2011/11 2011/13), 2011. 27 p. http://hdl.handle.net/2078.1/75253

  • Bauwens, Luc ; Hafner, Christian ; Laurent, Sébastien. Volatility models (CORE Discussion Paper; 2011/58), 2011. http://hdl.handle.net/2078.1/95747

  • 2010
    Article de périodique (Journal article)
  • Bauwens, Luc ; Sucarrat, Genaro. General-to-specific modelling of exchange rate volatility: a forecast evaluation. In: International Journal of Forecasting, Vol. 26, no. 4, p. 885-907 (Octobre 2010). doi:10.1016/j.ijforecast.2010.07.001. http://hdl.handle.net/2078.1/33454

  • Bauwens, Luc ; Ben Omrane, Walid ; Rengifo, Erick. Intradaily dynamic portfolio selection. In: Computational Statistics & Data Analysis, Vol. 54, no. 11, p. 2400-2418 (2010). doi:10.1016/j.csda.2009.05.027. http://hdl.handle.net/2078.1/34405

  • Bauwens, Luc ; Rombouts, Jeroen V.K.. On marginal likelihood computation in change-point models. In: Computational Statistics & Data Analysis, Vol. 56, no. 11, p. 3415-3429 (2012). doi:10.1016/j.csda.2010.06.025. http://hdl.handle.net/2078.1/112084

  • 2009
    Article de périodique (Journal article)
  • Bauwens, Luc ; Storti, Giuseppe. A component GARCH model with time varying weights. In: Studies in Nonlinear Dynamics & Econometrics, Vol. 13, no. 2, p. 1-31 (2009). doi:10.2202/1558-3708.1512. http://hdl.handle.net/2078.1/28904

  • Bauwens, Luc ; Galli, Fausto. Efficient importance sampling for ML estimation of SCD models. In: Computational Statistics & Data Analysis, Vol. 53, no. 6, p. 1974-1992 (Avril 2009). doi:10.1016/j.csda.2008.02.014. http://hdl.handle.net/2078.1/23146

  • Bauwens, Luc ; Preminger, Arie ; Rombouts, Jeroen. Theory and inference for a Markov switching GARCH model. In: The Econometrics Journal, Vol. 13, no. 2, p. 218-244 (2010). doi:10.1111/j.1368-423X.2009.00307.x. http://hdl.handle.net/2078.1/73492

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Hautsch, Nicolas. Modelling financial high frequency data using point processes. In: T.G. Andersen, R.A. Davis, J.-P. Kreiss, T. Mikosch, Handbook of financial time series, Springer-Verlag: Heidelberg, 2009, p. 953-979. http://hdl.handle.net/2078.1/74109

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Rombouts, Jeroen. On marginal likelihood computation in change-point models (CORE Discussion Papers; 2009/61), 2009. http://hdl.handle.net/2078.1/28520

  • 2008
    Article de périodique (Journal article)
  • Bauwens, Luc ; Galli, Fausto ; Giot, Pierre. The Moments of Log-ACD Models. In: Quantitative and Qualitative Analysis in Social Sciences, Vol. 2, no. 1, p. 1-28 (2008). http://hdl.handle.net/2078.1/23145

  • 2007
    Article de périodique (Journal article)
  • Bauwens, Luc ; Rombouts, Jeroen. Bayesian Clustering of Many Garch Models. In: Econometric Reviews, Vol. 26, no. 2-4, p. 365-386 (Mars 2007). doi:10.1080/07474930701220576. http://hdl.handle.net/2078.1/23133

  • Bauwens, Luc ; Lubrano, Michel. Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market. In: Econometric Reviews, Vol. 26, no. 2-4, p. 469 - 486 (Mars 2007). doi:10.1080/07474930701220634. http://hdl.handle.net/2078.1/23135

  • Bauwens, Luc ; Rombouts, Jeroen. Bayesian inference for the mixed conditional heteroskedasticity model. In: Econometrics Journal, Vol. 10, no. 2, p. 408-425 (Juillet 2007). doi:10.1111/j.1368-423X.2007.00213.x. http://hdl.handle.net/2078.1/23140

  • Bauwens, Luc ; Hafner, Christian ; Rombouts, Jeroen. Multivariate mixed normal conditional heteroskedasticity. In: Computational Statistics & Data Analysis, Vol. 51, no. 7, p. 3551-3566 (Avril 2007). doi:10.1016/j.csda.2006.10.012. http://hdl.handle.net/2078.1/23132

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Storti, Giuseppe. A component GARCH model with time varying weights (ECON Discussion Papers CORE Discussion Papers; 2007/12 2007/19), 2007. http://hdl.handle.net/2078.1/5101

  • Bauwens, Luc ; Galli, Fausto. Efficient importance sampling for ML estimation of SCD models (ECON Discussion Papers CORE Discussion Papers; 2007/32 2007/53), 2007. http://hdl.handle.net/2078.1/5066

  • Bauwens, Luc ; Mion, Giordano ; Thisse, Jacques-François. The resistible decline of European science (CORE Discussion Papers; 2007/92), 2007. 24 p. http://hdl.handle.net/2078.1/5901

  • Bauwens, Luc ; Preminger, Arie ; Rombouts, Jeroen. Theory and inference for a Markov switching GARCH model (ECON Discussion Papers CORE Discussion Papers; 2007/33 2007/55), 2007. http://hdl.handle.net/2078.1/5064

  • 2006
    Article de périodique (Journal article)
  • Bauwens, Luc ; Boswijk, H. Peter ; Urbain, Jean-Pierre. Causality and exogeneity in econometrics. In: Journal of Econometrics, Vol. 132, no. 2, p. 305-309 (2006). doi:10.1016/j.jeconom.2005.02.001. http://hdl.handle.net/2078.1/38074

  • Bauwens, Luc. Econometric analysis of intra-daily trading activity on the Tokyo stock exchange. In: Monetary and Economic Studies, Vol. 24, no. 1, p. 1-23 (2006). http://hdl.handle.net/2078.1/74013

  • Bauwens, Luc ; Rime, Dagfinn ; Sucarrat, Genaro. Exchange rate volatility and the mixture of distribution hypothesis. In: Empirical Economics : a quarterly journal of the Institute for Advanced Studies, Vienna, Vol. 30, no. 4, p. 889-911 (Janvier 2006). doi:10.1007/s00181-005-0005-x. http://hdl.handle.net/2078.1/23084

  • Bauwens, Luc ; Laurent, Sébastien ; Rombouts, Jeroen. Multivariate GARCH models: a survey. In: Journal of Applied Econometrics, Vol. 21, no. 1, p. 79-109 (Janvier 2006). doi:10.1002/jae.842. http://hdl.handle.net/2078.1/23131

  • Bauwens, Luc ; Pohlmeier, W. ; Veredas, David. Recent developments in high frequency financial econometrics - Editor's introduction. In: Empirical Economics : a quarterly journal of the Institute for Advanced Studies, Vienna, Vol. 30, no. 4, p. 791-794 (2006). doi:10.1007/s00181-005-0010-0. http://hdl.handle.net/2078.1/38763

  • Bauwens, Luc ; Hautsch, Nikolaus. Stochastic Conditional Intensity Processes. In: Journal of Financial Econometrics, Vol. 4, no. 3, p. 450-493 (2006). doi:10.1093/jjfinec/nbj013. http://hdl.handle.net/2078.1/23142

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Lubrano, Michel. Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market (ECON Discussion Papers CORE Discussion Papers; 2006/27 2006/50), 2006. http://hdl.handle.net/2078.1/4504

  • Bauwens, Luc ; Succarat, Genaro. General to specific modelling of exchange rate volatility : a forecast evaluation (ECON Working Papers CORE Discussion Papers; 2006/13 2006/21), 2006. http://hdl.handle.net/2078.1/5758

  • Bauwens, Luc ; Ben Omrane, Walid ; Rengifo, Erick. Intra-daily FX optimal portfolio allocation (ECON Discussion Papers CORE Discussion Papers; 2006/05 2006/10), 2006. http://hdl.handle.net/2078.1/4464

  • Bauwens, Luc ; Hautsch, Nikolaus. Modelling financial high frequency data using point processes. (ECON Working Papers CORE Discussion Papers; 2006/39 2006/80), 2006. http://hdl.handle.net/2078.1/5783

  • Bauwens, Luc ; Hafner, Christian ; Rombouts, Jeroen. Multivariate mixed normal conditional heteroskedasticity (ECON Discussion Papers CORE Discussion Papers; 2006/07 2006/12), 2006. http://hdl.handle.net/2078.1/4466

  • Bauwens, Luc ; Preminger, Arie ; Rombouts, Jeroen. Regime switching GARCH models (ECON Discussion Papers CORE Discussion Papers; 2006/06 2006/11), 2006. http://hdl.handle.net/2078.1/4465

  • 2005
    Article de périodique (Journal article)
  • Bauwens, Luc ; Laurent, Sébastien. A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models. In: Journal of Business and Economic Statistics, Vol. 23, no. 3, p. 346-354 (Juillet 2005). doi:10.1198/073500104000000523. http://hdl.handle.net/2078.1/23086

  • Bauwens, Luc ; Giot, Pierre ; Ben Omrane, Walid. News announcements, market activity and volatility in the Euro-Dollar foreign exchange market. In: Journal of International Money and Finance, Vol. 24 Iss. 7, p. 1108-1125 (2005). doi:10.1016/j.jimonfin.2005.08.008. http://hdl.handle.net/2078/19259

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Rombouts, Jeroen. Bayesian inference for the mixed conditional heteroskedasticity model (ECON Discussion Papers CORE Discussion Papers; 2005/58 2005/85), 2005. http://hdl.handle.net/2078.1/4681

  • Bauwens, Luc ; Rime, Dagfinn ; Sucarrat, Genaro. Exchange rate volatility and the mixture of distribution hypothesis (ECON Discussion Papers CORE Discussion Papers; 2005/43 2005/58), 2005. http://hdl.handle.net/2078.1/4654

  • 2004
    Article de périodique (Journal article)
  • Bauwens, Luc ; Grammig, Joachim ; Giot, Pierre ; Veredas, David. A comparison of financial duration models via density forecasts. In: International Journal of Forecasting, Vol. 20, no. 4, p. 589-609 (2004). doi:10.1016/j.ijforecast.2003.09.014. http://hdl.handle.net/2078/18119

  • Bauwens, Luc ; Bos, Charles ; van Dijk, Herman ; van Oest, Rutger. Adaptive radial-based direction sampling : a class of flexible and robust Monte Carlo integration methods. In: Journal of Econometrics, Vol. 123, no. 2, p. 201-225 (Décembre 2004). doi:10.1016/j.jeconom.2003.12.002. http://hdl.handle.net/2078.1/23082

  • Bauwens, Luc ; Lubrano, M. ; van Dijk, HK. Recent advances in Bayesian econometrics. In: Journal of Econometrics, Vol. 123, no. 2, p. 197-199 (2004). doi:10.1016/j.jeconom.2003.12.001. http://hdl.handle.net/2078.1/40477

  • Bauwens, Luc ; Veredas, David. The stochastic conditional duration model: a latent variable model for the analysis of financial durations. In: Journal of Econometrics, Vol. 119, no. 2, p. 381-412 (2004). doi:10.1016/S0304-4076(03)00201-X. http://hdl.handle.net/2078.1/40491

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Rombouts, Jeroen. Econometrics. In: J.E. Gentle, W. Härdle, Y. Mori, Handbook of computational statistics : concepts and methods, Springer: Berlin, 2004, 951-979. 978-3-540-40464-4. http://hdl.handle.net/2078/23080

  • 2003
    Article de périodique (Journal article)
  • Bauwens, Luc ; Giot, Pierre. Asymmetric ACD models : Introducing price information in ACD model with a two state transition model. In: Empirical Economics, Vol. 28, no. 4, p. 709-731 (2003). doi:10.1007/s00181-003-0155-7. http://hdl.handle.net/2078/18121

  • Lubrano, Michel ; Kirman, Alan ; Protopopescu, Camelia ; Bauwens, Luc. Ranking economics departments in Europe: a statistical approach. In: Journal of the European Economic Association, Vol. 1, no. 6, p. 1367–1401 (Décembre 2003). doi:10.1162/154247603322752575. http://hdl.handle.net/2078.1/23078

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Rombouts, Jeroen. Bayesian clustering of many GARCH models (ECON Discussion Papers CORE Discussion Papers; 2003/91 2003/87), 2003. http://hdl.handle.net/2078.1/4965

  • Bauwens, Luc ; Hautsch, Nikolaus. Dynamic latent factor models for intensity processes (ECON Discussion Papers CORE Discussion Papers; 2003/103 2003/103), 2003. http://hdl.handle.net/2078.1/4980

  • Ben Omrane, Walid ; Bauwens, Luc ; Giot, Pierre. Les annonces, l'activité et la volatilité sur le marché des changes euro/dollar (IAG - LSM Working Papers; 03/82), 2003. 38 p. http://hdl.handle.net/2078/18230

  • Bauwens, Luc ; Ben Omrane, Walid ; Giot, Pierre. News announcements, market activity and volatility in the Euro/Dollar foreign exchange market (ECON Discussion Papers CORE Discussion Papers; 2003/26 2003/29), 2003. http://hdl.handle.net/2078.1/4910

  • Bauwens, Luc ; Kirman, Alan ; Lubrano, Michel ; Protopopescu, Camelia. Ranking economics departments in Europe: a statistical approach (ECON Discussion Papers CORE Discussion Papers; 2003/50 2003/50), 2003. http://hdl.handle.net/2078.1/4929

  • Bauwens, Luc ; Galli, Fausto ; Giot, Pierre. The moments of Log-ACD models (ECON Discussion Papers CORE Discussion Papers; 2003/10 2003/11), 2003. http://hdl.handle.net/2078.1/4893

  • 2002
    Article de périodique (Journal article)
  • Bauwens, Luc ; Lubrano, Michel. Bayesian option pricing using asymmetric GARCH models. In: Journal of Empirical Finance, Vol. 9, no. 3, p. 321 – 342 (Août 2002). doi:10.1016/S0927-5398(01)00058-5. http://hdl.handle.net/2078.1/23059

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Giot, Pierre ; Galli, Fausto. The moments of first order Log-ACD models, 2002. http://hdl.handle.net/2078/19355

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Laurent, Sébastien. A new class of multivariate skew densities, with application to GARCH models (CORE Discussion Papers; 2002/20), 2002. http://hdl.handle.net/2078.1/4264

  • 2000
    Article de périodique (Journal article)
  • Bauwens, Luc ; Ginsburgh, Victor. Art experts and auctions are pre-sale estimates unbiased and fully informative?. In: Recherches Economiques de Louvain, Vol. 66, no. 2, p. 131-144 (2000). http://hdl.handle.net/2078.1/23047

  • Bauwens, Luc ; Giot, Pierre. Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models. In: Bulletin of EU and US inflation and macroeconomic analysis, Vol. 65, p. 49-56 (2000). http://hdl.handle.net/2078.1/73983

  • Bauwens, Luc ; Giot, Pierre. The logarithmic ACD model : an application to the bid-ask quote process and three NYSE stocks. In: Annales d'économie et de statistique, Vol. 60, p. 117-149 (2000). http://hdl.handle.net/2078.1/73985

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Giot, Pierre ; Grammig, Joachim ; Veredas, David. A comparison of financial duration models via density forecasts (CORE Discussion Papers; 2000/60), 2000. http://hdl.handle.net/2078.1/4149

  • Bauwens, Luc ; Hunter, John. Identifying long-run behaviour with non-stationary data (CORE Discussion Papers; 2000/43), 2000. http://hdl.handle.net/2078.1/4132

  • 1999
    Article de périodique (Journal article)
  • Bauwens, Luc. Recent developments in the econometrics of financial markets using intra-day data. In: Bulletin of EU and US inflation and macroeconomic analysis, Vol. 57, p. 60-70 (1999). http://hdl.handle.net/2078.1/73979

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Lubrano, Michel. Trends and breaking points in the Bayesian econometric literature. In: A. Kirman, L.-A. Gérard-Varet, Economics beyond the millennium, Oxford University Press: Oxford, 1999, p. 273-299. http://hdl.handle.net/2078.1/74060

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Bos, Charles S. ; Van Dijk, Herman. Adaptive polar sampling with an application to a bayes measure of value-at-risk (CORE Discussion Papers; 1999/57), 1999. http://hdl.handle.net/2078.1/4069

  • Bauwens, Luc ; Veredas, David. The stochastic conditional duration model: a latent factor model for the analysis of financial durations (CORE Discussion Papers; 1999/58), 1999. http://hdl.handle.net/2078.1/4070

  • Monographie (Book)
  • Bauwens, Luc ; Lubrano, Michel ; Richard, Jean-François. Bayesian inference in dynamic econometric models, Oxford University Press, 1999. 978-0-19-877312-2. 366 p. http://hdl.handle.net/2078.1/75318

  • 1998
    Article de périodique (Journal article)
  • Bauwens, Luc ; Giot, Pierre. A Gibbs sampling approach to cointegration. In: Computational Statistics, Vol. 13, no. 3, p. 339-368 (1998). http://hdl.handle.net/2078.1/45057

  • Bauwens, Luc ; Lubrano, Michel. Bayesian inference on GARCH models using the Gibbs sampler. In: The Econometrics Journal, Vol. 1, p. C23-C46 (1998). http://hdl.handle.net/2078.1/75250

  • Document de travail (Working Paper)
  • Bauwens, Luc ; Giot, Pierre. Asymmetric ACD models: introducing price information in ACD models with a two state transition model (CORE Discussion Papers; 1998/44), 1998. http://hdl.handle.net/2078.1/3951

  • 1997
    Document de travail (Working Paper)
  • Bauwens, Luc ; Deprins, Dominique ; Vandeuren, Jean-Pierre. Multivariate modelling of interest rates with a cointegrated VAR-GARCH model (CORE Discussion Paper; 9780), 1997. http://hdl.handle.net/2078.1/73978

  • 1996
    Article de périodique (Journal article)
  • Bauwens, Luc ; Polasek, W ; Vandijk, HK.. Annals of econometrics: Bayes, Bernoullis, and Basel - Introduction. In: Journal of Econometrics, Vol. 75, no. 1, p. 1-5 (1996). doi:10.1016/0304-4076(95)01764-X. http://hdl.handle.net/2078.1/47477

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc. Identification restrictions and posterior densities in cointegrated Gaussian VAR system. In: T.B. Fomby, Advances in econometrics - Vol. 11B : Bayesian methods applied to time series data, JAI Press, 1996, p. 3-28. http://hdl.handle.net/2078.1/73977

  • 1995
    Article de périodique (Journal article)
  • Bauwens, Luc ; Lubrano, M.. Bayesian and Classical Econometric Modeling of Time-series - Introduction. In: Journal of Econometrics, Vol. 69, no. 1, p. 1-4 (1995). doi:10.1016/0304-4076(94)01659-N. http://hdl.handle.net/2078.1/48400

  • 1994
    Article de périodique (Journal article)
  • Bauwens, Luc ; Fiebig, DG. ; Steel, MFJ.. Estimating End-use Demand - a Bayesian-approach. In: Journal of Business and Economic Statistics, Vol. 12, no. 2, p. 221-231 (1994). http://hdl.handle.net/2078.1/49245

  • 1993
    Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc. Approximate HPD regions for testing residual autocorrelation using augmented regressions. In: W. Härdle, L. Simar, Computer Intensive Methods in Statistics, Physica-Verlag: Heidelberg, 1993, p. 47-61. http://hdl.handle.net/2078.1/73959

  • 1991
    Article de périodique (Journal article)
  • Bauwens, Luc ; Lubrano, Michel. Bayesian diagnostics for heterogeneity. In: Annales d'économie et de statistique, Vol. 21, p. 17-40 (1991). http://hdl.handle.net/2078.1/73951

  • Bauwens, Luc. The "pathology" of the natural conjugate prior density in the regression model. In: Annales d'économie et de statistique, Vol. 23, p. 50-64 (1991). http://hdl.handle.net/2078.1/73957

  • Eeckhoudt, Louis ; Bauwens, Luc ; Briys, E. ; Scarmure, P.. The Law of Large (small) Numbers and the Demand for Insurance. In: Journal of Risk and Insurance, Vol. 58, no. 3, p. 438-451 (1991). doi:10.2307/253401. http://hdl.handle.net/2078.1/51344

  • 1990
    Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; van Dijk, Herman K.. Bayesian limited information analysis revisited. In: J. Gabszewicz, J.F. Richard, L. Wolsey, Economic decision-making : Games, Econometrics, and Decision-making - Contributions in honour of Jacques Drèze, North-Holland: Amsterdam, 1990, p. 385-424. http://hdl.handle.net/2078.1/75159

  • 1988
    Article de périodique (Journal article)
  • Zellner, A. ; Bauwens, Luc ; Vandijk, HK.. Bayesian Specification Analysis and Estimation of Simultaneous Equation Models Using Monte-carlo Methods. In: Journal of Econometrics, Vol. 38, no. 1-2, p. 39-72 (1988). doi:10.1016/0304-4076(88)90026-7. http://hdl.handle.net/2078.1/53400

  • Bauwens, Luc ; Balassa, B.. Inter-industry and intra-industry specialization in manufactured goods. In: Weltwirtschaftliches Archiv, Vol. 124, p. 1-13 (1988). http://hdl.handle.net/2078.1/75247

  • Bauwens, Luc ; Balassa, B.. The determinants of intra-European trade in manufactured goods. In: European Economic Review, Vol. 32, p. 1421-1437 (1988). http://hdl.handle.net/2078.1/75248

  • Monographie (Book)
  • Bauwens, Luc ; Balassa, B.. Changing trade patterns in manufactured goods : an econometric investigation, North-Holland, 1988. 202 p. http://hdl.handle.net/2078.1/75321

  • 1987
    Article de périodique (Journal article)
  • Lebrun, T. ; Eeckhoudt, Louis ; Sailly, J.-C. ; Bauwens, Luc. De l'intérêt des méthodes d'évaluation dans la décision et la pratique du médecin. In: Journal d'Economie Médicale, Vol. 5, p. 183-199 (1987). http://hdl.handle.net/2078.1/75169

  • Bauwens, Luc ; Balassa, B.. Intra-industry specialization in a multi-country and multi-industry framework. In: The Economic Journal, Vol. 97, p. 923-939 (1987). http://hdl.handle.net/2078.1/75245

  • Eeckhoudt, Louis ; Hermans, J. ; Bauwens, Luc ; Lebrun, T. ; Beauduin, M. ; Pluygers, E. ; Sailly, J.-C.. La valeur diagnostique de la scintigraphie au thallium 201 dans la détermination de la malignité du nodule froid thyroïdien. In: Bulletin du cancer, Vol. 74, no. 1, p. 88-94 (1987). http://hdl.handle.net/2078.1/75225

  • 1985
    Article de périodique (Journal article)
  • Bauwens, Luc ; Richard, JF.. A 1-1 poly-t random variable generator with application to Monte-Carlo integration. In: Journal of Econometrics, Vol. 29, no. 1-2, p. 19-46 (1985). doi:10.1016/0304-4076(85)90031-4. http://hdl.handle.net/2078.1/55124

  • Contribution à ouvrage collectif (Book Chapter)
  • Bauwens, Luc ; Balassa, B.. Comparative advantage in manufactured goods in a multi-country, multi-commodity, and multi-factor model. In: T. Peeters, P. Praet, P. Reding, International Trade and Exchange Rates in the Late Eighties, North-Holland: Amsterdam, 1985, p. 31-52. http://hdl.handle.net/2078.1/75164

  • 1984
    Article de périodique (Journal article)
  • Bauwens, Luc. Bayesian Full Information Analysis of Simultaneous Equation Models Using Integration By Monte-carlo. In: Lecture Notes in Economics and Mathematical Systems : operations research, computer science, social science, Vol. 232, p. 1-114 (1984). http://hdl.handle.net/2078.1/56288

  • 1983
    Article de périodique (Journal article)
  • Bauwens, Luc ; d'Alcantara, G.. An Export Model for the Belgian Industry. In: European Economic Review, Vol. 22, no. 3, p. 265-276 (1983). doi:10.1016/0014-2921(83)90044-2. http://hdl.handle.net/2078.1/57009

  • Bauwens, Luc. Posterior moments of elasticities between real wages and unemployment in Belgium : an application of Bayesian inference by Monte Carlo integration. In: Recherches économiques de louvain, Vol. 49, p. 47-59 (1983). http://hdl.handle.net/2078.1/75167


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