2009-2006 (for previous years see my resume)
2009
On marginal likelihood computation in change-point models (CORE DP 2009/61)
Authors: Luc
Bauwens and Jeroen Rombouts
A component GARCH model with time-varying weights (Studies in Nonlinear Dynamics &
Econometrics 13/2, article 1)
Authors: Luc
Bauwens and Giuseppe Storti
Download at http://www.bepress.com/snde/vol13/iss2/art1.
Revision of CORE DP 2007/19.
Efficient importance sampling for ML estimation of SCD models
(Computational Statistics and Data Analysis 53, 1974-1992)
Authors: Luc
Bauwens and Fausto Galli
Download scd_eis_revision_2.pdf. Revision
of CORE DP
2007/53. You may download the published
version via the link http://dx.doi.org/10.1016/j.csda.2008.02.014
Modelling financial high frequency data using point processes (in Handbook of Financial Time Series, Springer Verlag)
Authors: Luc
Bauwens and Nikolaus Hautsch
Download this
Chapter. Revision of CORE DP 2006/80.
2008
The moments of Log-ACD models (Quantitative and
Qualitative Analysis in Social Sciences 2, 1-28)
Authors: Luc
Bauwens,
Download final version
QQASS_2(1-28)_2008.pdf.
Revision of CORE DP 2003/11.
2007
The resistible decline of European science (CORE DP 2007/92)
Authors: Luc
Bauwens,
Download BMT240608.pdf
, revision of CORE-DP2007-92.pdf
Theory and inference for a Markov switching GARCH model (Forthcoming in The Econometrics Journal. Revision of CORE DP 2007/55)
Authors: Luc
Bauwens, Arie Preminger and Jeroen Rombouts
Download MS-GARCH_Rev2-2.pdf
, revision of 2007-55-MS-GARCH.pdf
Bayesian inference for the mixed conditional heteroskedasticty model (The Econometrics Journal
10, 408-425)
Authors: Luc Bauwens and Jeroen Rombouts
Download Bauwens_Rombouts_EJ.pdf.
Revision of CORE DP 2005/85.
Bayesian clustering of many GARCH models (Econometric Reviews 26,
365-386)
Authors: Luc
Bauwens and Jeroen Rombouts
Download revised version bcluster_Rev1_ER_060530.pdf.
Revision of CORE DP 2003/87.
Author Posting. (c) Taylor & Francis, 2007.
This is the author's version of the work. It is posted here by permission of
Taylor & Francis
for
personal use, not for redistribution. The definitive version was published in
Econometric
Reviews, Volume 26 Issue 2, March 2007 (http://dx.doi.org/10.1080/07474930701220576)
Bayesian analysis of dynamic disequilibrium models: an application to
the Polish credit market (Econometric Reviews 26, 469-486)
Authors: Luc Bauwens
and Michel Lubrano
Download Revision-Dataugbl-Luc2.pdf.
Revision of CORE DP 2006/50.
Author Posting. (c) Taylor & Francis, 2007. This is the author's version of the work. It is posted here by permission of Taylor & Francis
for
personal use, not for redistribution. The definitive version was published in
Econometric
Reviews, Volume 26 Issue 2, March 2007 (http://dx.doi.org/10.1080/07474930701220634)
Multivariate mixed normal conditional
heteroskedasticity (Computational Statistics and Data Analysis 51,
3551-3566)
Authors: Luc
Bauwens, Christian Hafner and Jeroen Rombouts
Download final version: BauHafRom_CSDA_revision2_071006_templ.pdf.
Revision of CORE DP 2006/12.
You may download the published version via the
link http://dx.doi.org/10.1016/j.csda.2006.10.012
General to specific modelling of exchange rate volatility: a forecast
evaluation (CORE
DP 2006/21, forthcoming in the International Journal of Forecasting)
Authors: Luc
Bauwens and Genaro Sucarrat
Download accepted version gets25_IJF.pdf
Regime switching GARCH models (CORE DP 2006/11)
Authors: Luc
Bauwens, Arie Preminger and Jeroen Rombouts
Download revised version RS-GARCH_10.pdf
Intra-daily
FX optimal portfolio allocation (CORE DP 2006/10, forthcoming in Computational Statistics and
Data Analysis)
Authors: Luc Bauwens, E. Rengifo and W. Ben
Omrane
Download 2006-10
Stochastic conditional intensity processes (Journal of Financial Econometrics
4/3, 450-493)
Authors: Luc
Bauwens and Nikolaus Hautsch
Open access published version: (no need for journal subscription):
http://jfec.oxfordjournals.org/cgi/reprint/nbj013?ijkey=adP4V6ETzEkcVn4&keytype=ref
Revised version of CORE DP 2003/103 2003-103pdf.
Multivariate GARCH models: a survey (Journal of
Applied Econometrics, 21/1, 79-109)
Authors: Luc
Bauwens, Sébastien Laurent, and Jeroen Rombouts
Download final version 2003-31-JAEfinal.pdf.
Revision of CORE DP 2003/31 (2003-31ps
or 2003-31pdf.)
Econometric analysis of intra-daily activity on
Author: Luc Bauwens
Download DP version by clicking here.
Exchange rate volatility and the mixture of distribution hypothesis
(Empirical Economics 30/4, 889-911)
Authors: Luc
Bauwens, Dagfinn Rime and
Download loglin13.pdf.
CORE DP 2005/58, almost the same as the published one.
If your institution has access to this journal, you may view and download the
published version via the link: http://dx.doi.org/10.1007/s00181-005-0005-x
Last
revised: November 24, 2009