BAUWENS Luc
Born in Bukavu (Congo) on October 5, 1952
Nationality: Belgian
HOME ADDRESS
Route de Blocry, 51
B-1348 Louvain-La-Neuve, Belgium
ph: +32-10-45 50 05
BUSINESS ADDRESS
Center for Operations Research and Econometrics (CORE)
Voie du Roman Pays, 34
B-1348 Louvain-La-Neuve, Belgium
ph: +32-10-47 43 36; fax: +32-10 47 43 01
email:_ luc.bauwens@uclouvain.be
home page: http://www.core.ucl.ac.be/econometrics/bauwens.htm
1975: Licence en Science
Economique, Université de l'Etat à Liège.
1975: Agrégation de l'enseignement secondaire supérieur en science économique
appliquée, Université de l'Etat à Liège.
1976: Maîtrise en Sciences Economiques, Université catholique de Louvain.
1978: Diplôme Spécial en Statistique, Université catholique de Louvain.
1983: Doctorat en Sciences Economiques, Université catholique de Louvain.
-Professor at Université
catholique de Louvain (appointed in February 1991).
President of CORE (2010- )
Research director of CORE (2006-2009).
Chairman, Department of Economics (2000-2003).
Co-director of CORE (1992-1995, 1995-1998).
-Senior Lecturer at EHESS (Ecole des Hautes Etudes en Sciences Sociales),
Marseille (France), September 1987 - September 1991. Affiliated to GREQE (Groupe
de Recherche en Economie Quantitative et Econométrie).
-Senior researcher and part-time Assistant Professor at FUCAM (Facultés
Universitaires Catholiques de Mons, Belgium), December 1984 - August 1987.
-Consultant at The World Bank (Washington DC, USA), September 1983 - September
1984.
-Research assistant at CORE, August 1979 - November 1984 (on leave from
September 1983 to September 1984) and September 1976 - August 1977.
-Economist at Office de Contrôle des Assurances (Bruxelles, Belgium), August 1977
- July 1979.
-Affiliated professor, HEC
Montréal, since April 2008.
-Institute for Monetary and Economic Studies, Bank of Japan, January-March
2004.
-Invited professor at the University of Konstanz (June 2003, May-July 2004, May
2005, May 2006).
-Invited professor at the Johann Wolfgang-Goethe University of Frankfurt
(January 2001).
-Invited part-time researcher at the Tinbergen Institute, Erasmus University,
Rotterdam, Netherlands (January-April 1996).
-Invited professor at the University of Maastricht, Faculty of Economics and
Business Administration.( September 1995).
-Invited professor at the Free University of Brussels (1992-1994).
-Invited professor at the University of Montréal (March 1990).
-Invited researcher at the Econometric Institute, Erasmus University,
Rotterdam, Netherlands (August 1988).
-Fellow of National Science Foundation, Netherlands (June 1988).
-Invited part-time researcher at the Econometric Institute, Erasmus University,
Rotterdam, Netherlands (July-December 1987).
-Invited professor at Université d'Aix-Marseille II, France (April 1987).
-CORE member (November 1986 - June 1988).
-Invited professor at Faculté
catholique de Lille (1985-1986), and at IESEG (Institut d'Economie Scientifique
et de Gestion), Faculté catholique de Lille (1986-1987), France.
-Invited professor at Université catholique de Louvain (1986-1987).
-Econometrics (theoretical
and applied, at introductory, intermediate and advanced level); Statistics; Microeconomics.
-Econometrics Seminar at CORE.
1-Fatemeh Shadman-Mehta (An
empirical study of the determinants of real wages and equilibrium unemployment:
the Phillips curve revisited, February 1996). Invited professor (part time) at
the Université catholique de Louvain.
2-Jose Roberto Lopez-Calix (Economic policy with dual exchange rate - the case
of El Salvador, June 1996). Economist at The World Bank.
3-Pierre Giot (Econometric studies on the formation of prices in financial and
commodity markets, December 1999). Professor* at the University of Namur.
4-David Veredas (Econometric modelling of financial durations, September
2002). Professor* at the Université Libre de Bruxelles.
5-Jeroen Rombouts (Advances in the specification and the estimation of
multivariate GARCH models, April
2004). Professor* at
HEC Montréal.
6-Antonio Cosma (Non parametric analysis for risk management and market
microstructure, December 2004). Professor* at the University of Luxembourg.
7-Erick Rengifo (Dynamic
count data models: applications to market microstructure, June 2005). Professor* at Fordham University.
8-Helena Beltran-Lopez (Modelling liquidity in automated auction markets,
September 2005). Jobs in the private sector.
9-Genaro Sucarrat (Essays in empirical modelling of exchange rates, September
2006). Professor* at the Norwegian School of Management.
10-Walid Ben Omrane (Volatility dynamics around information: empirical evidence
from the Euro/Dollar currency market, November 2006). Assistant professor at Brock
University.
11-Diego Salzman (Emotions, beliefs and illusionary finance, June 2007). Senior Lecturer*
at London South Bank University.
12-Fausto Galli (Essays on econometrics of high-frequency data, September 2009).
Assistant professor at University of Salerno.
13-Andrea Silvestrini (Essays on
temporal aggregation of econometric models, June 2009). Co-supervision with
David Veredas. Economist at the Bank of Italy.
14-Alfonso Valdesogo
(Multivariate volatility using copulas, September 2009). Co-supervision with
Andreas Heinen. Assistant Professor at U. Carlos III Madrid.
15-Besik Samkharadze, Ph. D. student at UCL.
16-Jean-François Carpantier, Ph. D. student at UCL (Empirical Essays on
Commodity Prices, expected in 2012).
17-Arnaud Dufays, Ph. D. student at UCL.
18-Diane Pierret, Ph. D. student at UCL.
* with tenure
Leonard J. Savage Thesis
Award, 1984, for (B1).
Francqui Chair
at the University of Namur, 2005-2006 (Volatility and Risk Management).
(B4) Econometric Modelling of
Stock Market Intraday Activity (with P. Giot)
Kluwer Academic Publishers, 2001.
(B3) Bayesian
Inference in Dynamic Econometric Models (with M. Lubrano and J.-F. Richard).
Oxford University Press, 1999.
(B2) Changing Trade Patterns in
Manufactured Goods: an Econometric Investigation (with B. Balassa).
North-Holland, 1988.
(B1) Bayesian Full Information
Analysis of Simultaneous Equation Models Using Integration by Monte Carlo.
Springer Verlag, 1984.
(P43)
Multivariate
volatility modelling of electricity futures (with C. Hafner and Diane
Pierret).
Forthcoming
in Journal of Applied Econometrics.
Revision of CORE DP 2011/11.
(P42)
The resistible decline of European
science (with G. Mion and J-F.
Thisse).
Recherches Economiques de Louvain, 77, 5-31, 2011. Revision of CORE DP 2007/92.
(P41)
On marginal likelihood computation
in change-point models (with J. Rombouts).
Forthcoming
in Computational Statistics and Data
Analysis. Revision of CORE DP 2009/61.
(P40)
Theory and inference for a Markov
switching GARCH model (with A. Preminger and J. Rombouts).
The Econometrics Journal 13, 218-244, 2010. Revision of CORE DP 2007/55.
(P39)
Intra-daily
FX optimal portfolio allocation (with E. Rengifo and W. Ben Omrane)
Computational Statistics and Data
Analysis 54/11, 2400-2418, 2010. Revision of CORE DP 2006/10.
(P38) A component GARCH model with time varying
weights (with
G. Storti).
Studies in Nonlinear Dynamics &
Econometrics 13/2,
article 1, 2009. Revision of CORE DP 2007/19.
(P37)
General
to specific modelling of exchange rate volatility: a forecast evaluation
(with G. Sucarrat).
International Journal of Forecasting
26, 885-907, 2010. Revision of CORE DP 2006/21.
(P36)
Efficient importance sampling for ML
estimation of SCD models (with F. Galli).
Computational Statistics and Data
Analysis 53,
1974-1992, 2009. Revision of CORE DP 2007/53.
(P35) The
moments of Log-ACD models (with F. Galli and P. Giot).
Quantitative and Qualitative Analysis in
Social Sciences 2, 1-28, 2008. Revision of CORE DP 2003/11.
(P34) Bayesian
inference for the mixed conditional heteroskedasticity model (with J.
Rombouts)
The Econometrics Journal 10, 408-425,
2007. Revision of CORE DP 2005/85.
(P33) Bayesian inference in dynamic
disequilibrium models: an application to the Polish credit market (with M. Lubrano).
Econometric Reviews 26, 469-486,
2007. Revision of CORE DP 2006/50.
(P32) Bayesian clustering of many GARCH
models (with J. Rombouts).
Econometric Reviews 26, 365-386,
2007. Revision of CORE DP 2003/87.
(P31)
Multivariate mixed normal
conditional heteroskedasticity (with J.
Rombouts and C. Hafner)
Computational Statistics and Data
Analysis 51, 3551-3566, 2007. Revised version of CORE DP 2006/12.
(P30) Stochastic
conditional intensity processes (with N. Hautsch).
Journal of Financial Econometrics 4/3,
450-493, 2006. Revision of CORE DP 2003/103.
(P29) Multivariate
GARCH models: a survey (with S. Laurent and J. Rombouts).
Journal of Applied Econometrics 21/1, 79-109, 2006. Revision of CORE
DP 2003/31.
(P28) Econometric
analysis of intra-daily activity on Tokyo Stock Exchange
Monetary and Economic Studies 24/1, 1-24, 2006.
(P27) Exchange
rate volatility and the mixture of distribution hypothesis (with D. Rime
and G. Sucarrat).
Empirical Economics 30/4, 889-911, 2006. Revision of CORE DP 2005/58.
Reprinted in
Luc Bauwens, D. Veredas,
and W. Pohlmeier (Eds.), High Frequency
Financial Econometrics: Recent Developments, Physica Verlag, 2008.
(P26) News
announcements, market activity and volatility in the euro/dollar foreign
exchange market (with W. Ben Omrane and P. Giot).
Journal of International Money and Finance 24, 1108-1125, 2005.
Revision of CORE DP 2003/29.
(P25) A new class of multivariate skew
densities, with application to GARCH models (with S. Laurent).
Journal of Business and Economic Statistics 23/3, 346-354, 2005.
Revision of CORE DP 2002/20.
(P24) Adaptive
radial-based direction sampling: a class of flexible and robust Monte Carlo
integration methods (with C. Bos, R. van Oest, and H.K. van Dijk).
Journal of Econometrics 123/2, 201-225, 2004. Revision of CORE DP
9957.
(P23) A
comparison of financial duration models via density forecasts (with P.
Giot, J. Grammig, and D. Veredas).
International Journal of Forecasting, 20, 589-609, 2004. Revision of
CORE DP 2000/60.
(P22) The
stochastic conditional duration model: a latent factor model for the analysis
of financial durations (with D. Veredas).
Journal of Econometrics, 119/2, 381-412, 2004. Revision of CORE DP
9958.
(P21) Ranking European economics departments:
a statistical approach (with A. Kirman, M. Lubrano, and C. Protopopescu)
Journal of the European Economic Association, 1(6), 1367-1401, 2003.
Revision of CORE DP 2003/50.
(P20) Asymmetric
ACD models: introducing price information in ACD models with a two-state
transition model (with P. Giot).
Empirical Economics 28(4), 709-731, 2003. Revision of CORE DP 9844.
(P19) Bayesian option pricing
using asymmetric GARCH models (with M. Lubrano).
Journal of Empirical Finance 9, 321-342, 2002. Revision of CORE DP
9759.
(P18) The logarithmic ACD model: an application
to the bid-ask quote process of three NYSE stocks (with P. Giot).
Annales d'Economie et de Statistique
60, 117-149, 2000. Revision of CORE DP 9789.
(P17) Art experts and auctions: are pre-sale
estimates unbiased and fully informative? (with V. Ginsburgh).
Recherches Economiques de Louvain/Louvain Economic Review 66, 131-144,
2000. Revision of CORE
DP 9438.
(P16) Bayesian
inference on GARCH models using the Gibbs sampler (with M. Lubrano).
The Econometrics Journal 1, C23-C46, 1998. Revision of CORE DP
9627.
(P15) A Gibbs sampling approach to
cointegration (with P. Giot).
Computational Statistics 13, 339-368, 1998. Revision of CORE DP 9716.
(P14) Estimating end-use demand: a
Bayesian approach (with D. Fiebig and M. Steel).
Journal of Business and Economic Statistics 12, 221-231, 1994.
(P13) The pathology of the natural
conjugate prior density in the regression model.
Annales d'Economie et de Statistique 23, 49-64, 1991.
(P12) The law of large (small?) numbers
and the demand for insurance (with L. Eeckhoudt, E. Briys and P. Scarmure).
The Journal of Risk and Insurance 58, 438-451, 1991.
(P11) Bayesian diagnostics for
heterogeneity (with M. Lubrano).
Annales d'Economie et de Statistique 20/21, 17-40, 1991.
(P10) The determinants of intra-European
trade in manufactured goods (with B. Balassa).
European Economic Review, 32, 1421-1437, 1988.
Reprinted in A. Jacquemin and A. Sapir (Eds.), The European Internal
Market: Trade and Competition. Oxford University Press, 1989.
(P9) Inter-industry and intra-industry
specialization in manufactured goods (with B. Balassa).
Weltwirtschaftliches Archiv 124, 1-13, 1988.
(P8) Bayesian specification analysis and
estimation of simultaneous equation models using Monte Carlo Methods (with A.
Zellner and H.K. van Dijk).
Journal of
Econometrics 38, 39-72,
1988.
(P7) Théorie de l'information et diagnostic
médical (with L. Eeckhoudt and T. Lebrun).
L'Actualité Economique 63, 243-254, 1987.
(P6) Intra-industry specialization in a
multi-country and multi-industry framework (with B. Balassa).
The Economic Journal 97, 923-939, 1987.
(P5) La valeur diagnostique de la
scintigraphie au Thallium 201 dans la détermination de la malignité du nodule
froid thyroïdien (with L. Eeckhoudt et alii).
Bulletin du cancer 74, 88-94, 1987.
(P4) De l'intérêt des méthodes d'évaluation
dans la décision et la pratique du médecin (with T. Lebrun et alii).
Journal d'Economie
Médicale 5,
183-199, 1987.
(P3) A poly-t random variable generator,
with application to Monte Carlo integration (with J.-F. Richard).
Journal of Econometrics 29, 19-46, 1985.
(P2) An export model for the Belgian
industry (with G. d'Alcantara).
European Economic Review 22, 265-276, 1983.
(P1) Posterior moments of elasticities
between real wages and unemployment in Belgium : an application of Bayesian
inference by Monte Carlo integration.
Recherches Economiques de Louvain 49, 47-59, 1983.
(C9) Bayesian
Methods (with D. Korobilis).
In: N. Hashimzade and M. Thornton (Eds.), Handbook of Research Methods and Applications on Empirical
Macroeconomics,
Edward Elgar Publishing, forthcoming. Revision of CORE DP 2011/61.
(C8) Volatility
Models (with C. Hafner and S. Laurent).
In: L. Bauwens, C. Hafner and S. Laurent
(Eds.), Handbook of Volatility Models and
their Applications,
John Wiley & Sons, forthcoming in 2012.
Revision of CORE DP 2011/58.
(C7) Modelling
financial high frequency data with point processes (with N. Hautsch).
In: Torben G. Andersen, Richard A. Davis, Jens-Peter Kreiss, Thomas
Mikosch (Eds.), Handbook of Financial
Time Series.
Springer Verlag, 2009. Available as CORE DP 2006/80.
(C6) Econometrics
(with J. Rombouts).
In: J. Gentle, W. Haerdle and Y. Mori (Eds.), Handbook of Computational
Statistics.
Springer Verlag, 2004.
(C5) Trends and breaking points of the Bayesian
econometric literature (with M. Lubrano).
In: A. Kirman and L.-A. G_rard-Varet (Eds.), Economics beyond the
Millennium.
Oxford University Press, 1999 (pp 273-299).
(C4) Identification restrictions and
posterior densities in cointegrated Gaussian VAR systems (with M. Lubrano).
In: T.B. Fomby (Ed.), Advances in Econometrics, Vol. 11B, Bayesian Methods
Applied to Time Series Data.
JAI Press, 1996 (pp 3-28).
(C3) Approximate HPD regions for testing
residual autocorrelation using augmented regressions (with A. Rasquero).
In: W. Haerdle and L. Simar (Eds.), Computer Intensive Methods in
Statistics.
Physica Verlag, 1993 (pp 47-61).
(C2) Bayesian limited information
analysis revisited (with H.K. van Dijk).
In: J.J. Gabszewicz, J.-F. Richard and L.A. Wolsey (Eds), Economic Decision
Making: Games, Econometrics and Optimisation.
North-Holland, 1990 (pp 385-424).
(C1) Comparative advantage in manufactured
goods in a multi-country, multi-commodity, and multi-factor model(with B. Balassa).
In: T. Peeters, P. Praet and P. Reding (Eds.), International Trade and
Exchange Rates in the Late Eighties.
North-Holland, 1985 (pp 31-52).
(O10)
Editors' introduction: The Econometrics of Industrial Organization (with A.
Escribano and M. Lubrano).
Journal of Applied Econometrics 22/7,
1153-1156, 2007.
(O9) Editors'
introduction, special issue of Empirical Economics on "High
Frequency Financial Econometrics" (with D. Veredas and W. Pohlmeier).
Empirical Economics 30/4, 791-794, 2006. Reprinted in slightly extended
form in Luc Bauwens, D. Veredas, and W. Pohlmeier (Eds.),
High Frequency Financial Econometrics: Recent Developments, Physica Verlag, 2008.
(O8) Editors' introduction: Causality
and Exogeneity in Econometrics (with P. Boswijk and J-P. Urbain).
Journal of Econometrics, 132/2 ,305-309., 2006.
(O7) Editors' introduction: Recent
advances in Bayesian Econometrics (with M. Lubrano and H. van Dijk).
Journal of Econometrics 123/2, 197-199, 2004.
(O6) Adaptive polar sampling: a new MCMC
method for ill-behaved posterior surfaces (with C. Bos and H.K. van Dijk).
In: W. Jansen and J.G.
Bethlehem (Eds.) COMPSTAT 2000 Proceedings in Computational Statistics.
Heidelberg: Physisca Verlag, 2000 (pp 13-14).
(O5) Modelling
and predicting price movements in stock markets with autoregressive conditional
duration models (with P. Giot).
A simplified and reduced
version of CORE DP 9844 - see (P20).
Bulletin EU & US Inflation and Macroeconomic Analysis, Instituto
Flores de Lemus de Estudios Avanzados en Economia N.65, 49-56, February 2000.
(O4) Recent
developments in the econometrics of financial markets using intra-day data (with
P. Giot).
Summary of a conference given on June 3, 1999, at Instituto Flores de Lemus de
Estudios Avanzados en Economia, Univ. Carlos III, Madrid.
Bulletin EU & US Inflation and Macroeconomic Analysis, Instituto
Flores de Lemus de Estudios Avanzados en Economia N.57, 60-70, June 1999.
(O3) Editors'
introduction: first riverboat conference on Bayesian econometrics and
statistics (with W. Polasek and H.K. van Dijk).
Journal of Econometrics 75, 1-5, 1996.
(O2) Editors' introduction: Bayesian and
classical econometric modeling of time series (with M. Lubrano).
Journal of Econometrics 69, 1-4, 1995.
(O1) Cost-effectiveness, cost-benefit,
cost-utility as related to medical decision making and practice: some considerations
from health economics (with T. Lebrun et alii).
In: Clinical Decision Analysis in Medical Care and Teaching,
Proceedings of the First Congress of the European Society for Medical Decision
Making. Leiden, 1986. North- Holland, 1985 (pp 31-52).
L. Bauwens, C.
Hafner, and S. Laurent (Eds.), Handbook of Volatility
Models and Their Applications. Wiley, 2012 (in press).
(W12)
Estimating and forecasting structural breaks in
financial time series
(with
A. Dufays and B. de Backer). CORE DP 2011/55.
(W11)
Marginal likelihood for Markov-switching and
change-point GARCH models
(with
A. Dufays and J. Rombouts). CORE DP 2011/13.
(W10)
The contribution of structural break models to
forecasting macroeconomic series
(with
G. Koop, D. Korobilis, and J. Rombouts). Revision of CORE DP 2011/3.
(W9) Regime
switching GARCH models
(with
A. Preminger and J. Rombouts). Revised version of CORE DP 2006/11.
(W7) The
moments of first-order Log-ACD models
(with P. Giot). Manuscript, June 2000. Revised and published, see (P35).
(W6) Identifying
long-run behaviour with non-stationary data
(with J. Hunter). CORE DP 2000/43.
(W5) Adaptive
polar sampling: a class of flexible and robust Monte Carlo integration methods
(with C. Bos, R. van Oest, and H.K. van Dijk).
Extensive revision of CORE DP 9957 and of Tinbergen Institute Discussion Paper
98-071/4. Published as (P24).
(W4) Bivariate
modelling of interest rates with a cointegrated VAR-GARCH model
(with D. Deprins and J.-P. Vandeuren). CORE DP 9780.
(W3) On the weak consistency of the
quasi-maximum likelihood estimator in VAR models
with BEKK-GARCH(1,q) errors,
(with J.-P. Vandeuren). CORE DP 9538.
(W2) A presentation of BIP (Bayesian
Interactive Program)
(with F. Aprahamian and M. Lubrano). Mimeo, February 1990.
(W1) Medical decision making and the
concern for safety: an application to the solitary pulmonary nodule problem
(with M. Beuthe and L. Eeckhoudt). Mimeo, 1986.
(R4) Economic
research in Belgian universities (1994-1999)
Mimeo. April 2001.
(A summary report of this paper was published in De Financieel Economische
Tijd of May 4, 2001).
(R3) Internal evaluation report on
teaching of economics at UCL, prepared for the external evaluation of the
department of economics held in February 2000.
October 1999.
(R2) A new
method to rank university research and researchers in economics in Belgium
Mimeo, February 1999.
(R1) Economic
research in Belgian universities (1993-1997)
Mimeo, November 1998.
(A summary report of this paper was published in De Financieel Economische
Tijd of February 16, 1999).
-Associate editor of_ International
Econometric Review, formerly Eurasian
Review of Econometrics (since 2006).
-Member of the editorial board of the Journal
of Applied Econometrics (since 2004).
-Associate editor of the Journal
of Financial Econometrics (since 2001).
-Member of the
editorial board of Economics Research International (since 2010).
-Associate editor of Risk Letters
(since 2005).
-Associate editor of Empirical
Economics (2001-2009).
-Associate editor of Computational
Statistics (1992-2008).
-Guest editor of special issues of several journals (see Editorials,
Proceedings and Other Papers in Publication List).
-ARC Funds, Université
catholique de Louvain, 2007-2012 (700,000 euros, joint with C. Hafner, S. Van
Bellegem, and R. von Sachs): Econometric Modelling of Multivariate
Financial Time Series.
-Special Research
Funds, Universit_ catholique de Louvain, 2005-2007 (125,000 euros, joint with
Rainer von Sachs): Multivariate Time Series Modelling and Estimation.
-Sponsoring from the National Bank of Belgium for "Dynamic Count Data
Models: Application to Financial Market Microstructure", 2004-2005 (22,000
euros).
-Research and training network "Microstructure of Financial Markets in
Europe", 2002-2006 (192,000 euros). With Aarhus, Carlos III Madrid,
Konstanz, Oxford, Tilburg, and Paris (CREST).
-"Ranking
Economics Departments throughout Europe", winning bid for the European
Economic Association, 2000-2002 (30,000 euros), with Michel Lubrano and Alan
Kirman. See (P21).
-Special Research Funds, Universit catholique de Louvain, 1999-2001 (1,800,000
BF): Econometrics of the Functioning of Stock Markets.
-Human Capital and Mobility Programme of the European Community, 1995-1998
(50,000 Ecus): Econometric Inference Using Simulation Techniques. With
CREST, GREQE, CORE, Carlos III Madrid, Oxford, and the European University
Institute.
-Scientific Development Fund, Université catholique de Louvain, 1992-1994
(1,450,000 BF): Econometric Methods and Applications.
-FNRS, 1991-1992 (200,000 BF): Econometric Modelling from a Bayesian Viewpoint.
-Belgian-French Cooperation CGRI-FNRS/CNRS, 1992-1994: Bayesian Econometrics.
-Since 1991, scientific supervisor of several fellowships of the EC programs
Human Capital and Mobility and Training and Mobility of Researchers.
-Consulting in econometrics
for Electrabel, Euroclear, El Paso, SWIFT.
-External expert for FCAR (Qu_bec), NWO (Netherlands), FWF (Austria), NSF
(USA), and the European Commission.
-Member of the scientific committee for the evaluation of research in economics
in Belgium, for De Financieel Economische Tijd (as of 1998). See other papers (R1 and R2).
-Conseil Central de l'Economie, Brussels, yearly since 1997 (prediction of
effective annual working time in Belgium, France, Germany, and the
Netherlands).
-European Seminar on Bayesian Econometrics, Brussels, November 4-5, 2011.
-Member of the program
committee for the 3nd International Conference on Computational and
Financial Econometrics (CFE’09), 29-31 October 2009, Limassol, Cyprus.
-Member of the program committee for the SoFiE 2009 European Conference, June
10-12 2009, Geneva, Switzerland.
-Member of the program committee for the 2nd International
Conference on Computational and Financial Econometrics (CFE’08), 19-21 June
2008, Neuchâtel, Switzerland.
-Member of the program committee for the International Conference on High
Frequency Finance, University of Konstanz, May 18-19, 2006.
-Chairman of the program committee of the 17th EC^2 Conference, Rotterdam,
December 15-16, 2006..
-Member of the program committee of the 16th (Istanbul) and 18th
(Faro) EC^2 Conferences.
-EFA (European Finance Association) meeting in Maastricht, member of the
program committee (2004).
-Coordinator of the series of European Conferences in Quantitative Economics
and Econometrics (EC^2) as of 2001.
-Member of the program committee and organizer of the 12th EC^2 Conference,
Louvain La Neuve, December 2001.
-Recent Advances in Bayesian Econometrics, Marseille, June 14-15, 2001.
See (O8).
-PAI Conference on Financial Econometrics, Leuven, January 2001.
-Fifth Workshop on Finance and Econometrics, FUSL, December 1997.
-XVIII-th Meeting of Belgian and French Statisticians, CORE and Institute of
Statistics, November 1997.
-ESEM (Econometric Society European Meeting): member of the program committee
for Bologna (1987), Istanbul (1996), Madrid (2004).
-First Workshop on Finance and Econometrics, CORE, March 1994.
-First Riverboat (Basel-Amsterdam) Conference on Bayesian Econometrics and
Statistics, May 1993. See (O3).
-International Conference on Bayesian and Classical Econometric Modelling of
Time Series, Marseille, June 1992. See (O2).
Numbers and letters between
parentheses refer to the publication list. Presentations of papers by my
co-authors are not included in the following list.
* means that I was invited
speaker in a conference, workshop or summer school.
-*Brussels, November 2011, European Seminar on Bayesian Econometrics (W11
& W12).
-Aarhus, October 2011, CREATES seminar.
-*Princeton, October 2011, Conference on Measuring Risk, Bendheim Center for Finance.
-*Louvain-La-Neuve, May 2011, Workshop on
Econometric and Statistical Modelling of Multivariate Time Series.
-Sassari, April
2011, Economics Seminar.
-*Brussels,
March 2011, Latest Developments in Financial Econometrics, Workshop at ECARES
(W11).
-Sassari, April
2011, Economics Seminar (W10).
-Salerno, July 2010,
Economics and Statistics Seminar (W10).
-Rome, July 2010, Bank of
Italy, Research Seminar in Economics and International Relations (W10).
-*Rimini,
June 2010, The
Rimini Conference in Economics and Finance: Bayesian
Econometric Workshop
Guest Lecture (W10).
-Marseille, June 2010,
GREQAM Statistics and Econometrics Seminar (W10).
-Limassol, October 2009, 3rd Conference on
Computational and Financial Econometrics (CFE’09) (P41).
-Oxford, October 2009, Nuffield College (P41).
-Taipei, April 2009, Academica Sinica (P38).
-Xiamen, March 2009, Xiamen University, WISE (P38).
-Hangzhou, March 2009, Zhejiang University, College of
Economics (P38).
-Athens, October 2008, University of Piraeus.
-*Konstanz, October
2008, International Conference on Price, Liquidity, and Credit Risks .
-Konstanz, July 2008, Faculty of Economics Seminar
(P42).
-*Marseille, April
2008, Inference and Tests in Econometrics – A Tribute to Russell Davidson
(P40).
-University of Navarra, Pamplona, May 2008 (P42).
-Erasmus University Rotterdam, April 2008 (P42).
-University of Gent, March 2008 (P42).
-ECORE seminar, March 2008 (P42).
-KULeuven, February 2008 (P42)..
-Tor Vergata University, Rome, February 2008 (P42).
-Marseille, January 2008, GREQAM Statistics and Econometrics Seminar (P42).
-Paris School of Economics, January 2008 (P42).
-University of St Andrews, Scotland, November 2007
(P38).
-University of Strathclyde, Glasgow, November 2007
(P40).
-HEC Montréal, September 2007, (P40).
-Budapest, August 2007, ESEM (P38).
-Montréal, June 2007, 13th International Conference on Computing in Economics
and Finance (P38).
-Berlin, May 2007, Quantitative Finance Seminar, Humboldt University (P38).
-Aarhus, April 2007, CREATES seminar (P38).
-Brussels, December 2006, Econometrics and Statistics Seminar at ECARES (W9).
-*Stockholm, September 2006, Sveriges Riksbank
Workshop “Bayesian Econometric Methodology” (W9).
-*London, June 2006, Brunel University (W9).
-Konstanz, May 2006, Faculty of Economics Seminar (P29).
-Konstanz, May 2006, International Conference on High Frequency Finance (W9).
-*Salerno, May 2006, Lecture on “Multivariate
Volatility Prediction”, at the Summer School of the Italian Statistical Society
(P29).
-*Venice, November 2005, Universita Ca Foscari,
Departemnt of Economics, short course on multivariate GARCH models (P29).
-*Amsterdam, October 2005, Workshop on Financial
Econometrics, Dutch Statistical Society (P30).
-*University of Helsinki, August 2005, RUESG
Workshop in Financial Econometrics (P30).
-York, June 2005, University of York, Statistics/Econometrics Seminar (P30).
-*Gent, May 2004, International Symposium on
Data Mining (Modelling Financial Point Processes).
-Bergen, April 2004, Norwegian School of Economics and Business Administration (P26).
-Singapore, April 2004, Singapore Management University (P30).
-Tokyo, March 2004, Hitotsubashi University (P30).
-Tokyo, January 2004, Institute for Monetary and Economic Studies, Bank of
Japan (P28).
-Sendai, March 2004, Tohoku, Department of Economics (P25).
-Nagoya, March 2004, Nagoya University, Department of Economics (P29).
-*Tokyo, February 2004, International Symposium
on Financial Time Series, Tokyo Metropolitan University (P32).
-Sapporo, February 2004, Hokkaido University (P26).
-Tokyo, January 2004, Institute for Monetary and Economic Studies, Bank of
Japan (Modelling Financial Point Processes).
-Tokyo, January 2004, Applied Statistics Seminar, University of Tokyo (P30).
-Berlin, November 2003, Quantitative Finance Seminar, Humboldt
University (P32).
-Marseille, November 2003, Statistics and Econometrics Seminar
(GREQAM) (P32).
-Linz, September 2003, Econometric Time-Series Analysis (P32) and (P30).
-*Aix-Marseille, September 2003, Ecole Doctorale
N° 372 de Sciences Economique et de Gestion and European Doctorate Group in Economics
(Course on Modelling Financial Point Processes).
-*Ankara, September 2003, ERC/METU International
Conference in Economics VII (P30).
-Stockholm, August 2003, ESEM (P30).
-*Berlin, August 2003, 54th session ISI, invited
paper in the session `Use of statistics in the financial markets' (P30).
-Istanbul, May 2003, Istanbul Bilgi University (P29).
-Louvain-La-Neuve, March 2003, Joint Econometrics and Statistics Seminar (P30).
-Rome, March 2003, Ente per gli Studi Monetari bancari et Finanziari Luigi
Einaudi (P25).
-Marseille, January 2003, Statistics and Econometrics Seminar (GREQAM) (P30).
-Toulouse, January 2003, Econometrics day on "Labour Market and
Finance" (P30).
-Bologna, December 2002, EC^2 meeting (European Conference Series in
Quantitative Economics and Econometrics): Model Selection and Evaluation (P30).
-Leuven, October 2002, Department of Economics, Econometrics Workshop (P25).
-Venice, August 2002, ESEM (P25).
-*Tokyo, January 2002, The Institute of
Statistical Mathematics, 3rd International Symposium on Frontiers of Time
Series Modelling (P35).
-*Munich, October 2001, SFB 386 Workshop
"Recent Developments and Applications in the Statistical Analysis of
Discrete Data Structures" (P35).
-Lausanne, August 2001, ESEM (P35).
-Bristol, July 2001, ESRC Econometric Study Group annual conference (P23).
-*Konstanz, October 2000, Conference on
Intertemporal Finance (P23).
-Seattle, August 2000, 8th World Congress of the Econometric Society (P23).
-Konstanz, July 2000, Center of Financial Economics (P22).
-Stockholm, May 2000, Stockholm School of Economics (P23).
-Madrid, December 1999, EC^2 meeting (European Conference Series in
Quantitative Economics and Econometrics): Financial Econometrics (P20) and (P22).
-Brussels, November 1999, Rencontre Franco-Belge de Statisticiens (P22).
-Rotterdam, June 1999, Conference on Inference and Decision-making (P20).
-Madrid, June 1999, University Carlos III, research seminar (P22), and conference at Institute Flores
de Lemus (O4).
-London, May 1999, Brunel University, (P22).
-Francfort, February 1999, J.W. Goethe University (P20).
-Berlin, August 1998, ESEM (sesssion chairman).
-Paris, Symposium on Microstructure and High Frequency Data, December 1998 (P20), and invited discussant
-*Bilbao, Workshop in Time-Series and
Econometrics, June 1998 (P20) and (P18).
-London, May 1998, Brunel University, (P18).
-Maastricht, March 1998 (P18).
-Toulouse, March 1998, GREMAQ (P18).
-Paris, January 1998, CREST Statistics Seminar (P18).
-Toulouse, August 1997, (ESEM) (session chairman).
-*Krakow, May 1997, Krakow Workshop in Bayesian
Econometrics and Statistics, (P15) and (P16).
-Louvain-La-Neuve, March 1997, Econometrics Seminar, CORE (P19).
-Istanbul, August 1996, ESEM (P15).
-Berlin, April 1996, Humboldt University (P16).
-Rotterdam, February 1996, Tinbergen Institute (P16).
-Aarhus, December 1995, EC^2 meeting: Non-linear time-series models (W3).
-Toronto, November 1995, Econometrics Workshop (P16).
-Princeton, October 1995, Econometrics Workshop (W3).
-Antwerp, March 1995, UFSIA Doctoral Seminar (P17).
-Marseille, June 1994, GREQE Seminar (P17).
-Louvain-La-Neuve, February 1994, Econometrics Seminar, CORE (C4).
-Oxford, December 1993, EC^2 meeting: Cointegration and Dynamics in Economics (C4).
-Uppsala, August 1993, ESEM (C4).
-Basel-Amsterdam, May 1993, First Riverboat Conference on Bayesian Econometrics
and Statistics (C4).
-Marseille, April 1993, GREQE Seminar (C4).
-Amsterdam, March 1993, Econometrics Seminar (C4).
-*Marseille, September 1992, Conference for the
ten years of GREQE: "Economics, the next ten years" (C5).
-Brussels, August 1992, ESEM, (C3) and (P14).
-Louvain-La-Neuve, November 1991, Rencontre Franco-Belge de Statisticiens (C3).
-Tilburg, September 1990, Econometrics Seminar, CentER (P11).
-Barcelone, September 1990, 6th World Congress of the Econometric Society (P11).
-Marseille, May 1990, GREQE Econometrics Workshop (P13).
-Rotterdam, May 1990, Seminar of the Econometric Institute (P13).
-Montréal, March 1990, Econometrics Seminar, CRDE (P13).
-Paris, February 1990, Franco-British Colloquium "Recent Developments in
Econometrics" (W2).
-Paris, June 1989, International Conference on Heterogeneity in Econometrics,
INSEE (P11).
-Marseille, June 1989, GREQE Econometrics Workshop (P11).
-Paris, November 1988, Malinvaud Seminar, INSEE (P8)
-Louvain-La-Neuve, October 1988, Econometrics Seminar, CORE (C2).
-Tilburg, September 1988, Econometrics Seminar, CentER (P8)
-Bologna, September 1988, ESEM (P8)
-Oxford, August 1988, International Seminar on International Trade, organized
by the NBER and the CEPR (invited discussant).
-Vienna, March 1988, Congress of the Confederation of European Economic
Associations (invited discussant).
-Toulouse, February 1988, Seminar of GREMAQ (P8)
-Toledo, December 1987, ASSET Conference (P8)
-Marseille, December 1987, GREQE Seminar (P8)
-Rotterdam, November 1987, Seminar of the Econometric Institute (P8)
-Louvain-La-Neuve, February 1987, Econometrics Seminar, CORE (P8)
-Charleroi, January 1987, Septième Congrès des Economistes Belges de Langue
Française: rapporteur de la commission "Dépenses Publiques et Niveaux de
Vie".
-Rouen, November 1986, Rencontre Franco-Belge de Statisticiens (P8).
-Marseille, June 1986, GREQE Seminar.
-London, November 1985, Computer Workshop of the Royal College of Physicians (P5).
-Namur, June 1985, Conference on International Trade and Exchange Rates in the
Late Eighties (C1).
-Bruxelles, April 1985, Seminar of CEME (P9).
-Versailles, January 1985, European Winter Meeting of the Econometric Society
(by invitation only) (P3).
-Warwick, November 1984, Seminar of the Department of Economics (P6).
-Louvain-La-Neuve, November 1984, Econometrics Seminar, CORE (P6).
-Rotterdam, February 1983, Seminar of the Econometrics Institute (P3).
-Louvain-La-Neuve, December 1982, Econometrics Seminar, CORE (P3).
-Dublin, September 1982, ESEM (P3).
-Paris, May 1982, ENSAE (P3).
-Louvain-La-Neuve, September 1979, Econometrics Seminar, CORE (P2).
-Louvain-La-Neuve, October 1977, Econometrics Seminar, CORE (survey of Monte
Carlo integration). (P2)