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person:"Bauwens, Luc"
~type_genre:"Aufsatz in Zeitschrift"
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11
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Bauwens, Luc
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151
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ECONIS (ZBW)
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1
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
2
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
Saved in:
3
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Saved in:
4
Forecasting comparison of long term component dynamic models for realized covariance matrices
Bauwens, Luc
;
Braione, Manuela
;
Storti, Giuseppe
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 103-134
Persistent link: https://www.econbiz.de/10011592738
Saved in:
5
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc
;
Otranto, Edoardo
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
2
,
pp. 254-268
Persistent link: https://www.econbiz.de/10011691329
Saved in:
6
Multivariate volatility modeling of electricity futures
Bauwens, Luc
;
Hafner, Christian M.
;
Pierret, Diane
- In:
Journal of applied econometrics
28
(
2013
)
5
,
pp. 743-761
Persistent link: https://www.econbiz.de/10010351104
Saved in:
7
General-to-specific modelling of exchange rate volatility : a forecast evaluation
Bauwens, Luc
;
Sucarrat, Genaro
- In:
International journal of forecasting
26
(
2010
)
4
,
pp. 885-907
Persistent link: https://www.econbiz.de/10008807690
Saved in:
8
A component GARCH model with time varying weights
Bauwens, Luc
;
Storti, Giuseppe
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
13
(
2009
)
2
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009513593
Saved in:
9
Multivariate GARCH models : a survey
Bauwens, Luc
;
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
- In:
Journal of applied econometrics
21
(
2006
)
1
,
pp. 79-109
Persistent link: https://www.econbiz.de/10003310013
Saved in:
10
News announcements, market activity and volatility in the euro/dollar foreign exchange market
Bauwens, Luc
;
Ben Omrane, Walid
;
Giot, Pierre
- In:
Journal of international money and finance
24
(
2005
)
7
,
pp. 1180-1125
Persistent link: https://www.econbiz.de/10003210043
Saved in:
11
Exchange rate volatility and the mixture of distribution hypothesis
Bauwens, Luc
;
Rime, Dagfinn
;
Sucarrat, Genaro
- In:
Empirical economics : a journal of the Institute for …
30
(
2005
)
4
,
pp. 889-911
Persistent link: https://www.econbiz.de/10003233824
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