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person:"Bauwens, Luc"
~type_genre:"Article in journal"
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Search: subject_exact:"Posterior distribution"
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Bauwens, Luc
Tsionas, Efthymios G.
70
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45
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32
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28
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25
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13
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12
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11
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1
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
Saved in:
2
Autoregressive moving average infinite hidden Markov-switching models
Bauwens, Luc
;
Carpantier, Jean-François
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 162-182
Persistent link: https://www.econbiz.de/10011704161
Saved in:
3
A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc
;
De Backer, Bruno
;
Dufays, Arnaud
- In:
Journal of empirical finance
29
(
2014
),
pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
Saved in:
4
Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc
;
Dufays, Arnaud
;
Rombouts, Jeroen V. K.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
Saved in:
5
Theory and inference for a Markov switching GARCH model
Bauwens, Luc
;
Preminger, Arie
;
Rombouts, Jeroen V. K.
- In:
The econometrics journal
13
(
2010
)
2
,
pp. 218-244
Persistent link: https://www.econbiz.de/10003978517
Saved in:
6
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:
7
Bayesian clustering of many GARCH models
Bauwens, Luc
;
Rombouts, Jeroen V. K.
- In:
Econometric reviews
26
(
2007
)
2
,
pp. 365-386
Persistent link: https://www.econbiz.de/10003509134
Saved in:
8
Bayesian inference in dynamic disequilibrium models : an application to the Polish credit market
Bauwens, Luc
;
Lubrano, Michel
- In:
Econometric reviews
26
(
2007
)
2
,
pp. 469-486
Persistent link: https://www.econbiz.de/10003509150
Saved in:
9
Bayesian inference for the mixed conditional heteroskedasticity model
Bauwens, Luc
;
Rombouts, Jeroen V. K.
- In:
The econometrics journal
10
(
2007
)
2
,
pp. 408-425
Persistent link: https://www.econbiz.de/10003560012
Saved in:
10
Recent advances in Bayesian econometrics
Bauwens, Luc
(
contributor
)
-
2004
Persistent link: https://www.econbiz.de/10002361501
Saved in:
11
Bayesian option pricing using asymmetric GARCH models
Bauwens, Luc
;
Lubrano, Michel
- In:
Journal of empirical finance
9
(
2002
)
3
,
pp. 287-319
Persistent link: https://www.econbiz.de/10001705439
Saved in:
12
Bayesian inference on GARCH models using the Gibbs sampler
Bauwens, Luc
;
Lubrano, Michel
- In:
The econometrics journal
1
(
1998
)
1
,
pp. 23-46
Persistent link: https://www.econbiz.de/10001443667
Saved in:
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