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Stochastic conditional intensity processes
BAUWENS, Luc; HAUTSCH, Nikolaus - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926102
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Stochastic conditional intensity processes
BAUWENS, Luc; HAUTSCH, Nikolaus - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010675014
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Stochastic Conditional Intensity Processes
Bauwens, Luc; Hautsch, Nikolaus - In: Journal of Financial Econometrics 4 (2006) 3, pp. 450-493
In this article, we introduce the so-called stochastic conditional intensity (SCI) model by extending Russell's (1999) autoregressive conditional intensity (ACI) model by a latent common dynamic factor that jointly drives the individual intensity components. We show by simulations that the...
Persistent link: https://www.econbiz.de/10005564848
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A 1-1 poly-t random variable generator with application to Monte Carlo integration
BAUWENS, Luc; RICHARD, Jean-François - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926323
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An export model for the Belgian industry
BAUWENS, Luc; d'ALCANTARA, Gonzague - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926430
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Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market
BAUWENS, Luc; LUBRANO, Michel - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926473
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On marginal likelihood computation in change-point models
BAUWENS, Luc; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926479
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Exchange rate volatility and the mixture of distribution hypothesis
BAUWENS, Luc; RIME, Dagfinn; SUCARRAT, Genaro - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926630
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Bayesian inference for the mixed conditional heteroskedasticity model
BAUWENS, Luc; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926803
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Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
BAUWENS, Luc; BOS, Charles S.; DIJK, Herman K. VAN; … - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010927083