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A new class of multivariate skew densities, with application to generalized autoregressive conditionalheteroscedasticity models

Bauwens, Luc; Laurent, Sébastien - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 3, pp. 346-354

Persistent link: https://www.econbiz.de/10003013029

Multivariate GARCH Models : A Survey

Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V. K. - 2004

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and the main areas of application of these models in financial econometrics

Persistent link: https://www.econbiz.de/10014084332

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

We modeled long memory with just one lag!

Bauwens, Luc; Chevillon, Guillaume; Laurent, Sébastien - 2022

Persistent link: https://www.econbiz.de/10013179719

The "pathology" of the natural conjugate prior density in the regression model

Bauwens, Luc - In: Annales d'économie et de statistique (1991), pp. 49-64

Persistent link: https://www.econbiz.de/10001117091

Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo

Bauwens, Luc - 1984

Persistent link: https://www.econbiz.de/10013277978

On the weak consistency of the quasi-maximum likelihood estimator in VAR models with BEKK-GARCH (1,q) errors

Bauwens, Luc; Vandeuren, Jean-Pierre - 1995

Persistent link: https://www.econbiz.de/10000918211

The logarithmic ACD model : an application to market microstructure and NASDAQ

Bauwens, Luc; Giot, Pierre - 1997

Persistent link: https://www.econbiz.de/10000980123

Bayesian inference on GARCH models using the Gips sampler

Bauwens, Luc - 1996

Persistent link: https://www.econbiz.de/10000948275

Asymmetric ACD models : introducing price information in ACD models with a two state transition model

Bauwens, Luc - 1998

Persistent link: https://www.econbiz.de/10000994354