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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

Intra-daily FX optimal portfolio allocation

Bauwens, Luc (contributor); Ben Omrane, Walid (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003326698

Bayesian inference for the mixed conditional heteroskedasticity model

Bauwens, Luc (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003296223

Intra-daily FX optimal portfolio allocation

Bauwens, Luc (contributor); Ben Omrane, Walid (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003297047

Bayesian inference for the mixed conditional heteroskedasticity model

Bauwens, Luc (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003396145

A component GARCH model with time varying weights

Bauwens, Luc (contributor); Storti, G. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003462056

A component GARCH model with time varying weights

Bauwens, Luc (contributor); Storti, G. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003432749

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

Bayesian inference for the mixed conditional heteroskedasticity model

Bauwens, Luc (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003311396

Adaptive polar sampling with an application to a Bayes measure of value-at-risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...

Persistent link: https://www.econbiz.de/10011302625