Narrow search
Showing 1 - 10 of 72
Cover Image
Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
Persistent link: https://www.econbiz.de/10001430824
Cover Image
The logarithmic ACD model : an application to market microstructure and NASDAQ
Bauwens, Luc; Giot, Pierre - 1997
Persistent link: https://www.econbiz.de/10000980123
Cover Image
The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks
Bauwens, Luc; Giot, Pierre - In: Annales d'économie et de statistique (2000), pp. 117-149
Persistent link: https://www.econbiz.de/10001543399
Cover Image
A comparison of financial duration models via density forecasts
Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - 2000
Persistent link: https://www.econbiz.de/10001555045
Cover Image
A comparison of financial duration models via density forecasts
Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - In: International journal of forecasting 20 (2004) 4, pp. 589-609
Persistent link: https://www.econbiz.de/10002434252
Cover Image
A component GARCH model with time varying weights
Bauwens, Luc (contributor); Storti, G. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003462056
Cover Image
A component GARCH model with time varying weights
Bauwens, Luc (contributor); Storti, G. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003432749
Cover Image
The resistible decline of European science
Bauwens, Luc (contributor); Mion, Giordano (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003628350
Cover Image
The resistible decline of European science
Bauwens, Luc; Mion, Giordano; Thisse, Jacques-François - 2008
Persistent link: https://www.econbiz.de/10003669406
Cover Image
A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10003909174