Search Results - "Bauwens, Luc"

Multivariate GARCH models: a survey by Bauwens, Luc, Laurent, Sébastien, Rombouts, Jeroen V. K.

“…This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and…”
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Forecasting a long memory process subject to structural breaks by Wang, Cindy Shin-Huei, Bauwens, Luc, Hsiao, Cheng

“…We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving average (ARFIMA) process subject to…”
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The stochastic conditional duration model: a latent variable model for the analysis of financial durations by Bauwens, Luc, Veredas, David

“…We introduce a class of models for the analysis of durations, which we call stochastic conditional duration (SCD) models. These models are based on the…”
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State-space models on the Stiefel manifold with a new approach to nonlinear filtering by Yang, Yukai, Bauwens, Luc

“…We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin…”
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Theory and inference for a Markov switching GARCH model by Bauwens, Luc, Preminger, Arie, Rombouts, Jeroen V. K.

“…We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching…”
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News announcements, market activity and volatility in the euro/dollar foreign exchange market by Bauwens, Luc, Ben Omrane, Walid, Giot, Pierre

“…We study the impact of nine categories of scheduled and unscheduled news announcements on the euro/dollar return volatility. We highlight and analyze the…”
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Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices by Luc Bauwens, Manuela Braione, Giuseppe Storti

“…Novel model specifications that include a time-varying long-run component in the dynamics of realized covariance matrices are proposed. The modelling framework…”
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Oscillating flames: multiple-scale analysis by Bauwens, Luc, Bauwens, C. Regis L., Wierzba, Ida

“…A complete multiple-scale solution is constructed for the one-dimensional problem of an oscillating flame in a tube, ignited at a closed end, with the second…”
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DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations by Bauwens, Luc, Xu, Yongdeng

“…This paper introduces the scalar DCC-HEAVY and DECO-HEAVY models for conditional variances and correlations of daily returns based on measures of realized…”
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Achievements of the EC network of excellence HySafe by Thomas, Jordan, Paul, Adams, Inaki, Azkarate, Daniele, Baraldi, Herve, Barthelemy, Luc, Bauwens, Alain, Bengaouer, Sile, Brennan, Marco, Carcassi, Arief, Dahoe, Norbert, Eisenreich, Angunn, Engebo, Espen, Funnemark, Eduardo, Gallego, Andrey, Gavrikov, Erling, Haland, Marit, Hansen Anne, Petra, Haugom Gerd, Stuart, Hawksworth, Olaf, Jedicke, Armin, Kessler, Alexei, Kotchourko, Suresh, Kumar, Gesa, Langer, Stefan, Ledin, Alexander, Lelyakin, Dmitriy, Makarov, Alessia, Marangon, Frank, Markert, Prankul, Middha, Vladimir, Molkov, Sandra, Nilsen, Efthymia, Papanikolaou, Lionel, Perrette, Ernst-Arendt, Reinecke, Ulrich, Schmidtchen, Pierre, Serre-Combe, Michael, Stöcklin, Aurelie, Sully, Andrzej, Teodorczyk, Delphine, Tigreat, Alexander, Venetsanos, Karl, Verfondern, Nico, Versloot, Ana, Vetere, Manfred, Wilms, Nikolay, Zaretskiy

“…In many areas European research has been largely fragmented. To support the required integration and to focus and coordinate related research efforts the…”
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Nonlinearities and regimes in conditional correlations with different dynamics by Bauwens, Luc, Otranto, Edoardo

“…New parameterizations of the dynamic conditional correlation (DCC) model and of the regime-switching dynamic correlation (RSDC) model are introduced, such that…”
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Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models by Bauwens, Luc, Otranto, Edoardo

“…Abstract Time series of realized covariance matrices can be modeled in the conditional autoregressive Wishart model family via dynamic correlations or via…”
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Modeling the Dependence of Conditional Correlations on Market Volatility by Bauwens, Luc, Otranto, Edoardo

“…Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns and several studies have…”
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We modeled long memory with just one lag by Bauwens, Luc, Chevillon, Guillaume, Laurent, Sébastien

“…Two recent contributions have found conditions for large dimensional networks or systems to generate long memory in their individual components. We build on…”
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A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model by Augustyniak, Maciej, Bauwens, Luc, Dufays, Arnaud

“…A new process-the factorial hidden Markov volatility (FHMV) model-is proposed to model financial returns or realized variances. Its dynamics are driven by a…”
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A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models by Bauwens, Luc, De Backer, Bruno, Dufays, Arnaud

“…We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH models subjected to an unknown number of…”
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MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES by Bauwens, Luc, Hafner, Christian M., Pierret, Diane

“…We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic…”
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A dynamic component model for forecasting high-dimensional realized covariance matrices by Bauwens, Luc, Braione, Manuela, Storti, Giuseppe

“…The Multiplicative MIDAS Realized DCC (MMReDCC) model simultaneously accounts for short and long term dynamics in the conditional (co)volatilities of asset…”
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A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models by Bauwens, Luc, Laurent, Sébastien

“…We propose a practical and flexible method to introduce skewness in multivariate symmetric distributions. Applying this procedure to the multivariate Student…”
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General-to-specific modelling of exchange rate volatility: A forecast evaluation by Bauwens, Luc, Sucarrat, Genaro

“…The general-to-specific (GETS) methodology is widely employed in the modelling of economic series, but less so in financial volatility modelling, due to its…”
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