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Publications

by members of

Faculty of Economic and Financial Sciences
University of Johannesburg
Auckland Park, South Africa

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
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Working papers

Undated material is listed at the end

2014

  1. Alain Kabundi, Eric Schaling and Modeste Some, 2014. "Monetary Policy and Heterogeneous Inflation Expectations in South Africa," Working Papers 422, Economic Research Southern Africa.
  2. Anmar Pretorius and Alain Kabundi, 2014. "Dynamic Integration of Emerging Market Bond Yields into the Global Bond Market," Working Papers 436, Economic Research Southern Africa.

2013

  1. L. Bauwens & E. Otranto, 2013. "Modeling the Dependence of Conditional Correlations on Volatility," Working Paper CRENoS 201304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  2. Jean Luc Erero, Daniel Djauhari Pambudi and Lumengo Bonga Bonga, 2013. "Wage Subsidy in the DRC: A CGE Analysis," Working Papers 372, Economic Research Southern Africa.
  3. Mustafa Yavuz Cakir and Alain Kabundi, 2013. "Business Cycle Co-movements between South Africa and the BRIC Countries," Working Papers 324, Economic Research Southern Africa.
  4. Deniz Igan, Alain Kabundi, Francisco Nadal De Simone, Natalia Tamirisa, 2013. "Monetary Policy and Balance Sheets," Working Papers 364, Economic Research Southern Africa.
  5. Mustafa Yavuz Cakir and Alain Kabundi, 2013. "Transmission of China's Shocks to the BRIS Countries," Working Papers 362, Economic Research Southern Africa.
  6. Nombulelo Gumata, Alain Kabundi and Eliphas Ndou, 2013. "Important Channels of Transmission Monetary Policy Shock in South Africa," Working Papers 375, Economic Research Southern Africa.
  7. Raphael Nkomo and Alain Kabundi, 2013. "Kalman Filtering and Online Learning Algorithms for Portfolio Selection," Working Papers 394, Economic Research Southern Africa.
  8. Fiona Tregenna, 2013. "Sources of Subsectoral Growth in South Africa," Working Papers 377, Economic Research Southern Africa.
  9. PHOLO BALA, Alain & PEETERS, Dominique & THOMAS, Isabelle, 2013. "Spatial issues on a hedonic estimation of rents in Brussels," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2013036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  10. Verhoef, Grietjie & Greyling, Lorraine & Mwamba, John, 2013. "SAVINGS and economic growth: a historical analysis of the relationship between savings and economic growth in the CAPE Colony economy, 1850-1909," MPRA Paper 47819, University Library of Munich, Germany, revised 19 Jun 2013.
  11. Johane Dikgang and Edwin Muchapondwa, 2013. "The Effect of Land Restitution on Poverty Reduction Among the Khomani San "Bushmen" in South Africa," Working Papers 352, Economic Research Southern Africa.
  12. Johane Dikgang and Edwin Muchapondwa, 2013. "Conservation Fees in the Kgalagadi Transfrontier Park between Botswana and South Africa in the Presence of Land Restitution," Working Papers 368, Economic Research Southern Africa.
  13. Johane Dikgang and Edwin Muchapondwa, 2013. "The Economic Evaluation of Dryland Ecosystem Services in the South African Kgalagadi Area and Implications for PES Involving the Khomani San," Working Papers 384, Economic Research Southern Africa.
  14. Johane Dikgang and Edwin Muchapondwa, 2013. "The Economic Evaluation of Dryland Ecosystem Services in the South African Kgalagadi by the Local Communities," Working Papers 383, Economic Research Southern Africa.
  15. Johane Dikgang and Edwin Muchapondwa, 2013. "Estimation of optimal conservation fees for international park visitors in the Kgalagadi Transfrontier Park," Working Papers 393, Economic Research Southern Africa.
  16. PF Blaauw, I Botha, R Schenck and C Schoeman, 2013. "Happy in the Informal Economy? A Case Study of Well-Being Among Day Labourers in South Africa," Working Papers 337, Economic Research Southern Africa.
  17. John W. Keating & Isaac K. Kanyama, 2013. "Is Sticky Price Adjustment Important for Output Fluctuations?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201301, University of Kansas, Department of Economics.

2012

  1. BAUWENS, Luc & STORTI, Giuseppe, 2012. "Computationally efficient inference procedures for vast dimensional realized covariance models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2012028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. WANG, Shin-Huei & BAUWENS, Luc & HSIAO, Cheng, 2012. "Forecasting long memory processes subject to structural breaks," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2012048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco, 2012. "Dynamic conditional correlation models for realized covariance matrices," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2012060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Alain Kabundi, 2012. "Working Paper 152 - Dynamics of Inflation in Uganda," Working Paper Series, African Development Bank 401, African Development Bank.
  5. Youyou Baende Bofota & Raouf Boucekkine & Alain Pholo Bala, 2012. "Social Capital as an Engine of Growth. Multisectoral Modelling and Implications," AMSE Working Papers 1204, Aix-Marseille School of Economics, Marseille, France.
  6. Dikgang, Johane & Muchapondwa, Edwin, 2012. "The Valuation of Biodiversity Conservation by the South African Khomani San “Bushmen” Community," Discussion Papers, Resources For the Future dp-12-10-efd, Resources For the Future.
  7. Barnett, William A. & Kalonda-Kanyama, Isaac, 2012. "Time-varying parameters in the almost ideal demand system and the Rotterdam model: will the best specification please stand up?," MPRA Paper 36513, University Library of Munich, Germany.
  8. Elizabeth Asiedu & Yi Jin & Isaac Kalonda-Kanyama, 2012. "The Impact of HIV/AIDS on Foreign Direct Investment: Evidence from Sub-Saharan Africa," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201207, University of Kansas, Department of Economics.
  9. Isaac Kalonda-Kanyama & Oasis Kodila-Tedika, 2012. "Quality of Institutions : Does Intelligence Matter?," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201206, University of Kansas, Department of Economics, revised Apr 2012.
  10. Kalonda-Kanyama, Isaac, 2012. "A new look at the effect of the determinants of government institutions: A cross-sectional analysis," MPRA Paper 47575, University Library of Munich, Germany.

2011

  1. Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2011. "A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models," Cahiers de recherche, CIRPEE 1104, CIRPEE.
  2. Luc Bauwens & Gary Koop & Dimitris Korobilis & Jeroen V.K. Rombouts, 2011. "The Contribution of Structural Break Models to Forecasting Macroeconomic Series," Working Paper Series, The Rimini Centre for Economic Analysis 38_11, The Rimini Centre for Economic Analysis.
  3. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2011. "Multivariate Volatility Modeling of Electricity Futures," SFB 649 Discussion Papers SFB649DP2011-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Luc Bauwens & Arnaud Dufays & Jeroen Rombouts, 2011. "Marginal Likelihood for Markov-Switching and Change-Point Garch Models," CIRANO Working Papers, CIRANO 2011s-72, CIRANO.
  5. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. BAUWENS, Luc & KOROBILIS, Dimitris, 2011. "Bayesian methods," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2011061, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno, 2011. "Estimating and forecasting structural breaks in financial time series," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2011055, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Bauwens, Luc & Koop, Gary & Korobilis, Dimitris & Rombouts, Jeroen V.K., 2011. "A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2011-33, Scottish Institute for Research in Economics (SIRE).
  9. Bauwens, Luc & Korobilis, Dimitris & Koop, Gary, 2011. "A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2011-25, Scottish Institute for Research in Economics (SIRE).
  10. Lumengo Bonga-Bonga & Jamela Hoveni, 2011. "Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa," Working Papers 252, Economic Research Southern Africa.
  11. Rangan Gupta & Alain Kabundi & Stephen M. Miller & Josine Uwilingiye, 2011. "Using Large Data Sets to Forecast Sectoral Employment," Working papers, University of Connecticut, Department of Economics 2011-02, University of Connecticut, Department of Economics, revised Aug 2012.
  12. Andrew S. Duncan & Alain Kabundi, 2011. "Volatility Spillovers across South African Asset Classes during Domestic and Foreign," Working Papers 202, Economic Research Southern Africa.
  13. Mustafa Yavuz Cakir & Alain Kabundi, 2011. "Trade Shocks from BRIC to South Africa: A Global VAR Analysis," Working Papers 250, Economic Research Southern Africa.
  14. Andrew Stuart Duncan & Alain Kabundi, 2011. "Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets," Working Papers 253, Economic Research Southern Africa.
  15. Fiona Tregenna, 2011. "What are the Distributional Implications of Halving Poverty in South Africa when Growth Alone is not Enough?," Working Papers 215, Economic Research Southern Africa.
  16. Tregenna, Fiona, 2011. "Manufacturing Productivity, Deindustrialization, and Reindustrialization," Working Paper Series, World Institute for Development Economic Research (UNU-WIDER) UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  17. Tregenna, Fiona, 2011. "Halving Poverty in South Africa: Growth and Distributional Aspects," Working Paper Series, World Institute for Development Economic Research (UNU-WIDER) UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  18. Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2011. "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Working Papers 201122, University of Pretoria, Department of Economics.

2010

  1. Deniz Igan & Alain Kabundi & Francisco Nadal De Simone & Marcelo Pinheiro & Natalia Tamirisa, 2010. "Three Cycles: Housing, Credit and Real Activity," Working Papers 160, Economic Research Southern Africa.
  2. Muteba Mwamba, John & Suteni, Mwambi, 2010. "An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio," MPRA Paper 50240, University Library of Munich, Germany.
  3. Kalonda-Kanyama, Isaac, 2010. "Civil war, sexual violence and HIV infections: Evidence from the Democratic Republic of the Congo," MPRA Paper 47579, University Library of Munich, Germany.
  4. Rangan Gupta & Josine Uwilingiye, 2010. "Evaluating the Welfare Cost of Inflation in a Monetary Endogenous Growth General Equilibrium Model: The Case of South Africa," Working Papers 201002, University of Pretoria, Department of Economics.
  5. Helene Maisonnave & Jugal Mahabir & Ramos Mabugu & Margaret Chitiga, 2010. "The Impact of the Global Economic Crisis on Sub-National Government – Lessons from the Free State Province in South Africa," Working Papers 201012, University of Pretoria, Department of Economics.

2009

  1. Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche, CIRPEE 0942, CIRPEE.
  2. Lumengo Bonga-Bonga, 2009. "Forward Exchange Rate Puzzle: Joining the Missing Pieces in the Rand-US Dollar Exchange Market," Working Papers 122, Economic Research Southern Africa.
  3. Lumengo Bonga-Bonga, 2009. "Monetary Policy and Long-Term Interest Rates in South Africa," Working Papers 125, Economic Research Southern Africa.
  4. Sonali Das & Rangan Gupta & Alain Kabundi, 2009. "The Blessing Of Dimensionality In Forecasting Real House Price Growth In The Nine Census Divisions Of The Us," Working Papers 200902, University of Pretoria, Department of Economics.
  5. Rangan Gupta & Alain Kabundi, 2009. "The Effect Of Monetary Policy On House Price Inflation: A Factor Augmented Vector Autoregression (Favar) Approach," Working Papers 200903, University of Pretoria, Department of Economics.
  6. Alain N. Kabundi & Francisco Nadal-De Simone, 2009. "Recent French Export Performance," IMF Working Papers 09/2, International Monetary Fund.
  7. Rangan Gupta & Marius Jurgilas & Alain Kabundi, 2009. "The Effect Of Monetary Policy On Real House Price Growth In South Africa: A Factor Augmented Vector Autoregression (Favar) Approach," Working Papers 200905, University of Pretoria, Department of Economics.
  8. Rangan Gupta & Alain Kabundi & Emmanuel Ziramba, 2009. "The Effect Of Defense Spending On Us Output: A Factor Augmented Vector Autoregression (Favar) Approach," Working Papers 200911, University of Pretoria, Department of Economics.
  9. Rangan Gupta & Alain Kabundi, 2009. "Forecasting Real Us House Price: Principal Components Versus Bayesian Regressions," Working Papers 200907, University of Pretoria, Department of Economics.
  10. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Using Large Data Sets to Forecast Housing Prices: A Case Study of Twenty US States," Working papers, University of Connecticut, Department of Economics 2009-13, University of Connecticut, Department of Economics.
  11. Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2009. "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Model," Working papers, University of Connecticut, Department of Economics 2009-19, University of Connecticut, Department of Economics.
  12. Rangan Gupta & Alain Kabundi & Mampho P. Modise, 2009. "Has the SARB Become More Effective Post Inflation Targeting?," Working Papers 200925, University of Pretoria, Department of Economics.
  13. Natalia T. Tamirisa & Alain N. Kabundi & Deniz Igan & Francisco Nadal-De Simone & Marcelo Pinheiro, 2009. "Three Cycles," IMF Working Papers 09/231, International Monetary Fund.
  14. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 200927, University of Pretoria, Department of Economics.
  15. Rangan Gupta & Alain Kabundi, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
  16. Alain Kabundi & Elsabé Loots, 2009. "Patterns of co-movement between a developed and emerging market economy: The case of South Africa and Germany," Working Papers 159, Economic Research Southern Africa.
  17. Tregenna, F., 2009. "The Relationship Between Unemployment and Earnings Inequality in South Africa," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0907, Faculty of Economics, University of Cambridge.
  18. Tregenna, F., 2009. "Contracting Out of Service Activities and the Effects on Sectoral Employment Patterns in South Africa," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0906, Faculty of Economics, University of Cambridge.
  19. Tregenna, F., 2009. "Distributional Implications of Halving Poverty in South Africa," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0923, Faculty of Economics, University of Cambridge.
  20. Tregenna, F., 2009. "Factor Decomposition of Sectoral Growth in South Africa, 1970-2007," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0930, Faculty of Economics, University of Cambridge.
  21. Tregenna, F., 2009. "'Services' in Marxian Economic Thought," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0935, Faculty of Economics, University of Cambridge.
  22. Tregenna, F., 2009. "The Specificity of Manufacturing in Marx’s Economic Thought," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0937, Faculty of Economics, University of Cambridge.
  23. Pholo Bala, Alain, 2009. "Gates, hubs and urban primacy in Sub-Saharan Africa," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2009039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  24. Pholo Bala, Alain, 2009. "Urban concentration and economic growth: checking for specific regional effects," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2009038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  25. Ilse Botha, 2009. "A comparative analysis of the synchronisation of business cycles for developed and developing economies with the world business cycle," Working Papers 132, Economic Research Southern Africa.
  26. Andrew S Duncan & Guangling D Liu, 2009. "Modelling South African Currency Crises as Structural Changes in the Volatility of the Rand," Working Papers 140, Economic Research Southern Africa.
  27. Rangan Gupta & Josine Uwilingiye, 2009. "Comparing South African Inflation Volatility Across Monetary Policy Regimes: An Application Of Saphe Cracking," Working Papers 200906, University of Pretoria, Department of Economics.
  28. Rangan Gupta & Josine Uwilingiye, 2009. "Some Benefits of Reducing Inflation in South Africa," Working Papers 200915, University of Pretoria, Department of Economics.

2008

  1. Bauwens, Luc & Mion, Giordano & Thisse, Jacques-François, 2008. "The Resistible Decline of European Science," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6625, C.E.P.R. Discussion Papers.
  2. Lumengo Bonga-Bonga, 2008. "Modeling the Rand-Dollar Future Spot Rates: The Kalman Filter Approach," Working Papers 98, Economic Research Southern Africa.
  3. Lumengo Bonga-Bonga, 2008. "National Saving and Fiscal Policy in South Africa: an Empirical Analysis Sector in South Africa," Working Papers 84, Economic Research Southern Africa.
  4. Rangan Gupta & Alain Kabundi, 2008. "A Dynamic Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 200815, University of Pretoria, Department of Economics.
  5. Rangan Gupta & Alain Kabundi, 2008. "Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs," Working Papers 200816, University of Pretoria, Department of Economics.
  6. Sonali Das & Rangan Gupta & Alain Kabundi, 2008. "Is a DFM Well-Suited in Forecasting Regional House Price Inflation?," Working Papers 200814, University of Pretoria, Department of Economics.
  7. Rangan Gupta & Alain Kabundi, 2008. "Forecasting Macroeconomic Variables in a Small Open Economy: A Comparison between Small- and Large-Scale Models," Working Papers 200830, University of Pretoria, Department of Economics.
  8. Sonali Das & Rangan Gupta & Alain Kabundi, 2008. "Could We Have Predicted The Recent Downturn In The South African Housing Market?," Working Papers 200831, University of Pretoria, Department of Economics.
  9. Sonali Das & Rangan Gupta & Alain Kabundi, 2008. "Is a DFM Well Suited for Forecasting Regional House Price Inflation?," Working Papers 85, Economic Research Southern Africa.
  10. Tregenna, Fiona, 2008. "Sectoral Engines of Growth in South Africa: An Analysis of Services and Manufacturing," Working Paper Series, World Institute for Development Economic Research (UNU-WIDER) RP2008/98, World Institute for Development Economic Research (UNU-WIDER).
  11. Rangan Gupta & Josine Uwilingiye, 2008. "Measuring the welfare cost of inflation in South Africa," Working Papers 68, Economic Research Southern Africa.
  12. Rangan Gupta & Josine Uwilingiye, 2008. "Time Aggregation, Long-Run Money Demand and the Welfare Cost of Inflation," Working Papers 200825, University of Pretoria, Department of Economics.
  13. Rangan Gupta & Josine Uwilingiye, 2008. "Should the SARB Have Stayed Time Inconsistent?," Working Papers 200833, University of Pretoria, Department of Economics.
  14. Rangan Gupta & Josine Uwilingiye, 2008. "Measuring the Welfare Cost of Inflation in South Africa: A Reconsideration," Working Papers 200809, University of Pretoria, Department of Economics.

2007

  1. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2007. "Theory and inference for a Markov switching GARCH model," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2007033, Université catholique de Louvain, Département des Sciences Economiques.
  2. Luc, BAUWENS & Fausto Galli, 2007. "Efficient importance sampling for ML estimation of SCD models," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2007032, Université catholique de Louvain, Département des Sciences Economiques.
  3. Winfried Pohlmeier & Luc Bauwens & David Veredas, 2007. "High frequency financial econometrics. Recent developments," ULB Institutional Repository 2013/136223, ULB -- Universite Libre de Bruxelles.
  4. Mdu Biyase & Lumengo Bonga-Bonga, 2007. "South Africa’s Growth Paradox," DEGIT Conference Papers, DEGIT, Dynamics, Economic Growth, and International Trade c012_043, DEGIT, Dynamics, Economic Growth, and International Trade.
  5. Francisco Nadal-De Simone & Alain N. Kabundi, 2007. "France in the Global Economy," IMF Working Papers 07/129, International Monetary Fund.
  6. Alain Kabundi, 2007. "Synchronization between South Africa and the U.S.: A Structural Dynamic Factor Analysis," Working Papers 50, Economic Research Southern Africa.
  7. Josine Uwilingiye & Rangan Gupta, 2007. "Temporal Causality between Budget Deficit and Interest Rate: The Case of South Africa," Working Papers 200708, University of Pretoria, Department of Economics.

2006

  1. Luc, BAUWENS & Walid, BEN OMRANE & Erick, Rengifo, 2006. "Intra-Daily FX Optimal Portfolio Allocation," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2006005, Université catholique de Louvain, Département des Sciences Economiques.
  2. Luc, BAUWENS & Genaro, SUCARRAT, 2006. "General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2006013, Université catholique de Louvain, Département des Sciences Economiques.
  3. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2006006, Université catholique de Louvain, Département des Sciences Economiques.
  4. Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS, 2006. "Multivariate mixed normal conditional heteroskedasticity," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2006007, Université catholique de Louvain, Département des Sciences Economiques.
  5. Giuseppe Storti & Luc Bauwens, 2006. "A component GARCH model with time varying weights," Computing in Economics and Finance 2006, Society for Computational Economics 388, Society for Computational Economics.
  6. Luc, BAUWENS & Michel, LUBRANO, 2006. "Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2006027, Université catholique de Louvain, Département des Sciences Economiques.
  7. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2006039, Université catholique de Louvain, Département des Sciences Economiques.
  8. Fiona, Tregenna, 2006. "An empirical investigation of the effects of concentration on profitability among US banks," MPRA Paper 13731, University Library of Munich, Germany, revised 2009.
  9. BEHRENS, Kristian & PHOLO BALA, Alain, 2006. "Do rent-seeking and interregional transfers contribute to urban primacy in sub-Saharan Africa ?," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2006114, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2005

  1. Luc, BAUWENS & Dagfinn, RIME & Genaro, SUCARRAT, 2005. "Exchange Rate Volatility and the Mixture of Distribution Hypothesis," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2005043, Université catholique de Louvain, Département des Sciences Economiques.
  2. Luc, Bauwens & J.V.K., ROMBOUTS, 2005. "Bayesian inference for the mixed conditional heteroskedasticity model," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2005058, Université catholique de Louvain, Département des Sciences Economiques.
  3. Luc Bauwens & David Veredas & Winfried Pohlmeier, 2005. "High frequency finance," ULB Institutional Repository 2013/136220, ULB -- Universite Libre de Bruxelles.

2004

  1. Luc Bauwens & Jeroen Rombouts, 2004. "Bayesian Clustering Of Similar Multivariate Garch Models," Econometric Society 2004 North American Winter Meetings, Econometric Society 370, Econometric Society.
  2. Rombouts, Jeroen V. K. & Bauwens, Luc, 2004. "Econometrics," Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) 2004,33, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  3. Alain N. Kabundi, 2004. "Estimation of Economic Growth in France Using Business Survey Data," IMF Working Papers 04/69, International Monetary Fund.

2003

  1. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. BAUWENS, Luc & GALLI, Fausto & GIOT, Pierre, 2003. "The moments of Log-ACD models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2003. "News announcements, market activity and volatility in the Euro/Dollar foreign exchange market," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. BAUWENS, Luc & KIRMAN, Alan & LUBRANO, Michel & PROTOPOPESCU, Camelia, 2003. "Ranking economics departments in Europe: a statistical approach," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. BAUWENS, Luc & ROMBOUTS, Jeroen, 2003. "Bayesian clustering of many GARCH models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003087, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D., 2003. "Explaining Adaptive Radial-Based Direction Sampling," Econometric Institute Research Papers EI 2003-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

2002

  1. Luc Bauwens & Sébastien Laurent, 2002. "A New Class of Multivariate skew Densities, with Application to GARCH Models," Computing in Economics and Finance 2002, Society for Computational Economics 5, Society for Computational Economics.
  2. Luc Bauwens & Charles S. Bos & Herman K. van Dijk & Rutger D. van Oest, 2002. "Adaptive Polar Sampling," Computing in Economics and Finance 2002, Society for Computational Economics 307, Society for Computational Economics.
  3. Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D., 2002. "Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods," Econometric Institute Research Papers EI 2002-27, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

2000

  1. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0810, Econometric Society.
  2. Bauwens, L. & Lubrano, M., 2000. "Bayesian Option Pricing using Asymmetric Garch Models," G.R.E.Q.A.M., Universite Aix-Marseille III 00a18, Universite Aix-Marseille III.
  3. BAUWENS, Luc & HUNTER, John, 2000. "Identifying long-run behaviour with non-stationary data," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2000043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Luc BAUWENS & Victor GINSBURGH, 2000. "Art experts and auctions Are pre-sale estimates unbiased and fully informative?," Discussion Papers (REL - Recherches Economiques de Louvain) 2000022, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

1999

  1. Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Tinbergen Institute Discussion Papers 99-082/4, Tinbergen Institute.
  2. BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1998

  1. Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1998. "Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces," Tinbergen Institute Discussion Papers 98-071/4, Tinbergen Institute.
  2. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1997

  1. Bauwens, L. & Lubrano, M., 1997. "Bayesian Option Pricing Using Asymmetric GARCH," G.R.E.Q.A.M., Universite Aix-Marseille III 97a40, Universite Aix-Marseille III.
  2. BAUWENS, Luc & DEPRINS, Dominique & VANDEUREN, Jean-Pierre, 1997. "Modelling interest rates with a cointegrated VAR-GARCH model," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1997080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. BAUWENS, LUC & GIOT, Pierre, 1997. "The logarithmic ACD model: an application to market microstructure and NASDAQ," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1997089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. BAUWENS, Luc & GIOT, Pierre, 1997. "A Gibbs sampling approach to cointegration," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1997016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1996

  1. Bauwens, L. & Lubrano, M., 1996. "Bayesian Inference on GARCH Models Using the Gibbs Sampler," G.R.E.Q.A.M., Universite Aix-Marseille III 96a21, Universite Aix-Marseille III.

1995

  1. BAUWENS, Luc & VANDEUREN, Jean-Pierre, 1995. "On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1995038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1994

  1. BAUWENS, Luc & GINSBURGH, Victor A., 1994. "Do Art Experts make Rational Estimates of Pre-Sale Prices ?," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1994038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. BAUWENS, Luc & LUBRANO , Michel, 1994. "Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1994018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1992

  1. BAUWENS, Luc & RASQUERO, A., 1992. "Approximate HPD regions for testing residual autocorrelation using augmented regressions," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1992038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. BAUWENS, Luc & FIEBIG, Denzil & STEEL, Mark, 1992. "Estimating End-Use Demand : A Bayesian Approach," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1992052, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1990

  1. Eeckhoudt, L. & Bauwens, L. & Briys, E. & Scarmure, P., 1990. "The Law Of Large (Small?) Numbers And The Demand For Insurance," G.R.E.Q.A.M., Universite Aix-Marseille III 90a03, Universite Aix-Marseille III.
  2. Bauwens, L., 1990. "The "Pathology" Of The Natural Conjugate Prior Density In The Regression Model," G.R.E.Q.A.M., Universite Aix-Marseille III 90a14, Universite Aix-Marseille III.

1987

  1. ZELLNER, A. & BAUWENS, Luc & VAN DIJK, H., 1987. "Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1987056, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1983

  1. Luc Bauwens, 1983. "Posterior moments of elasticities between real wages and unemployment in Belgium : an application of Bayesian inference by Monte Carlo integration," Discussion Papers (REL - Recherches Economiques de Louvain) 1983013, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

Undated

  1. BAUWENS, Luc & LUBRANO, Michel, . "Trends and breaking points in the Bayesian econometric literature," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1420, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. BAUWENS, Luc & GIOT, Pierre, . "Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1442, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. BAUWENS, Luc & GIOT, Pierre, . "The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1497, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. BAUWENS, Luc, . "Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1862, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. BAUWENS, L. & POLASEK, W. & van DIJK, H. K., . "Editors' introduction. First Riverboat conference on Bayesian econometrics and statistics," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1232, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. BAUWENS, Luc & HAUTSCH, Nikolaus, . "Stochastic conditional intensity processes," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1937, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K. & VAN OEST, Rutger D., . "Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1731, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Bauwens, L. & Lubrano, M., . "Bayesian and classical econometric modeling of time series," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1175, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  9. BAUWENS, Luc, . "Recent developments in the econometrics of financial markets using intra-day data," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1403, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  10. BAUWENS, Luc & LUBRANO, Michel, . "Bayesian diagnostics for heterogeneity," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -963, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  11. BAUWENS, Luc & GIOT, Pierre, . "Asymmetric ACD models: Introducing price information in ACD models," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1670, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  12. BAUWENS, Luc & LAURENT, Sébastien, . "A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1793, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  13. BAUWENS, Luc & VEREDAS, David, . "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1688, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  14. BAUWENS, Luc & RICHARD, Jean-François, . "A 1-1 poly-t random variable generator with application to Monte Carlo integration," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -644, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  15. BAUWENS, Luc & d'ALCANTARA, Gonzague, . "An export model for the Belgian industry," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -533, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

Journal articles

2014

  1. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P3), pages 508-522.
  2. Rangan Gupta & Alain Kabundi & Stephen Miller & Josine Uwilingiye, 2014. "Using large data sets to forecast sectoral employment," Statistical Methods and Applications, Springer, Springer, vol. 23(2), pages 229-264, June.
  3. Sterner, Thomas & Alem, Yonas & Alpízar, Francisco & Berck, Cyndi Spindell & Chavez Rebolledo, Carlos Alberto & Dikgang, Johane & Kirama, Stephen & Köhlin, Gunnar & Mariara-Kabubo, Jane & Mekonnen, , 2014. "The Environment for Development Initiative: lessons learned in research, academic capacity building and policy intervention to manage resources for sustainable growth," Environment and Development Economics, Cambridge University Press, vol. 19(03), pages 367-391, June.

2013

  1. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2013. "Multivariate Volatility Modeling Of Electricity Futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 743-761, 08.
  2. Wang, Cindy Shin-Huei & Bauwens, Luc & Hsiao, Cheng, 2013. "Forecasting a long memory process subject to structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 177(2), pages 171-184.
  3. Lumengo Bonga-Bonga, 2013. "Assessing the Stock Market Wealth Effect in South Africa," The African Finance Journal, Africagrowth Institute, Africagrowth Institute, vol. 15(1), pages 1-12.
  4. Lumengo Bonga-Bonga & Jamela Hoveni, 2013. "Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa in the 1995-2010 Period," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 81(2), pages 260-274, 06.
  5. Çakır, Mustafa Yavuz & Kabundi, Alain, 2013. "Trade shocks from BRIC to South Africa: A global VAR analysis," Economic Modelling, Elsevier, Elsevier, vol. 32(C), pages 190-202.
  6. Duncan, Andrew S. & Kabundi, Alain, 2013. "Domestic and foreign sources of volatility spillover to South African asset classes," Economic Modelling, Elsevier, Elsevier, vol. 31(C), pages 566-573.
  7. Alain Kabundi & Eric Schaling, 2013. "Inflation and Inflation Expectations in South Africa: an Attempt at Explanation," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 81(3), pages 346-355, 09.
  8. M. Y. Çakır & A. Kabundi, 2013. "Business cycle co-movements between South Africa and the BRIC countries," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(33), pages 4698-4718, November.
  9. Fiona Tregenna, 2013. "The specificity of manufacturing in Marx's economic thought," The European Journal of the History of Economic Thought, Taylor & Francis Journals, Taylor & Francis Journals, vol. 20(4), pages 603-624, August.
  10. Kristian Behrens & Alain Pholo Bala, 2013. "Do rent-seeking and interregional transfers contribute to urban primacy in Sub-Saharan Africa?," Papers in Regional Science, Wiley Blackwell, vol. 92(1), pages 163-195, 03.
  11. Elizabeth Asiedu & Isaac Kalonda-Kanyama & Leonce Ndikumana & Akwasi Nti-Addae, 2013. "Access to Credit by Firms in Sub-Saharan Africa: How Relevant Is Gender?," American Economic Review, American Economic Association, American Economic Association, vol. 103(3), pages 293-97, May.
  12. William A. Barnett & Isaac Kalonda Kanyama, 2013. "Time-varying parameters in the almost ideal demand system and the Rotterdam model: will the best specification please stand up?," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(29), pages 4169-4183, October.

2012

  1. Bauwens, Luc & Rombouts, Jeroen V.K., 2012. "On marginal likelihood computation in change-point models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3415-3429.
  2. Alain Kabundi & John Muteba Mwamba, 2012. "Applying A Genetic Algorithm To International Diversification Of Equity Portfolios: A South African Investor Perspective," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 80(1), pages 91-105, 03.
  3. Kabundi, Alain & Nadal De Simone, Francisco, 2012. "Recent French relative export performance: Is there a competitiveness problem?," Economic Modelling, Elsevier, Elsevier, vol. 29(4), pages 1408-1435.
  4. Fiona Tregenna & Mfanafuthi Tsela, 2012. "Inequality in South Africa: The distribution of income, expenditure and earnings," Development Southern Africa, Taylor & Francis Journals, Taylor & Francis Journals, vol. 29(1), pages 35-61, March.
  5. Fiona Tregenna, 2012. "What are the distributional implications of halving poverty in South Africa when growth alone is not enough?," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 44(20), pages 2577-2596, July.
  6. Fiona Tregenna, 2012. "Sources of Subsectoral Growth in South Africa," Oxford Development Studies, Taylor & Francis Journals, Taylor & Francis Journals, vol. 40(2), pages 162-189, June.
  7. John Muteba Mwamba, 2012. "Implementing A Robust Risk Model For South African Equity Markets: A Peak-Over-Threshold Approach," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 80(4), pages 459-472, December.
  8. Johane Dikgang & Anthony Leiman & Martine Visser, 2012. "Elasticity of demand, price and time: lessons from South Africa's plastic-bag levy," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 44(26), pages 3339-3342, September.
  9. Johane Dikgang & Martine Visser, 2012. "Behavioural Response To Plastic Bag Legislation In Botswana," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 80(1), pages 123-133, 03.
  10. Dikgang, Johane & Muchapondwa, Edwin, 2012. "The valuation of biodiversity conservation by the South African Khomani San “bushmen” community," Ecological Economics, Elsevier, Elsevier, vol. 84(C), pages 7-14.

2011

  1. Luc Bauwens & Giordano Mion & Jacques-François Thisse, 2011. "The Resistible Decline of European Science," Recherches économiques de Louvain, De Boeck Université, De Boeck Université, vol. 77(4), pages 5-31.
  2. Lumengo Bonga‐Bonga & Muteba Mwamba, 2011. "The Predictability Of Stock Market Returns In South Africa: Parametric Vs. Non‐Parametric Methods," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 79(3), pages 301-311, 09.
  3. Lumengo Bonga-Bonga & Alain Kabundi, 2011. "Monetary Policy Action and Inflation in South Africa: An Empirical Analysis," The African Finance Journal, Africagrowth Institute, Africagrowth Institute, vol. 13(2), pages 25-37.
  4. Sonali Das & Rangan Gupta & Alain Kabundi, 2011. "Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 30(2), pages 288-302, March.
  5. Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011. "Forecasting the US real house price index: Structural and non-structural models with and without fundamentals," Economic Modelling, Elsevier, Elsevier, vol. 28(4), pages 2013-2021, July.
  6. Alain Kabundi & John Mwamba Muteba, 2011. "Extreme Value At Risk: A Scenario For Risk Management," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 79(2), pages 173-183, 06.
  7. Alain Kabundi & Nonhlanhla Ngwenya, 2011. "Assessing Monetary Policy In South Africa In A Data‐Rich Environment," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 79(1), pages 91-107, 03.
  8. Gupta, Rangan & Kabundi, Alain, 2011. "A large factor model for forecasting macroeconomic variables in South Africa," International Journal of Forecasting, Elsevier, Elsevier, vol. 27(4), pages 1076-1088, October.
  9. Igan, Deniz & Kabundi, Alain & Nadal De Simone, Francisco & Pinheiro, Marcelo & Tamirisa, Natalia, 2011. "Housing, credit, and real activity cycles: Characteristics and comovement," Journal of Housing Economics, Elsevier, Elsevier, vol. 20(3), pages 210-231, September.
  10. Alain Kabundi & Francisco Nadal De Simone, 2011. "France in the global economy: a structural approximate dynamic factor model analysis," Empirical Economics, Springer, Springer, vol. 41(2), pages 311-342, October.
  11. Gupta, Rangan & Kabundi, Alain, 2011. "Forecasting Macroeconomic Variables Using Large Datasets: Dynamic Factor Model versus Large-Scale BVARs," Indian Economic Review, Department of Economics, Delhi School of Economics, Department of Economics, Delhi School of Economics, vol. 46(1), pages 23-40.
  12. Rangan Gupta & Marius Jurgilas & Alain Kabundi & Stephen M. Miller, 2011. "Monetary policy and housing sector dynamics in a large-scale Bayesian vector autoregressive model," International Journal of Strategic Property Management, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(1), pages 1-20, August.
  13. Fiona Tregenna, 2011. "What Does the 'Services Sector' Mean in Marxian Terms?," Review of Political Economy, Taylor & Francis Journals, Taylor & Francis Journals, vol. 23(2), pages 281-298.
  14. Fiona Tregenna, 2011. "Earnings inequality and unemployment in South Africa," International Review of Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(5), pages 585-598, September.
  15. John Mwamba, 2011. "Predictability of Stock Price Behaviour in South Africa: A Non-Parametric Approach," The African Finance Journal, Africagrowth Institute, Africagrowth Institute, vol. 13(1), pages 14-27.

2010

  1. Bauwens, Luc & Ben Omrane, Walid & Rengifo, Erick, 2010. "Intradaily dynamic portfolio selection," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2400-2418, November.
  2. Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts, 2010. "Theory and inference for a Markov switching GARCH model," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 13(2), pages 218-244, 07.
  3. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, Elsevier, vol. 26(4), pages 885-907, October.
  4. Gupta, Rangan & Jurgilas, Marius & Kabundi, Alain, 2010. "The effect of monetary policy on real house price growth in South Africa: A factor-augmented vector autoregression (FAVAR) approach," Economic Modelling, Elsevier, Elsevier, vol. 27(1), pages 315-323, January.
  5. Rangan Gupta & Alain Kabundi, 2010. "Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 29(1-2), pages 168-185.
  6. Rangan Gupta & Alain Kabundi & Mampho Modise, 2010. "Has the SARB become more effective post inflation targeting?," Economic Change and Restructuring, Springer, Springer, vol. 43(3), pages 187-204, August.
  7. Rangan Gupta & Alain Kabundi & Emmanuel Ziramba, 2010. "The Effect Of Defense Spending On Us Output: A Factor Augmented Vector Autoregression (Favar) Approach," Defence and Peace Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(2), pages 135-147.
  8. Rangan Gupta & Alain Kabundi, 2010. "The effect of monetary policy on house price inflation: A factor augmented vector autoregression (FAVAR) approach," Journal of Economic Studies, Emerald Group Publishing, Emerald Group Publishing, vol. 37(6), pages 616-626, September.
  9. Alain Kabundi & Elsabé Loots, 2010. "Patterns Of Co‐Movement Between South Africa And Germany: Evidence From The Period 1985 To 2006," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 78(4), pages 383-399, December.
  10. Fiona Tregenna, 2010. "How significant is intersectoral outsourcing of employment in South Africa?," Industrial and Corporate Change, Oxford University Press, vol. 19(5), pages 1427-1457, October.
  11. Ilse Botha, 2010. "A Comparative Analysis Of The Synchronisation Of Business Cycles For Developed And Developing Economies With The World Business Cycle," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 78(2), pages 192-207, 06.
  12. Marinda Pretorius & Ilsé Botha, 2010. "Direct Versus Indirect Forecasting of the Defined Real Exchange Rate of South Africa," The African Finance Journal, Africagrowth Institute, Africagrowth Institute, vol. 12(2), pages 50-71.
  13. Isaac Kalonda-Kanyama, 2010. "Civil War, Sexual Violence and HIV Infections: Evidence from the Democratic Republic of the Congo," Journal of African Development, African Finance and Economic Association, African Finance and Economic Association, vol. 12(2), pages 47-60.
  14. Rangan Gupta & Josine Uwilingiye, 2010. "Dynamic Time Inconsistency And The South African Reserve Bank," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 78(1), pages 76-88, 03.

2009

  1. Bauwens, L. & Galli, F., 2009. "Efficient importance sampling for ML estimation of SCD models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 53(6), pages 1974-1992, April.
  2. Bauwens Luc & Storti Giuseppe, 2009. "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 13(2), pages 1-33, May.
  3. Lumengo Bonga-Bonga, 2009. "An Assessment of the Degree of South Africa's Financial Integration into the World Economy," The African Finance Journal, Africagrowth Institute, Africagrowth Institute, vol. 11(2), pages 67-79.
  4. Lumengo Bonga-bonga, 2009. "The South African Aggregate Production Function: Estimation Of The Constant Elasticity Of Substitution Function," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 77(2), pages 332-349, 06.
  5. Alain Kabundi, 2009. "Synchronisation Between South Africa And The U.S.: A Structural Dynamic Factor Analysis," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 77(1), pages 1-27, 03.
  6. Das, Sonali & Gupta, Rangan & Kabundi, Alain, 2009. "Could we have predicted the recent downturn in the South African housing market?," Journal of Housing Economics, Elsevier, Elsevier, vol. 18(4), pages 325-335, December.
  7. Alain Kabundi & Idriss Mouchili, 2009. "Stock Market Integration: A South African Perspective," The African Finance Journal, Africagrowth Institute, Africagrowth Institute, vol. 11(2), pages 51-66.
  8. Fiona Tregenna, 2009. "Characterising deindustrialisation: An analysis of changes in manufacturing employment and output internationally," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 33(3), pages 433-466, May.
  9. Fiona Tregenna, 2009. "The fat years: the structure and profitability of the US banking sector in the pre-crisis period," Cambridge Journal of Economics, Oxford University Press, Oxford University Press, vol. 33(4), pages 609-632, July.
  10. Andrew stuart Duncan & Guangling"dave" Liu, 2009. "Modelling South African Currency Crises As Structural Changes In The Volatility Of The Rand," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 77(3), pages 363-379, 09.

2008

  1. Lumengo Bonga-Bonga, 2008. "Modelling the Rand-Dollar Future Spot Rates: The Kalman Filter Approach," The African Finance Journal, Africagrowth Institute, Africagrowth Institute, vol. 10(2), pages 60-75.
  2. Fiona Tregenna, 2008. "The Contributions Of Manufacturing And Services To Employment Creation And Growth In South Africa," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 76(s2), pages S175-S204, 08.
  3. Fiona Tregenna, 2008. "Quantifying The Outsourcing Of Jobs From Manufacturing To Services," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 76(s2), pages S222-S238, 08.
  4. Rangan Gupta & Josine Uwilingiye, 2008. "Measuring The Welfare Cost Of Inflation In South Africa," South African Journal of Economics, Economic Society of South Africa, Economic Society of South Africa, vol. 76(1), pages 16-25, 03.

2007

  1. Bauwens, L. & Hafner, C.M. & Rombouts, J.V.K., 2007. "Multivariate mixed normal conditional heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 51(7), pages 3551-3566, April.
  2. L. Bauwens & J.V.K. Rombouts, 2007. "Bayesian inference for the mixed conditional heteroskedasticity model," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 10(2), pages 408-425, 07.
  3. Luc Bauwens & Michel Lubrano, 2007. "Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 26(2-4), pages 469-486.
  4. L. Bauwens & J. V. K. Rombouts, 2007. "Bayesian Clustering of Many Garch Models," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 26(2-4), pages 365-386.
  5. Luc Bauwens & Alvaro Escribano & Michel Lubrano, 2007. "The Econometrics of Industrial Organization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(7), pages 1153-1156.
  6. Kabundi, Alain & Loots, Elsabe, 2007. "Co-movement between South Africa and the Southern African Development Community: An empirical analysis," Economic Modelling, Elsevier, Elsevier, vol. 24(5), pages 737-748, September.

2006

  1. Luc Bauwens & Winfried Pohlmeier & David Veredas, 2006. "Editor’s introduction," Empirical Economics, Springer, Springer, vol. 30(4), pages 791-794, January.
  2. Luc Bauwens & Dagfinn Rime & Genaro Sucarrat, 2006. "Exchange rate volatility and the mixture of distribution hypothesis," Empirical Economics, Springer, Springer, vol. 30(4), pages 889-911, January.
  3. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
  4. Bauwens, Luc & Peter Boswijk, H. & Urbain, Jean-Pierre, 2006. "Causality and exogeneity in econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 132(2), pages 305-309, June.
  5. Luc Bauwens & Nikolaus Hautsch, 2006. "Stochastic Conditional Intensity Processes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(3), pages 450-493.
  6. Bauwens, Luc, 2006. "Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(1), pages 1-23, March.

2005

  1. Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(7), pages 1108-1125, November.
  2. Bauwens, Luc & Laurent, Sebastien, 2005. "A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 346-354, July.
  3. Sumon Kumar Bhaumik & Stephen Gelb, 2005. "Determinants of Entry Mode Choice of MNCs in Emerging Markets : Evidence from South Africa and Egypt," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 41(2), pages 5-24, March.

2004

  1. Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, Elsevier, vol. 119(2), pages 381-412, April.
  2. Bauwens, Luc & Lubrano, Michel & van Dijk, Herman K., 2004. "Recent advances in Bayesian econometrics," Journal of Econometrics, Elsevier, Elsevier, vol. 123(2), pages 197-199, December.
  3. Bauwens, Luc & Bos, Charles S. & van Dijk, Herman K. & van Oest, Rutger D., 2004. "Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods," Journal of Econometrics, Elsevier, Elsevier, vol. 123(2), pages 201-225, December.
  4. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, Elsevier, vol. 20(4), pages 589-609.

2003

  1. Michel Lubrano & Luc Bauwens & Alan Kirman & Camelia Protopopescu, 2003. "Ranking Economics Departments in Europe: A Statistical Approach," Journal of the European Economic Association, MIT Press, MIT Press, vol. 1(6), pages 1367-1401, December.
  2. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, Springer, vol. 28(4), pages 709-731, November.

2002

  1. Bauwens, Luc & Lubrano, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," Journal of Empirical Finance, Elsevier, Elsevier, vol. 9(3), pages 321-342, August.

2000

  1. Luc BAUWENS & Pierre GIOT, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annales d'Economie et de Statistique, ENSAE, issue 60, pages 117-149.

1998

  1. Luc Bauwens & Michel Lubrano, 1998. "Bayesian inference on GARCH models using the Gibbs sampler," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 1(Conferenc), pages C23-C46.

1996

  1. Bauwens, Luc & Polasek, Wolfgang & van Dijk, Herman K., 1996. "Editor's introduction," Journal of Econometrics, Elsevier, Elsevier, vol. 75(1), pages 1-5, November.

1995

  1. Bauwens, Luc & Lubrano, Michel, 1995. "Editors' introduction Bayesian and classical econometric modeling of time series," Journal of Econometrics, Elsevier, Elsevier, vol. 69(1), pages 1-4, September.

1994

  1. Bauwens, Luc & Fiebig, Denzil G & Steel, Mark F J, 1994. "Estimating End-Use Demand: A Bayesian Approach," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(2), pages 221-31, April.

1991

  1. Luc BAUWENS, 1991. "The 'pathology' of the Natural Conjugate Prior Density in the Regression Model," Annales d'Economie et de Statistique, ENSAE, issue 23, pages 49-64.
  2. Luc BAUWENS & Michel LUBRANO, 1991. "Bayesian Diagnostics for Heterogeneity," Annales d'Economie et de Statistique, ENSAE, issue 20-21, pages 17-40.

1988

  1. Zellner, Arnold & Bauwens, Luc & Van Dijk, Herman K., 1988. "Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods," Journal of Econometrics, Elsevier, Elsevier, vol. 38(1-2), pages 39-72.
  2. Balassa, Bela & Bauwens, Luc, 1988. "The determinants of intra-European trade in manufactured goods," European Economic Review, Elsevier, Elsevier, vol. 32(7), pages 1421-1437, September.
  3. Bela Balassa & Luc Bauwens, 1988. "Inter-industry and intra-industry specialization in manufactured goods," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 124(1), pages 1-13, March.

1987

  1. Balassa, Bela & Bauwens, Luc, 1987. "Intra-industry Specialisation in a Multi-country and Multi-industry Framework," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 97(388), pages 923-39, December.
  2. Eeckhoudt, Louis & Bauwens, Luc & Lebrun, Thérèse, 1987. "Théorie de l’information et diagnostic médical : une analyse coût-efficacité," L'Actualité Economique, Société Canadienne de Science Economique, Société Canadienne de Science Economique, vol. 63(2), pages 243-255, juin et s.

1985

  1. Bauwens, Luc & Richard, Jean-Francois, 1985. "A 1-1 poly-t random variable generator with application to Monte Carlo integration," Journal of Econometrics, Elsevier, Elsevier, vol. 29(1-2), pages 19-46.

1983

  1. Bauwens, Luc & d'Alcantara, Gonzague, 1983. "An export model for the Belgian industry," European Economic Review, Elsevier, Elsevier, vol. 22(3), pages 265-276.

Books

2000

  1. Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198773139, October.