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Luc Bauwens

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Personal Details

First Name: Luc
Middle Name:
Last Name: Bauwens
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RePEc Short-ID: pba4

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Homepage: http://www.core.ucl.ac.be/econometrics/bauwens.htm
Postal Address: 34 Voie du Roman Pays B-1348 Louvain La Neuve Belgium
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This author is among the top 5% authors according to these criteria:
  1. Number of Works
  2. Number of Distinct Works
  3. Number of Citations, Discounted by Citation Age
  4. h, where author has written h papers that have each been cited at least h times.
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Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
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Working papers

  1. Luc Bauwens & Jeroen V.K. Rombouts, 2009. "On Marginal Likelihood Computation in Change-point Models," Cahiers de recherche 0942, CIRPEE. [Downloadable!]

  2. Bauwens, Luc & Mion, Giordano & Thisse, Jacques-François, 2008. "The Resistible Decline of European Science," CEPR Discussion Papers 6625, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  3. Luc, BAUWENS & Fausto Galli, 2007. "Efficient importance sampling for ML estimation of SCD models," Discussion Papers (ECON - Département des Sciences Economiques) 2007032, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  4. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2007. "Theory and inference for a Markov switching GARCH model," Discussion Papers (ECON - Département des Sciences Economiques) 2007033, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  5. Giuseppe Storti & Luc Bauwens, 2006. "A component GARCH model with time varying weights," Computing in Economics and Finance 2006 388, Society for Computational Economics.
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  6. Luc, BAUWENS & C.M., HAFNER & J.V.K., ROMBOUTS, 2006. "Multivariate mixed normal conditional heteroskedasticity," Discussion Papers (ECON - Département des Sciences Economiques) 2006007, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  7. Luc, BAUWENS & Genaro, SUCARRAT, 2006. "General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation," Discussion Papers (ECON - Département des Sciences Economiques) 2006013, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  8. 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) 2006027, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  9. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques) 2006006, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  10. Luc, BAUWENS & Walid, BEN OMRANE & Erick, Rengifo, 2006. "Intra-Daily FX Optimal Portfolio Allocation," Discussion Papers (ECON - Département des Sciences Economiques) 2006005, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  11. Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  12. Luc, BAUWENS & Dagfinn, RIME & Genaro, SUCARRAT, 2005. "Exchange Rate Volatility and the Mixture of Distribution Hypothesis," Discussion Papers (ECON - Département des Sciences Economiques) 2005043, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  13. Luc, Bauwens & J.V.K., ROMBOUTS, 2005. "Bayesian inference for the mixed conditional heteroskedasticity model," Discussion Papers (ECON - Département des Sciences Economiques) 2005058, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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  14. Luc Bauwens & Jeroen Rombouts, 2004. "Bayesian Clustering Of Similar Multivariate Garch Models," Econometric Society 2004 North American Winter Meetings 370, Econometric Society. [Downloadable!]

  15. L. Bauwens & C.S. Bos & H.K. Van Dijk & R.D. Van Oest, 2003. "Adaptive radial-based direction sampling - some flexibel and robust Monte Carlo integration methods," Econometric Institute Report 327, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  16. BAUWENS, Luc & ROMBOUTS, Jeroen, 2003. "Bayesian clustering of many GARCH models," CORE Discussion Papers 2003087, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Published as:

  17. BAUWENS, Luc & KIRMAN, Alan & LUBRANO, Michel & PROTOPOPESCU, Camelia, 2003. "Ranking economics departments in Europe: a statistical approach," CORE Discussion Papers 2003050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Published as:

  18. BAUWENS, Luc & GALLI, Fausto & GIOT, Pierre, 2003. "The moments of Log-ACD models," CORE Discussion Papers 2003011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  19. BAUWENS, Luc & BEN OMRANE, Walid, 2003. "News annoucements, market activity and volatility in the Euro/Dollar foreign exchange market," CORE Discussion Papers 2003029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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  20. BAUWENS, Luc & LAURENT, SŽbastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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  21. BAUWENS, Luc & HAUTSCH, Nikolaus, 2003. "Dynamic latent factor models for intensity processes," CORE Discussion Papers 2003103, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  22. Bauwens, L. & Bos, C.S. & Dijk, H.K. van & Oest, R.D. van, 2003. "Explaining Adaptive Radial-Based Direction Sampling," Econometric Institute Report EI 2003-37 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

  23. L. Bauwens & S. Laurent & J.P. Peters & J. Rombouts, 2002. "Multivariate GARCH models and their Estimation," Computing in Economics and Finance 2002 19, Society for Computational Economics.

  24. L. Bauwens & C.S. Bos & H.K. Van Dijk & R.D. Van Oest, 2002. "Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods," Econometric Institute Report 278, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  25. Luc Bauwens & Charles S. Bos & Herman K. van Dijk & Rutger D. van Oest, 2002. "Adaptive Polar Sampling," Computing in Economics and Finance 2002 307, Society for Computational Economics.

  26. Luc Bauwens & Sébastien Laurent, 2002. "A New Class of Multivariate skew Densities, with Application to GARCH Models," Computing in Economics and Finance 2002 5, Society for Computational Economics.
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  27. Bauwens, L. & Lubrano, M., 2000. "Bayesian Option Pricing using Asymmetric Garch Models," G.R.E.Q.A.M. 00a18, Universite Aix-Marseille III.
    Published as:

  28. 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 0810, Econometric Society. [Downloadable!]
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  29. BAUWENS, Luc & HUNTER, John, 2000. "Identifying long-run behaviour with non-stationary data," CORE Discussion Papers 2000043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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  30. 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). [Downloadable!]

  31. BAUWENS, Luc & VEREDAS, David, 1999. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," CORE Discussion Papers 1999058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  32. 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. [Downloadable!]
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  33. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," CORE Discussion Papers 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  34. 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. [Downloadable!]
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  35. BAUWENS, Luc & DEPRINS, Dominique & VANDEUREN, Jean-Pierre, 1997. "Modelling interest rates with a cointegrated VAR-GARCH model," CORE Discussion Papers 1997080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  36. BAUWENS, LUC & GIOT, Pierre, 1997. "The logarithmic ACD model: an application to market microstructure and NASDAQ," CORE Discussion Papers 1997089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  37. Bauwens, L. & Lubrano, M., 1997. "Bayesian Option Pricing Using Asymmetric GARCH," G.R.E.Q.A.M. 97a40, Universite Aix-Marseille III.
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  38. Bauwens, L. & Lubrano, M., 1996. "Bayesian Inference on GARCH Models Using the Gibbs Sampler," G.R.E.Q.A.M. 96a21, Universite Aix-Marseille III.
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  39. BAUWENS, Luc & RASQUERO, A., 1992. "Approximate HPD regions for testing residual autocorrelation using augmented regressions," CORE Discussion Papers 1992038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

  40. 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. 90a03, Universite Aix-Marseille III.

  41. Bauwens, L., 1990. "The "Pathology" Of The Natural Conjugate Prior Density In The Regression Model," G.R.E.Q.A.M. 90a14, Universite Aix-Marseille III.
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  42. ZELLNER, A. & BAUWENS, Luc & VAN DIJK, H., 1987. "Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods," CORE Discussion Papers 1987056, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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    Published as:

Articles

  1. Luc Bauwens & Giuseppe Storti, 2009. "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 13(2). [Downloadable!]

  2. Bauwens, L. & Galli, F., 2009. "Efficient importance sampling for ML estimation of SCD models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1974-1992, April. [Downloadable!] (restricted)
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  3. Luc Bauwens & Alvaro Escribano & Michel Lubrano, 2007. "The Econometrics of Industrial Organization," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(7), pages 1153-1156. [Downloadable!]

  4. L. Bauwens & J.V.K. Rombouts, 2007. "Bayesian inference for the mixed conditional heteroskedasticity model," Econometrics Journal, Royal Economic Society, vol. 10(2), pages 408-425, 07. [Downloadable!] (restricted)
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  5. Luc Bauwens & Michel Lubrano, 2007. "Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market," Econometric Reviews, Taylor and Francis Journals, vol. 26(2-4), pages 469-486. [Downloadable!] (restricted)
    Other versions:

  6. L. Bauwens & J. V. K. Rombouts, 2007. "Bayesian Clustering of Many Garch Models," Econometric Reviews, Taylor and Francis Journals, vol. 26(2-4), pages 365-386. [Downloadable!] (restricted)
    Other versions:

  7. Bauwens, L. & Hafner, C.M. & Rombouts, J.V.K., 2007. "Multivariate mixed normal conditional heteroskedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3551-3566, April. [Downloadable!] (restricted)
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  8. Bauwens, Luc & Peter Boswijk, H. & Urbain, Jean-Pierre, 2006. "Causality and exogeneity in econometrics," Journal of Econometrics, Elsevier, vol. 132(2), pages 305-309, June. [Downloadable!] (restricted)

  9. 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, vol. 24(1), pages 1-23, March. [Downloadable!]

  10. Luc Bauwens & Nikolaus Hautsch, 2006. "Stochastic Conditional Intensity Processes," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 450-493. [Downloadable!] (restricted)

  11. Luc Bauwens & Winfried Pohlmeier & David Veredas, 2006. "Editor’s introduction," Empirical Economics, Springer, vol. 30(4), pages 791-794, January. [Downloadable!] (restricted)

  12. Luc Bauwens & Dagfinn Rime & Genaro Sucarrat, 2006. "Exchange rate volatility and the mixture of distribution hypothesis," Empirical Economics, Springer, vol. 30(4), pages 889-911, January. [Downloadable!] (restricted)
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  13. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
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  14. 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, vol. 23, pages 346-354, July. [Downloadable!] (restricted)

  15. 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, vol. 24(7), pages 1108-1125, November. [Downloadable!] (restricted)
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  16. Bauwens, Luc & Lubrano, Michel & van Dijk, Herman K., 2004. "Recent advances in Bayesian econometrics," Journal of Econometrics, Elsevier, vol. 123(2), pages 197-199, December. [Downloadable!] (restricted)

  17. Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April. [Downloadable!] (restricted)

  18. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609. [Downloadable!] (restricted)
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  19. 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, vol. 123(2), pages 201-225, December. [Downloadable!] (restricted)
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  20. 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, vol. 1(6), pages 1367-1401, December. [Downloadable!] (restricted)
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  21. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November. [Downloadable!] (restricted)

  22. Bauwens, Luc & Lubrano, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 321-342, August. [Downloadable!] (restricted)
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  23. 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, ADRES, issue 60, pages 06, Octobre-D. [Downloadable!]

  24. Luc Bauwens & Michel Lubrano, 1998. "Bayesian inference on GARCH models using the Gibbs sampler," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C23-C46.
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  25. Bauwens, Luc & Polasek, Wolfgang & van Dijk, Herman K., 1996. "Editor's introduction," Journal of Econometrics, Elsevier, vol. 75(1), pages 1-5, November. [Downloadable!] (restricted)

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

  27. 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, vol. 12(2), pages 221-31, April.
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  28. Luc Bauwens & Michel Lubrano, 1991. "Bayesian Diagnostics for Heterogeneity," Annales d'Economie et de Statistique, ADRES, issue 20-21, pages 03, Octobre-m. [Downloadable!]

  29. Luc Bauwens, 1991. "The 'pathologie' of the Natural Conjugate Prior Density in the Regression Model," Annales d'Economie et de Statistique, ADRES, issue 23, pages 04, Juillet-S. [Downloadable!]
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  30. Bela Balassa & Luc Bauwens, 1988. "Inter-industry and intra-industry specialization in manufactured goods," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 124(1), pages 1-13, March. [Downloadable!] (restricted)

  31. 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, vol. 38(1-2), pages 39-72. [Downloadable!] (restricted)
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  32. Balassa, Bela & Bauwens, Luc, 1988. "The determinants of intra-European trade in manufactured goods," European Economic Review, Elsevier, vol. 32(7), pages 1421-1437, September. [Downloadable!] (restricted)

  33. Balassa, Bela & Bauwens, Luc, 1987. "Intra-industry Specialisation in a Multi-country and Multi-industry Framework," Economic Journal, Royal Economic Society, vol. 97(388), pages 923-39, December. [Downloadable!] (restricted)

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

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

  36. RePEc:bep:sndecm:13:2009:2:1512-1512 is not listed on IDEAS

NEP Fields

22 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (2) 2006-03-25 2008-05-31
  2. NEP-ECM: Econometrics (15) 1999-12-01 2002-09-28 2004-12-02 2006-03-25 2006-03-25 2006-03-25 2006-06-10 2006-11-04 2006-11-25 2006-12-16 2007-08-14 2007-09-09 2007-09-30 2008-05-31 2009-10-24 Author is listed
  3. NEP-EDU: Education (1) 2008-04-12
  4. NEP-EEC: European Economics (1) 2008-04-12
  5. NEP-EFF: Efficiency & Productivity (1) 2008-04-12
  6. NEP-ETS: Econometric Time Series (13) 2002-09-28 2004-12-02 2006-03-25 2006-03-25 2006-03-25 2006-06-10 2006-11-25 2006-12-16 2007-08-14 2007-09-09 2007-09-30 2007-10-13 2008-05-31 Author is listed
  7. NEP-FIN: Finance (3) 1999-12-01 2004-12-02 2006-03-25
  8. NEP-FMK: Financial Markets (4) 2006-03-25 2006-06-10 2007-09-09 2007-10-13
  9. NEP-FOR: Forecasting (2) 2006-06-10 2008-05-31
  10. NEP-IFN: International Finance (4) 2005-12-14 2006-03-25 2006-06-10 2008-05-31
  11. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2008-04-12
  12. NEP-MAC: Macroeconomics (1) 2006-11-04
  13. NEP-MST: Market Microstructure (1) 2006-12-16
  14. NEP-RMG: Risk Management (2) 2006-03-25 2007-08-14
  15. NEP-SOG: Sociology of Economics (1) 2008-04-12
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This page was last updated on 2009-11-19.

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