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Incoming Resources
- News announcements, market activity and volatility in the Euro/Dollar foreign exchange market
- A comparison of financial duration models via density forecasts
- Adaptive polar sampling with an application to a Bayes measure of value-at-risk
- Econometric modelling of stock market intraday activity, Luc Bauwens, Pierre Giot
- Approximate HPD regions for testing residual autocorrelation using augmented regressions
- Ranking economics departments in Europe, a statistical approach
- The moments of Log-ACD models
- Bayesian option pricing using asymmetric GARCH
- The stochastic conditional duration model, a latent factor model for the analysis of financial durations
- On the weak consistency of the quasi-maximum likelihood estimator in VAR models with BEKK-GARCH (1, q) errors
- Bayesian inference on Garch models using the Gibbs sampler
- Multivariate, GARCH models, a survey
- Bayesian option pricing using asymmetric Garch models
- Adaptive polar sampling
- A Gibbs sampling approach to cointegration
- Handbook of volatility models and their applications, edited by Luc Bauwens, Christian Hafner, Sebastien Laurent
- Trends and breaking points of the Bayesian econometric literature
- Estimating end-use demand, a bayesian approach
- Bayesian option pricing using asymmetric garch
- Identification restrictions and posterior densities in cointegrated Gaussian VAR systems
- Bayesian inference in dynamic econometric models, Luc Bauwens, Michael Lubrano and Jean-François Richard
- Bayesian inference on GARCH models using the Gibbs sampler
- Adaptive polar sampling with an application to a Bayes measure of value-at-risk
- A new class of multivariate skew densities, with and application to GARCH modelsent model for climate change
- Identifying long-run behaviour with non-stationary data
- Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo, Luc Bauwens
- Bayesian clustering of many Garch models