Luc Bauwens

Biographic Data

ID5733867
NAMELuc Bauwens
GIVEN NAMESLuc
FAMILY NAMEBauwens
SIGNATUREBAUWENS L
AFFILIATIONSUCLouvain
ORCID0000-0002-2045-1234
VERIFIEDYes
TOTAL WORKS14
TOTAL CITATIONS9
AUTHOR COUNT14
EDITOR COUNT0
FIRST PUBLICATION YEAR1987
LATEST PUBLICATION YEAR2019
H-INDEX2

  • A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model

    Maciej Augustyniak, Luc Bauwens et al.ARTICLEJournal of Business and Economic…2019

    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 latent volatility process specified as a product of three components: a Markov chain controlling volatility persistence, an independent discrete process capable of generating jumps in the volatility, and a predictable (data-driven) process capturing the leverage effect. An economic interpreta…

  • Autoregressive Moving Average Infinite Hidden Markov-Switching Models

    Luc Bauwens, J F Carpantier et al.ARTICLEJournal of Business and Economic…2017

    Markov-switching models are usually specified under the assumption that all the parameters change when a regime switch occurs. Relaxing this hypothesis and being able to detect which parameters evolve over time is relevant for interpreting the changes in the dynamics of the series, for specifying models parsimoniously, and may be helpful in forecasting. We propose the class of sticky infinite hidden Markov-switching autoregressive moving average …

  • Modeling the Dependence of Conditional Correlations on Market Volatility

    Luc Bauwens, Edoardo OtrantoARTICLEJournal of Business and Economic…2016

    Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns and several studies have shown that the market volatility is a major determinant of the correlations. We extend some models to include explicitly the dependence of the correlations on the market volatility. The models differ by the way—linear or nonlinear, direct or indirect—in which the volatility influences the cor…

  • The Econometrics of Industrial Organization

    Open AccessLuc Bauwens, Alvaro Escribano et al.ARTICLEJournal of Applied Econometrics2007

    The JAE Data Archive directory is available at http://qed.econ.queensu.ca/jae/datasets/ . Please note: The publisher is not responsible for the content or functionality of any supporting information supplied by the authors. Any queries (other than missing content) should be directed to the corresponding author for the article

  • Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market

    Luc Bauwens, Michel LubranoARTICLEEconometric Reviews2007

    We review Bayesian inference for dynamic latent variable models using the data augmentation principle. We detail the difficulties of simulating dynamic latent variables in a Gibbs sampler. We propose an alternative specification of the dynamic disequilibrium model which leads to a simple simulation procedure and renders Bayesian inference fully operational. Identification issues are discussed. We conduct a specification search using the posterior…

  • Multivariate GARCH models: A survey

    Open AccessLuc Bauwens, Sébastien Laurent et al.ARTICLEJournal of Applied Econometrics2006

    This paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.

  • Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market

    Open AccessLuc Bauwens, Michel LubranoARTICLESSRN Electronic Journal2006

  • A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models

    Luc Bauwens, Sébastien LaurentARTICLEJournal of Business and Economic…2005

    We propose a practical and flexible method to introduce skewness in multivariate symmetric distributions. Applying this procedure to the multivariate Student density leads to a “multivariate skew-Student” density in which each marginal has a specific asymmetry coefficient. Combined with a multivariate generalized autoregressive conditional heteroscedasticity model, this new family of distributions is found to be more useful than its symmetric cou…

  • Bayesian Analysis of Dynamic Disequilibrium Models: An Application to the Polish Credit Market

    Open AccessLuc Bauwens, Michel LubranoARTICLESSRN Electronic Journal2005

  • Ranking Economics Departments in Europe: A Statistical Approach

    Open AccessMichel Lubrano, Luc Bauwens et al.ARTICLEJournal of the European Economic…2003

    We provide a ranking of economics departments in Europe and we discuss the methods used to obtain it. The JEL CD-ROM serves as a database for a period covering 10 years. Journals are ranked using a combination of expert opinions and citation data to produce a scale from 1 to 10. The publication output and habits of fifteen European countries plus California are then compared. Individuals with a contribution greater than a predetermined minimum le…

  • Estimating End-use Demand: A Bayesian Approach

    Luc Bauwens, Denzil G Fiebig et al.ARTICLEJournal of Business and Economic…1994

    Eliminating negative end-use or appliance-consumption estimates and incorporating direct-metering information into the process of generating these estimates—these are two important aspects of conditional demand analysis that will be the focus of this article. In both cases a Bayesian approach seems a natural way of proceeding. What needs to be investigated is whether it is also a viable and effective approach. In addition, such a framework natura…

  • Changing Trade Patterns in Manufactured Goods: An Econometric Investigation

    David Greenaway, B Balassa et al.ARTICLEThe Economic Journal1990Cited by: 3

    Journal Article Changing Trade Patterns in Manufactured Goods: An Econometric Investigation Get access Changing Trade Patterns in Manufactured Goods: An Econometric Investigation. By B. BALASSA and L. BAUWENS. (Amsterdam: Elsevier 1988. Pp. xvi + 202. Dfl 150.00, US $79.00 hardback. ISBN 0 444 70492 2.) David Greenaway David Greenaway University of Nottingham Search for other works by this author on: Oxford Academic Google Scholar The Economic Jo…

  • The determinants of intra-European trade in manufactured goods

    Open AccessBela Balassa, Luc BauwensARTICLEEuropean Economic Review1988

  • Intra-Industry Specialisation in a Multi-Country and Multi-Industry Framework

    Bela Balassa, Luc BauwensARTICLEThe Economic Journal1987Cited by: 6References: 1

    Journal Article Intra-Industry Specialisation in a Multi-Country and Multi-Industry Framework Get access Bela Balassa, Bela Balassa Johns Hopkins University and the World Bank Faculte Universitaire Catholique de Mons and the World Bank Search for other works by this author on: Oxford Academic Google Scholar Luc Bauwens Luc Bauwens Johns Hopkins University and the World Bank Faculte Universitaire Catholique de Mons and the World Bank Search for ot…