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D-Index & Metrics

Economics and Finance

D-Index
44
Citations
12113
World Ranking
1822
National Ranking
20

Overview

Luc Bauwens is affiliated with the Université Catholique de Louvain in Belgium and is active in research fields related to Economics, Econometrics, and Finance. Their work spans several subfields, notably Economics and Econometrics, Finance, General Economics, Econometrics and Finance, Statistics and Probability, and Global and Planetary Change.

The research topics addressed by Luc Bauwens include Financial Risk and Volatility Modeling, Market Dynamics and Volatility, Complex Systems and Time Series Analysis, Monetary Policy and Economic Impact, Spatial and Panel Data Analysis, Hydrology and Drought Analysis, and Statistical Methods and Inference.

Frequent venues for publishing Luc Bauwens's research are the International Journal of Forecasting, SSRN Electronic Journal, Journal of Econometrics, Journal of Financial Econometrics, and Statistical Modelling.

Notable recent papers authored by Luc Bauwens include:

  • "DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations," 2022, International Journal of Forecasting
  • "Multiplicative Conditional Correlation Models for Realized Covariance Matrices," 2020, SSRN Electronic Journal
  • "We modeled long memory with just one lag!," 2023, Journal of Econometrics
  • "Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models," 2022, Journal of Financial Econometrics
  • "The contribution of realized variance-covariance models to the economic value of volatility timing," 2024, International Journal of Forecasting

Luc Bauwens collaborates frequently with several coauthors, including Edoardo Otranto, Yongdeng Xu, Guillaume Chevillon, Sébastien Laurent, and Manuela Braione. The publication count indicates multiple collaborations with these researchers.

Best Publications

  • Multivariate GARCH models: a survey

    Luc Bauwens;Sébastien Laurent;Jeroen V. K. Rombouts

  • Bayesian Inference in Dynamic Econometric Models

    Luc Bauwens;Michel Lubrano;Jean-François Richard

  • Intra-industry specialization in a multi-country and multi-industry framework

    Bela Balassa;Loc Bauwens

  • The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks

    Luc Bauwens;Pierre Giot

  • Modelling financial high frequency data using point processes

    Luc Bauwens;Nikolaus Hautsch

  • A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models

    Luc Bauwens;Sébastien Laurent

  • The stochastic conditional duration model: a latent variable model for the analysis of financial durations

    Luc Bauwens;David Veredas

  • Bayesian inference on GARCH models using the Gibbs sampler

    Luc Bauwens;Michel Lubrano

  • News announcements, market activity and volatility in the Euro/Dollar foreign exchange market

    Luc Bauwens;Walid Ben Omrane;Pierre Giot;Pierre Giot

  • A comparison of financial duration models via density forecasts

    Luc Bauwens;Pierre Giot;Joachim Grammig;David Veredas

  • Theory and inference for a Markov switching GARCH model

    Luc Bauwens;Arie Preminger;Jeroen V.K. Rombouts

  • Multivariate GARCH Models: A Survey

    Luc Bauwens;Sébastien Laurent;J. V. K. Rombouts

  • Changing Trade Patterns in Manufactured Goods: An Econometric Investigation

    Luc Bauwens;Bela A. Balassa

  • Econometric Modelling of Stock Market Intraday Activity

    Pierre Giot;Luc Bauwens

  • THEORY AND INFERENCE FOR A MARKOV SWITCHING GARCH MODEL

    Luc Bauwens;Arie Preminger

  • Handbook of Volatility Models and Their Applications

    Luc Bauwens;Christian M. Hafner;Sebastien Laurent

  • Ranking economics departments in Europe: a statistical approach

    Luc Bauwens;Alan Kirman;Michel Lubrano;Camelia Protopopescu

  • A New Class of Multivariate skew Densities, with Application to GARCH Models

    Luc Bauwens;Sébastien Laurent

  • The determinants of intra-European trade in manufactured goods

    Luc Bauwens;B. Balassa

  • High frequency financial econometrics : recent developments

    Winfried Pohlmeier;Luc Bauwens;David Veredas

  • Handbook of Volatility Models and Their Applications: Bauwens/Handbook of Volatility Models and Their Applications

    Luc Bauwens;Christian Hafner;Sebastien Laurent

Frequent Co-Authors

Sébastien Laurent
Sébastien Laurent Aix-Marseille University
Gary Koop
Gary Koop University of Strathclyde
Herman K. van Dijk
Herman K. van Dijk Erasmus University Rotterdam
Nikolaus Hautsch
Nikolaus Hautsch University of Vienna
Victor Ginsburgh
Victor Ginsburgh Université Libre de Bruxelles
Louis Eeckhoudt
Louis Eeckhoudt IESEG School of Management
Jacques-François Thisse
Jacques-François Thisse Université Catholique de Louvain
Alan Kirman
Alan Kirman School for Advanced Studies in the Social Sciences
Bela Balassa
Bela Balassa Johns Hopkins University
Mark F. J. Steel
Mark F. J. Steel University of Warwick

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