Econometrics


Journal Articles


1. Bauwens, Luc; Otranto, Edoardo. Nonlinearities and regimes in conditional correlations with different dynamics. In: Journal of Econometrics, Vol. 217, no.2, p. 496-522 (2020). doi:10.1016/j.jeconom.2019.12.014. http://hdl.handle.net/2078.1/230903

2. Naceur, Sami Ben; Candelon, Bertrand; Lajaunie, Quentin. Taming financial development to reduce crises. In: Emerging Markets Review, Vol. 40, p. 100618 (2019). doi:10.1016/j.ememar.2019.05.003. http://hdl.handle.net/2078.1/225229

3. Sorgho, Zakaria; Tharakan, Joe. Assessing the impact of unilateral trade policies EBA and AGOA on African beneficiaries' exports using matching econometrics. In: The World Economy, Vol. 42, no.10, p. 3086-3118 (2019). doi:10.1111/twec.12842. http://hdl.handle.net/2078.1/230383

4. Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud. A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model. In: Journal of Business & Economic Statistics, Vol. 37, no.4, p. 696-709 (2019). doi:10.1080/07350015.2017.1415910. http://hdl.handle.net/2078.1/223277

5. Gao, Zhengyuan; Hafner, Christian. Looking Backward and Looking Forward. In: Econometrics, Vol. 7, no.2, p. article 27 (2019). doi:10.3390/econometrics7020027. http://hdl.handle.net/2078.1/218030

6. Yang, Yukai; Bauwens, Luc. State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering. In: Econometrics, Vol. 6, no.4, p. 48 (2018). doi:10.3390/econometrics6040048. http://hdl.handle.net/2078.1/208906

7. Demos, Antonis; Kyriakopoulou, Dimitra. Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. In: Journal of Time Series Econometrics, (2018). doi:10.1515/jtse-2018-0010 (Accepté/Sous presse). http://hdl.handle.net/2078.1/203915

8. Hafner, Christian. Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility. In: Journal of Financial Econometrics, no. nby023, p. 1-17 (2018). doi:10.1093/jjfinec/nby023. http://hdl.handle.net/2078.1/218031