Journal Articles

1. 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.

2. 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.

3. Gao, Zhengyuan; Hafner, Christian. Looking Backward and Looking Forward. In: Econometrics, Vol. 7, no.2, p. article 27 (2019). doi:10.3390/econometrics7020027.

4. 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.

5. 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).

6. 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.

7. Bauwens, Luc; Braione, Manuela; Storti, Giuseppe. A dynamic component model for forecasting high-dimensional realized covariance matrices. In: Econometrics and Statistics, Vol. 1, p. 40-61 (2017). doi:10.1016/j.ecosta.2016.09.003.

8. Bauwens, Luc; Carpentier, Jean-François; Dufays, Arnaud. Autoregressive moving average infinite hidden Markov-switching models. In: Journal of Business and Economic Statistics, Vol. 35, no.2, p. 162-182 (2017). doi:10.1080/07350015.2015.1123636.

9. Birke, Melanie; Van Bellegem, Sébastien; Van Keilegom, Ingrid. Semi-parametric Estimation in a Single-index Model with Endogenous Variables. In: Scandinavian Journal of Statistics : theory and applications, Vol. 44, no.1, p. 168-191 (2017). doi:10.1111/sjos.12247.

10. Mikolajczak, Moïra; Van Bellegem, Sébastien. Increasing emotional intelligence to decrease healthcare expenditures: how profitable would it be?. In: Personality and Individual Differences, Vol. 116, p. 343-347 (2017). doi:10.1016/j.paid.2017.05.014.

11. Bauwens, Luc; Otranto, Edoardo. Modeling the Dependence of Conditional Correlations on Market Volatility. In: Journal of Business & Economic Statistics, Vol. 34, p. 254-268 (2016). doi:10.1080/07350015.2015.1037882.

12. Bauwens, Luc; Grigoryeva, Lyudmila; Ortega, Juan-Pablo. Estimation and Empirical Performance of Non-Scalar DCC Models. In: Computational Statistics & Data Analysis, Vol. 100, p. 17-36 (March 2015). doi:10.1016/j.csda.2015.02.013.

13. Bauwens, Luc; Braione, Manuela; Giuseppe Storti. Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices. In: Annals of Economics and Statistics, Vol. 123/124, p. 103-134 (2016). doi:10.15609/annaeconstat2009.123-124.0103.

14. Bauwens, Luc; Koop, Gary; Korobilis, Dimitris; Rombouts, Jeroen V.K. The Contribution of Structural Break Models to Forecasting Macroeconomic Series. In: Journal of Applied Econometrics, Vol. 30, no.4, p. 596-620 (2015). doi:10.1002/jae.2387.

Working Papers

1. Mouchart, Michel; Orsi, Renzo; Wunsch, Guillaume. Causality in econometric modeling. From theory to structural causal modeling (xxx), 2020. 38 p.

2. Bauwens, Luc; Xu, Yongdeng. DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations (xxx), 2019. 54 p.

3. Hafner, Christian; Kyriakopoulou, Dimitra. Exponential-type GARCH models with linear-in-variance risk premium (xxx), 2019. 51 p.

4. Bocart, Fabian; Hafner, Christian; Kasperskaya, Yulia; Sagarra, Marti. Investing in superheroes? Comic art as a new alternative investment (xxx), 2019. 37 p.

5. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix (xxx), 2019. 45 p.

6. Bauwens, Luc; Otranto, Edoardo. Nonlinearities and regimes in conditional correlations with different dynamics (xxx), 2018. 22 p.

7. Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud. A New Approach to Volatility Modeling : the High-Dimensional Markov Model (xxx), 2016. 50 p.

8. Bauwens, Luc; Braione, Manuela; Storti, Giuseppe. Multiplicative Conditional Correlation Models for Realized Covariance Matrices (xxx), 2016. 27 p.

9. Bauwens, Luc; Braione, Manuela; STORTI, Giuseppe. A dynamic component model for forecasting high-dimensional realized covariance matrices (xxx), 2016. 26 p.

10. Birke, Mélanie; Van Bellegem, Sébastien; Van Keilegom, Ingrid. Semi-Parametric Estimation in a Single- Index Model with Endogenous Variables (xxx), 2016. 32 p.

11. Bauwens, Luc; Carpantier, Jean-Francois; Dufays, Arnaud. Autoregressive Moving Average Infinite Hidden Markov-Switching Models (xxx), 2015. 42 p.