Econometrics


Journal Articles


1. Bauwens, Luc; Otranto, Edoardo. Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models. In: Journal of Financial Econometrics, , p. nbac007 (2022). doi:10.1093/jjfinec/nbac007. http://hdl.handle.net/2078.1/259693

2. Hafner, Christian. Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility. In: Journal of Financial Econometrics, Vol. 18, no. 2, p. 233–249 (2020). doi:10.1093/jjfinec/nby023. http://hdl.handle.net/2078.1/218031

3. Hafner, Christian. The Spread of the Covid-19 Pandemic in Time and Space. In: International Journal of Environmental Research and Public Health, Vol. 17, no.11, p. 3827 (2020). doi:10.3390/ijerph17113827. http://hdl.handle.net/2078.1/238815

4. Bocart, Fabian; Ghysels, Eric; Hafner, Christian. Monthly Art Market Returns. In: Journal of Risk and Financial Management, Vol. 13, no.5, p. 100 (2020). doi:10.3390/jrfm13050100. http://hdl.handle.net/2078.1/238816

5. Herings, P.Jean-Jacques; Mauleon, Ana; Vannetelbosch, Vincent. Matching with myopic and farsighted players. In: Journal of Economic Theory, , no.190 , p. 27 (2020). doi:10.1016/j.jet.2020.105125 (Soumis). http://hdl.handle.net/2078.1/237811

6. Daouia, Abdelaati; Florens, Jean-Pierre; Simar, Léopold. Robustified expected maximum production frontiers. In: Econometric Theory, Vol. 37, no. 2, p. 346-387 (2021). doi:10.1017/S0266466620000171. http://hdl.handle.net/2078.1/229043

7. Hafner, Christian; Linton, Oliver; Tang, Haihan. Estimation of a multiplicative correlation structure in the large dimensional case. In: Journal of Econometrics, Vol. 217, no.2, p. 431-470 (2020). doi:10.1016/j.jeconom.2019.12.012. http://hdl.handle.net/2078.1/238812

8. Hafner, Christian; Herwartz, Helmut; Maxand, Simone. Identification of structural multivariate GARCH models. In: Journal of Econometrics, (2020). doi:10.1016/j.jeconom.2020.07.019 (Accepté/Sous presse). http://hdl.handle.net/2078.1/238805

9. 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

10. 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

11. 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

12. 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

13. Hafner, Christian; Kyriakopoulou, Dimitra. Exponential-Type GARCH Models With Linear-in-Variance Risk Premium. In: Journal of Business & Economic Statistics, Vol. To appear. doi:10.1080/07350015.2019.1691564 (Accepté/Sous presse). http://hdl.handle.net/2078.1/238811

14. 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

15. 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

16. 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

17. 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. http://hdl.handle.net/2078.1/183791

18. 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. http://hdl.handle.net/2078.1/191239

19. 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. http://hdl.handle.net/2078.1/190985

20. 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 (2016). doi:10.1016/j.csda.2015.02.013. http://hdl.handle.net/2078.1/178821

21. 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. http://hdl.handle.net/2078.1/190981

22. 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. http://hdl.handle.net/2078.1/162482


Working Papers


1. Bauwens, Luc; Chevillon, Guillaume; Laurent, Sébastien. We modeled long memory with just one lag!. 2022. 43 p. LIDAM Discussion Paper CORE 2022/16. http://hdl.handle.net/2078.1/259893

2. Hafner, Christian; Wang, Linqi. Dynamic portfolio selection with sector-specific regularization. 2020. 33 p. ISBA Discussion Paper 2020/32. http://hdl.handle.net/2078.1/238945

3. Hafner, Christian; Herwartz, Helmut. Dynamic score driven independent component analysis. 2020. 48 p. ISBA Discussion Paper 2020/31. http://hdl.handle.net/2078.1/238943

4. Hafner, Christian; Kyriakopoulou, Dimitra. Exponential-type GARCH models with linear-in-variance risk premium. 2019. 51 p. CORE Discussion Papers 2019/13. http://hdl.handle.net/2078.1/219607

5. Bocart, Fabian; Hafner, Christian; Kasperskaya, Yulia; Sagarra, Marti. Investing in superheroes? Comic art as a new alternative investment. 2019. 37 p. CORE Discussion Papers 2019/16. http://hdl.handle.net/2078.1/220659

6. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix. 2019. 45 p. CORE Discussion Papers 2019/31. http://hdl.handle.net/2078.1/224037

7. Simar, Léopold; Wilson, Paul. Hypothesis Testing in Nonparametric Models of Production using Multiple Sample Splits. 2019. 36 p. ISBA Discussion Paper 2019/19. http://hdl.handle.net/2078.1/219345

8. Mastromarco, Camilla; Simar, Léopold; Wilson, Paul. Predicting Recessions: A New Measure of Output Gap as Predictor. 2019. ISBA Discussion Paper 2019/23. http://hdl.handle.net/2078.1/222030

9. Bauwens, Luc; Xu, Yongdeng. DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations. 2019. 54 p. CORE Discussion Papers 2019/25. http://hdl.handle.net/2078.1/223938

10. Bauwens, Luc; Otranto, Edoardo. Nonlinearities and regimes in conditional correlations with different dynamics. 2018. 22 p. CORE Discussion Paper 2018/09. http://hdl.handle.net/2078.1/196447

11. Herings, Jean-Jacques; Mauleon, Ana; Vannetelbosch, Vincent. Matching with myopic and farsighted players. 2017. 36 p. CORE Discussion Paper; CEREC Discussion Paper; METEOR Research Memorandum 2017/14; 2017/01; 17/011. http://hdl.handle.net/2078.1/184244

12. Bauwens, Luc; Braione, Manuela; STORTI, Giuseppe. A dynamic component model for forecasting high-dimensional realized covariance matrices. 2016. 26 p. CORE Discussion Paper 2016/01. http://hdl.handle.net/2078.1/171242

13. Bauwens, Luc; Braione, Manuela; Storti, Giuseppe. Multiplicative Conditional Correlation Models for Realized Covariance Matrices. 2016. 27 p. CORE Discussion Paper 2016/41. http://hdl.handle.net/2078.1/178422

14. Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud. A New Approach to Volatility Modeling : the High-Dimensional Markov Model. 2016. 50 p. CORE Discussion Paper 2016/42. http://hdl.handle.net/2078.1/179137

15. Bauwens, Luc; Carpantier, Jean-Francois; Dufays, Arnaud. Autoregressive Moving Average Infinite Hidden Markov-Switching Models. 2015. 42 p. CORE Discussion Paper 2015/07. http://hdl.handle.net/2078.1/157068