Econometrics


Journal Articles


1. Bellotti, Anthony; Brigo, Damiano; Gambetti, Paolo; Vrins, Frédéric. Forecasting recovery rates on non-performing loans with machine learning. In: International Journal of Forecasting, (2020). (Accepté/Sous presse). http://hdl.handle.net/2078.1/230633

2. 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

3. Jourquin, Bart. Estimating Elasticities for Freight Transport Using a Network Model: An Applied Methodological Framework. In: Journal of Transportation Technologies, Vol. 09, no.01, p. 1-13 (2019). doi:10.4236/jtts.2019.91001. http://hdl.handle.net/2078.1/204788

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. 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

6. 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

7. 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

8. 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

9. 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

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. http://hdl.handle.net/2078.1/187426

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

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. http://hdl.handle.net/2078.1/178821

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

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

15. Petitjean, Mikael. How integrated is the European carbon derivatives market?. In: Finance Research Letters, Vol. 15, no.1, p. 18-30 (Novembre 2015). doi:10.1016/j.frl.2015.07.005. http://hdl.handle.net/2078.1/171606

16. Liu, Qiang; Vekemans, Katrien; Iania, Leonardo; Komuta, Mina; Parkkinen, Jaakko; Heedfeld, Veerle; Wylin, Tine; Monbaliu, Diethard; Pirenne, Jacques; van Pelt, Jos. Assessing warm ischemic injury of pig livers at hypothermic machine perfusion. In: Journal of Surgical Research, Vol. 186, no. 1, p. 379-389 (2014). doi:10.1016/j.jss.2013.07.034. http://hdl.handle.net/2078.1/152866

17. Dewachter, Hans; Iania, Leonardo; Lyrio, Marco. Information in the yield curve: A macro-finance approach. In: Journal of Applied Econometrics, Vol. 29, no. 1, p. 42-64 (2014). doi:10.1002/jae.2305. http://hdl.handle.net/2078.1/159484

18. Gilson, Nathalie; Labondance, Fabien. Synchronisation des chocs d'offre et de demande en Europe : un après euro ou une après crises des subprimes ?. In: L'actualité économique, Vol. 89, no. 3, p. 1-35 (septembre 2013). doi:10.7202/1025396ar. http://hdl.handle.net/2078.1/152572


Working Papers


1. Gambetti, Paolo; Roccazzella, Francesco; Vrins, Frédéric. Meta-learning approaches for recovery rate prediction (xxx), 2020. 30 p. http://hdl.handle.net/2078.1/229301

2. Bauwens, Luc; Xu, Yongdeng. DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations (xxx), 2019. 54 p. http://hdl.handle.net/2078.1/223938

3. Hafner, Christian; Kyriakopoulou, Dimitra. Exponential-type GARCH models with linear-in-variance risk premium (xxx), 2019. 51 p. http://hdl.handle.net/2078.1/219607

4. Bocart, Fabian; Hafner, Christian; Kasperskaya, Yulia; Sagarra, Marti. Investing in superheroes? Comic art as a new alternative investment (xxx), 2019. 37 p. http://hdl.handle.net/2078.1/220659

5. Hafner, Christian; Wang, Linqi. A dynamic conditional score model for the log correlation matrix (xxx), 2019. 45 p. http://hdl.handle.net/2078.1/224037

6. Bauwens, Luc; Otranto, Edoardo. Nonlinearities and regimes in conditional correlations with different dynamics (xxx), 2018. 22 p. http://hdl.handle.net/2078.1/196447

7. Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud. A New Approach to Volatility Modeling : the High-Dimensional Markov Model (xxx), 2016. 50 p. http://hdl.handle.net/2078.1/179137

8. Bauwens, Luc; Braione, Manuela; Storti, Giuseppe. Multiplicative Conditional Correlation Models for Realized Covariance Matrices (xxx), 2016. 27 p. http://hdl.handle.net/2078.1/178422

9. Bauwens, Luc; Braione, Manuela; STORTI, Giuseppe. A dynamic component model for forecasting high-dimensional realized covariance matrices (xxx), 2016. 26 p. http://hdl.handle.net/2078.1/171242

10. Bauwens, Luc; Carpantier, Jean-Francois; Dufays, Arnaud. Autoregressive Moving Average Infinite Hidden Markov-Switching Models (xxx), 2015. 42 p. http://hdl.handle.net/2078.1/157068