Loading...

← Back to Leaderboard

Luc Bauwens

Global rank #3005 96%

Institution: Université Catholique de Louvain

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://perso.uclouvain.be/luc.bauwens/Bauwens.htm

First Publication: 1983

Most Recent: 2025

RePEc ID: pba4 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.67 2.01 0.00 3.35
Last 10 Years 0.00 4.02 2.01 0.00 10.05
All Time 0.00 11.56 8.04 0.00 31.17

Publication Statistics

Raw Publications 25
Coauthorship-Adjusted Count 19.69

Publications (25)

Year Article Journal Tier Authors
2025 The contribution of realized variance–covariance models to the economic value of volatility timing International Journal of Forecasting B 2
2023 We modeled long memory with just one lag! Journal of Econometrics A 3
2023 DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations International Journal of Forecasting B 2
2020 Nonlinearities and regimes in conditional correlations with different dynamics Journal of Econometrics A 2
2019 A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model Journal of Business & Economic Statistics A 3
2017 Autoregressive Moving Average Infinite Hidden Markov-Switching Models Journal of Business & Economic Statistics A 3
2016 Modeling the Dependence of Conditional Correlations on Market Volatility Journal of Business & Economic Statistics A 2
2015 The Contribution of Structural Break Models to Forecasting Macroeconomic Series Journal of Applied Econometrics B 4
2014 Marginal likelihood for Markov-switching and change-point GARCH models Journal of Econometrics A 3
2013 Forecasting a long memory process subject to structural breaks Journal of Econometrics A 3
2013 MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES Journal of Applied Econometrics B 3
2010 General-to-specific modelling of exchange rate volatility: A forecast evaluation International Journal of Forecasting B 2
2006 Causality and exogeneity in econometrics Journal of Econometrics A 3
2006 Multivariate GARCH models: a survey Journal of Applied Econometrics B 3
2005 News announcements, market activity and volatility in the euro/dollar foreign exchange market Journal of International Money and Finance B 3
2004 The stochastic conditional duration model: a latent variable model for the analysis of financial durations Journal of Econometrics A 2
2004 Recent advances in Bayesian econometrics Journal of Econometrics A 3
2004 Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods Journal of Econometrics A 4
2004 A comparison of financial duration models via density forecasts International Journal of Forecasting B 4
1996 Editor's introduction Journal of Econometrics A 3
1995 Editors' introduction Bayesian and classical econometric modeling of time series Journal of Econometrics A 2
1988 Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods Journal of Econometrics A 3
1988 The determinants of intra-European trade in manufactured goods European Economic Review B 2
1985 A 1-1 poly-t random variable generator with application to Monte Carlo integration Journal of Econometrics A 2
1983 An export model for the Belgian industry European Economic Review B 2