Publications

ARC Discussion Papers

Updated on March 22, 2012

Reference	Title	Authors
DP 2003
CORE DP 2003-87	Bayesian clustering of many GARCH models	Bauwens, L. and J. Rombouts

DP 2005
CORE DP 2005-85	Bayesian inference for the mixed conditional heteroskedasticty model	Bauwens, L. and J. Rombouts

DP 2006
STAT DP 2006-12	Multivariate mixed normal conditional heteroskedasticity	Bauwens, L., Hafner, C. and J. V.K. Rombouts
STAT DP 2006-24	Locally stationary factor models : Identification and nonparametric estimation	von Sachs, R., Motta, G. and C. Hafner
CORE DP 2006-50	Bayesian analysis of dynamic disequilibrium models: an application to the Polish credit market	Bauwens, L. and M. Lubrano

DP 2007
STAT DP 2007-06	Shrinkage estimation in the frequency domain of multivariate time series	von Sachs, R. and H. Böhm
CORE DP 2007-19	A component GARCH model with time-varying weights	Bauwens, L. and G. Storti
CORE DP 2007-53	Efficient importance sampling for ML estimation of SCD models	Bauwens, L. and F. Galli
CORE DP 2007-55	Theory and inference for a Markov switching GARCH model	Bauwens, L., Preminger, A. and J. Rombouts

DP 2008
STAT DP 2008-05	Structural shrinkage of nonparametric spectral estimators for multivariate time series	von Sachs, R. and H. Böhm
STAT DP 2008-29	Fitting dynamic factor models to non-stationary time series	Eichler, M., Motta, G. and R. von Sachs
CORE DP 2008-13	Modeling international financial returns with a multivariate regime switching copula	Chollete, L., Heinen, A. and A. Valdesogo
CORE DP 2008-45	Asymptotic properties of the Bernstein density copula for dependent data	Bouezmarni, T., Rombouts, J. V.K. and A. Taamouti
CORE DP 2008-72	Style rotation and performance persistence of mutual funds	Meier, I. and J. V.K. Rombouts
CORE DP 2008-73	Estimation autocorrelations in the presence of deterministic trends	Wang, S.H. and C. Hafner

DP 2009
CORE DP 2009-02	Consistent ranking of multivariate volatility models	Laurent, S., Rombouts, J. V.K. and F. Violante
CORE DP 2009-61	On marginal likelihood computation in change-point models	Bauwens, L. and J. Rombouts
STAT DP 2009-02	Tree-structured wavelet estimation in a mixed effects model for spectra of replicated time series	Freyermuth, J.M., Ombao, H. and R. von Sachs
STAT DP 2009-04	A generalized dynamic conditional correlation model: simulation and application to many assets	Hafner, C. and P.H. Franses
STAT DP 2009-05	Efficient estimation of a multivariate multiplicative volatility model	Hafner, C. and O.B. Linton
STAT DP 2009-17	Time-varying copulas: a survey	Manner, H. and O. Reznikova
STAT DP 2009-23	Nonparametric estimation of an extreme-value copula in arbitrary dimensions	Gudendorf, G. and J. Segers
STAT DP 2009-25	Risk concentration and diversification: second-order properties	Degen, M., Lambrigger, D.D. and J. Segers
STAT DP 2009-26	Extreme-value copulas	Gudendorf, G. and J. Segers
STAT DP 2009-30	Nonparametric Bayesian inference on bivariate extremes	Guillotte, S., Perron F. and J. Segers
STAT DP 2009-16	Locally stationary long memory estimation	Roueff, F. and R. von Sachs
STAT DP 2009-06	On the covariance of the asymptotic empirical copula process	Genest, C. and J. Segers

DP 2010
ISBA DP 2010-01	A functional limit theorem for partial sums of dependent random variables with infinite variance	Basrak, B., Krizmanic, D. and J. Segers
ISBA DP 2010-02	Regularly varying time series in Banach spaces	Meinguet, T. and J. Segers
ISBA DP 2010-03	A short note on continuous-time Markov and semi-Markov processes	Hunt, J.
ISBA DP 2010-06	On the estimation of dynamic conditional correlation models	Hafner, C. and O. Reznikova
ISBA DP 2010-27	Maxima of moving maxima of continuous functions	Meinguet, T.
ISBA DP 2010-28	Nonparametric frontier estimation from noisy data	Schwarz, M., Van Bellegem, S. and J.P. Florens
ISBA DP 2010-30	BAGADIS, a new method for statistical analysis of differences between curves with sharp discontinuities	Timmermans, C. and R. von Sachs
ISBA DP 2010-30	Minimal entropy martingale measure in a semi-Markov regime switching CRR model	Hunt, J. and P. Devolder
ISBA DP 2010-45	Nonparametric Bayesian inference on bivariate extremes	Guillotte, S., Perron F. and J. Segers
ISBA DP 2010-48	Estimation and calibration of continuous-time semi-Markov switching model	Hunt, J. and M. Hahn
ISBA DP 2010-54	Weak convergence of empirical copula processes under nonrestrictive smoothness assumptions	Segers, J.
CORE DP 2010-20	Mutivariate option pricing with time varying volatility and correlations .	Rombouts ,J.V.K. and L. Stentoft
CORE DP 2010-49	Option pricing with asymmetric heteroskedastic normal mixture models	Rombouts, J.V.K. and L. Stentoft
CORE DP 2010-25	On the forecasting accuracy of multivariate GARCH models .	Laurent, S., Rombouts, J.V.K. and F. Violante

DP 2011
ISBA DP 2011-02	Ideal denoising within a family of tree-structured wavelet estimators	Autin, F., Freyermuth, J.M. and R. von Sachs
ISBA DP 2011-05	An M-estimator for tail dependence in arbitrary dimension	Einmahl, J.H.J., Krajina, A. and J. Segers
CORE DP 2011-03	A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models .	Bauwens , L., Koop, G., Korobilis, D. and J.V.K. Rombouts
CORE DP 2011-11 ISBA DP 2011-13	Multivariate volatility modeling of electricity futures	Bauwens, L., Hafner, C. and D. Pierret
ISBA DP 2011-12	Large-sample tests of extreme-value dependence for multivariate copulas	Kojadinovic, I., Segers, J. and J. Yan
CORE DP 2011-13	Marginal likelihood for Markov-switching and change-point GARCH models	Bauwens, L., Dufays, A. and J.V.K. Rombouts
ISBA DP 2011-17	Block-Threshold-Adapted Estimators via a maxiset approach	Autin, F., Freyermuth, J.M. and R. von Sachs
ISBA DP 2011-18	Nonparametric estimation of multivariate extreme-value copulas	Gudendorf, G. and J. Segers
ISBA DP 2011-20	Using Bagadis in nonparametric functional data analysis: predicting from curves with sharp local features	Timmermans, C., Delsol, L. and R. von Sachs
ISBA DP 2011-21	Combining thresholding rules: a new way to improve the performance of wavelet estimators	Autin, F. Freyermuth, J.M. and R. von Sachs
ISBA DP 2011-29	Econometric analysis of volatile art markets	Bocart, F. and C. M. Hafner
CORE DP 2011-55	Estimating and forecasting structural breaks in financial time series	Bauwens, L., Dufays, A. and B. De Backer
CORE DP 2011-58	Volatility models	Bauwens, L., Hafner, C. and S. Laurent
CORE DP 2011-61	Bayesian methods	Bauwens, L. and D. Korobilis

DP 2012
ISBA DP 2012-03	Nonparametric estimation of pair-copula constructions with the empirical pair-copula	Hoebak Haff, I. and J. Segers

ARC Reprints and Books

2012

*Bauwens, L., Hafner, C. and D. Pierret (2012), Multivariate volatility modeling of electricity futures, Journal of Applied Econometrics, Forthcoming

*Bauwens, L., Hafner, C. and S. Laurent (Eds.),Handbook of Volatility Models and Their Applications, Wiley, 2012 (in press )

2011

*Autin, F., Freyermuth, J.M. and R. von Sachs (2011), Ideal denoising within a family of tree-structured wavelet estimators,Electronic Journal of Statistics, 5, 829-855, 2011 (ISBA RP2011/07)

*Bauwens, L., Hafner, C.M. and S. Laurent (2011), Volatility Models,Chapter prepared for the Handbook of Volatility Models and their Applications - edited by Luc Bauwens, Christian Hafner and Sébastien Laurent, forthcoming in 2012, Wiley

*Bauwens, L. and J.V.K. Rombouts (2011), On marginal likelihood computation in change-point models, Computational Statistics and Data Analysis, Forthcoming

*Eichler, M., Motta, G. and R. von Sachs (2011), Fitting dynamic factor models to non-stationary time series, Journal of Econometrics 2011, Special Issue on "Factor Structures for Panel and Multivariate Time Series Data", 163, 51-70, 2011 (ISBA RP2011/13)

*Guillotte, S., Perron, F. and J. Segers(2011), Non-parametric Bayesian inference on bivariate extremes (previously RP1111), Journal of the Royal Society. Series B, Statistical Methodology, 73, 3, 377-406, 2011

*Gudendorf, G. and J. Segers (2011), Nonparametric estimation of an extreme-value copula in arbitrary dimensions, Journal of Multivariate Analysis, 102, 37-47, 2011

*Hafner, C.M. and H. Manner (2011), Multivariate time series models for asset prices
Handbook of Computational Finance, Springer Verlag, Forthcoming

*Hafner, C.M. and H. Manner (2011), Dynamic stochastic copula models: Estimation, inference and applications, Journal of Applied Econometrics, Forthcoming

*Hafner, C.M. and O. Reznikova (2011), On the estimation of dynamic conditional correlation models, Computational Statistics and Data Analysis, Forthcoming

*Hafner, C.M. and Shin-Huei Wang (2011), Estimating autocorrelations in the presence of deterministic trends, Journal of Time Series Econometrics, Forthcoming

*Manner, H. and J. Segers (2011), Tails of correlation mixtures of elliptical copulas
Insurance: Mathematics and Economics , 48, 153-160, 2011

*Motta, G., Hafner, C. and R. von Sachs (2011), Locally stationary factor models: identification and nonparametric estimation, Econometric Theory, 27, 6, 1279-1319, 2011

*Roueff, F. and R. von Sachs (2011), Locally stationary long memory estimation
Stochastic Processes and their Applications, 121, 813-844, 2011

*Segers, J. (2011), Comments on: Inference in multivariate Archimedean copula models
Test, An Official Journal of the Spanish Society of Statistics and Operations Research, 19, 1, 2011

*Van Dijk, D., Munandar, H., and C.M. Hafner (2011), The Euro-introduction and non-Euro currencies, Applied Financial Economics, 21, 95-116, 2011

2010
*Bauwens, L., Preminger, A. and J. Rombouts (2010), Theory and inference for a Markov switching GARCH model,The Econometrics Journal, 13, 218 - 244, 2010.

*Bauwens, L. and G. Sucarrat (2010), General-to-specific modeling of exchange rate volatility: a forecast evaluation, International Journal of Forecasting, 26(4), 885-907, 2010.

*Böhm, H., Ombao, H., von Sachs, R. and J. Sanes (2010), Classification of multivariate non-stationary signals: the SLEX-shrinkage approach, Journal of Statistical Planning and Inference, 140, 3754-3763, 2010.

*Daskovska, Simar and Van Bellegem (2010), Forecasting the Malmquist productivity index
Journal of Productivity Analysis, 33, 97-107, 2010.

*Degen, Lambrigger and Segers (2010), Risk concentration and diversification: Second-order properties, Insurance: Mathematics and Economics, 46, 541-546, 2010.

*Freyermuth, J.M., Ombao, H. and R. von Sachs (2010), Tree-structured wavelet estimation in a mixed effects model for spectra of replicated time series, Journal of the American Statistical Association, 105, 490, 634-646, 2010.

*Genest, C. and J. Segers (2010), On the covariance of the aymptotic empirical copula process
Journal of Multivariate Analysis, 101, 1837-1845, 2010.

*Gudendorf, G. and J. Segers (2010), Extreme-value copulas
Copula Theory ant its applications (Warsaw, 2009) ( Jaworski, P., Durante, F., Hardle, W. and Rychlik, W. eds).,Lecture Notes in Statistics - Proceedings, Springer-Verlag, Berlin, 127-146, 2010.

*Guillotte, S., Perron F. and J. Segers (2010), Nonparametric Bayesian inference on bivariate extremes, Journal of the Royal Statistical Society, Series B, 2010.

*Hafner, C.M. and O.B. Linton (2010), Efficient estimation of a multivariate multiplicative volatility model, Journal of Econometrics, 159, 55-73, 2010.

*Hafner, C. and A. Preminger (2010), Deciding between GARCH and stochastic volatility via strong decision rules, Journal of Statistical Planning and Inference, 140, 790-805, 2010.

*Hafner, C. and O. Reznikova (2010), Efficient estimation of a semiparametric dynamic copula model, Computational Statistics and Data Analysis, 54, 2609-2627, 2010.

*Omey and Segers (2010), Generalised regular variation of arbitrary order
Banach Center Publications, 90, 111-137, 2010.

*Schwarz and Van Bellegem (2010), Consistent density deconvolution under partially known error distribution, Statistics and Probability Letters, 80, 236-241, 2010.

*Schwarz, Van Bellegem and Florens (2010), Nonparametric frontier estimation from noisy data, Festschrift in honour of Léopold Simar, (Springer), in press, 2010.

2009

*Bauwens and Galli (2009), Efficient importance sampling for ML estimation of SCD models
Computational Statistics and Data Analysis, 53, 1974-1992.

*Bauwens and Storti (2009), A component GARCH model with time-varying weights
Studies in nonlinear dynamics & econometrics 13/2, article 1.

*Bauwens and Hautsch (2009), Modelling financial data with point processes
Handbook of Financial Time Serie, Torben G. Andersen, Richard A. Davis, Jens-Peter Kreiss, Thomas Mikosch(eds), Springer Verlag.

*Ben Omrane and Hafner (2009), Information spillover, volatility, and the currency markets
International Econometric Review. Forthcoming.

*Böhm and von Sachs (2009), Shrinkage estimation in the frequency domain of multivariate time series. (STAT DP 2007-06), Journal of Multivariate Analysis 100, 913-935.

*Hafner (2009a) GARCH modelling, Encyclopedia of Complexity and System Science, ed. by R.A. Meyers, Springer Verlag. Forthcoming.

*Hafner (2009b), Causality and forecasting of temporally aggregated multivariate GARCH models, The Econometrics Journal, 12, 127-146.

*Hafner and Franses (2009), A generalized dynamic conditional correlation model: simulation and application to many assets, Econometric Reviews. Forthcoming.

*Hafner and Herwartz (2009a), Testing for causality in variance using multivariate GARCH models, d’Economie et de Statistique. Forthcoming.

*Hafner and Herwartz (2009b), Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity, Statistica Neerlandica. Forthcoming.

*Hafner and Manner (2009), Multivariate time series models for asset prices
Handbook of Computational Finance, Springer Verlag. Forthcoming.

*Hafner and Preminger (2009a), Asymptotic theory for a factor GARCH model
Econometric Theory 25, 336-363.

*Hafner and Preminger (2009b), On asymptotic theory for multivariate GARCH models
Journal of Multivariate Analysis. Forthcoming.

2008

*Böhm and von Sachs (2008), Structural shrinkage of nonparametric spectral estimators for multivariate time series, Electronic Journal of Statistics 2, 696-721.

*Gao, Gijbels and Van Bellegem (2008), Nonparametric simultaneous testing for structural breaks, Journal of Econometrics 143, 123-142.

*Hafner (2008), Temporal Aggregation of Multivariate GARCH Processes, Journal of Econometrics, 142, 467-483.

*Hafner and Herwartz (2008), Analytical quasi maximum likelihood inference in multivariate volatility models, Metrika 67, 219-239.

*Ombao and Van Bellegem (2008), Local coherence analysis of non-stationary signals
IEEE Transactions on Signal Processing 56, 2259-2266.

*Van Bellegem and von Sachs (2008), Locally adaptive estimation of evolutionary wavelet spectra, The Annals of Statistic, 36, 1879-1924.

2007

*Bauwens, Hafner and Rombouts (2007), Multivariate mixed normal conditional heteroskedasticity, Computattional Statistics and Data Analysis 51, 3551-3566.

*Bauwens and Rombouts (2007), Bayesian inference for the mixed conditional heteroskedasticty model, The Econometrics Journal 10, 408-425.

*Bauwens and Rombouts (2007), Bayesian clustering of many GARCH models
Econometric Reviews 26, 365-386.

*Hafner and Rombouts (2007a), Semiparametric multivariate volatility models
Econometric Theory 23, 251-280.

*Hafner and Rombouts (2007b), Estimation of temporally aggregated multivariate GARCH models, Journal of Statistical Computation and Simulation 77, 629-650.