Lux BAUWENS

Presentation - Luc Bauwens is emeritus professor of Econometrics at Université catholique de Louvain (UCL), where he is affiliated with the Center for Operations Research and Econometrics (CORE). At UCL, he has served as chairman of the Department of Economics, research director and President  of the CORE. He obtained the Ph. D. degree in economics at UCL and received the 1984 Leonard J. Savage Thesis Award. Between 1983 and 1991 he have worked abroad, in particular at the World Bank (Washington D.C. USA) and at the Ecole des Hautes Etudes en Sciences Sociales (France). His scientific interests are in econometrics, with contributions in time series, financial econometrics, and Bayesian inference methods. He has published about fifty papers in jnternational journals and several books. He is associate editor of the Journal of Business and Economic Statistics, Journal of Applied Econometrics, and the Journal of Financial Econometrics. He has served as external expert for research project evaluations for institutions in Austria, Belgium, Canada, France, The Netherlands, the USA, and for the European Commission. He has advised several international firms as consultant.

Research project - Cryptocurrencies have attracted public attention in the last months due to the erratic behavior in the valuation of Bitcoin, in particular. The research will focus on the econometric modeling of the returns of the most important cryptocurrencies and the relation between these time series and the corresponding series of returns of traditional financial and commodity markets. The research will enable us to know to what extentcryptocurrencies differ from traditional financial instruments and whether or not they offer additional diversification and hedging opportunities to investors. The econometric modeling will be based on multivariate volatility models known as dynamic conditional correlation models.

Events -

  • Seminar : February 8, 2018
    Research Seminar in Econometrics and Statistics, Department of Information Systems, Decision Sciences and Statistics  & ESSEC Research Center:
    “The Factorial Hidden Markov Volatility Model” 
  •  Conference : April 11, 2018 
    “Recent Developments in Time Series Econometrics”
    website: to be announced later