210 results on '"Luc Bauwens"'
Search Results
2. DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations
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Luc Bauwens and Yongdeng Xu
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Business and International Management - Abstract
This paper introduces the scalar DCC-HEAVY and DECO-HEAVY models for conditional variances and correlations of daily returns based on measures of realized variances and correlations built from intraday data. Formulas for multi-step forecasts of conditional variances and correlations are provided. Asymmetric versions of the models are developed. An empirical study shows that in terms of forecasts the scalar HEAVY models outperform the scalar BEKK-HEAVY model based on realized covariances and the scalar BEKK, DCC, and DECO multivariate GARCH models based exclusively on daily data.
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- 2023
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3. Estimation and empirical performance of non-scalar dynamic conditional correlation models.
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Luc Bauwens, Lyudmila Grigoryeva, and Juan-Pablo Ortega
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- 2016
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4. On marginal likelihood computation in change-point models.
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Luc Bauwens and Jeroen V. K. Rombouts
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- 2012
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5. Intradaily dynamic portfolio selection.
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Luc Bauwens, Walid Ben Omrane, and Erick Rengifo
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- 2010
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6. Efficient importance sampling for ML estimation of SCD models.
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Luc Bauwens and F. Galli
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- 2009
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7. Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models
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Luc Bauwens, Edoardo Otranto, and UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
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Economics and Econometrics ,dynamic covariances and correlations ,realized covariances, dynamic covariances and correlations, Hadamard exponential matrix ,Statistics::Methodology ,Dynamic covariances and correlations ,Hadamard exponential matrix ,Finance ,realized covariances - Abstract
Time series of realized covariance matrices can be modeled in the conditional autoregressive Wishart model family via dynamic correlations or via dynamic covariances. Extended parameterizations of these models are proposed, which imply a specific and time-varying impact parameter of the lagged realized covariance (or correlation) on the next conditional covariance (or correlation) of each asset pair. The proposed extensions guarantee the positive definiteness of the conditional covariance or correlation matrix with simple parametric restrictions, while keeping the number of parameters fixed or linear with respect to the number of assets. Two empirical studies reveal that the extended models have superior forecasting performances than their simpler versions and benchmark models.
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- 2022
8. Multivariate mixed normal conditional heteroskedasticity.
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Luc Bauwens, Christian M. Hafner, and Jeroen V. K. Rombouts
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- 2007
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9. Porting and Optimization of a Finite-Difference CFD Code on a Massively Parallel Architecture.
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Dan Williams and Luc Bauwens
- Published
- 1994
10. 9TH INTERNATIONAL CONFERENCE ON HYDROGEN SAFETY (ICHS2021)
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CONFERENCE ORGANIZING COMMITEE Marco Carcassi, Stuart, Hawksworth, Stuart, Mckay, Thomson, Colin M., Nigel, Holmes, Iñaki, Azkarate, Kate, Jeffrey, Thomas, Jordan, Jay, Keller, Frank, Markert, Pietro, Moretto, CONFERENCE SCIENTIFIC COMMITEE Marco Carcassi, Carlyn Greenhalgh and Nick Smith., Daniel, Allason, Nick, Barilo, Herve, Barthelemy, Luc, Bauwens, Pierre, Benard, Gilles, Bernard-Michel, Dag, Bjerketvedt, Marco, Cavriani, Francesco, Dolci, Sergey, Dorofeev, Shoji, Kamiya, Stephan, Kelm, Armin, Keßler, John, Khalil, Alexei, Kotchourko, Agostino, Iacobazzi, Dmitriy, Makarov, Akiteru, Maruta, Akiko, Matsuo, Michele, Mazzaro, Josue, Melguizo-Gavilanes, Daniele, Melideo, Vladimir, Molkov, Beatriz, Nieto, Ernst-Arndt, Reinecke, Russo, Paola, Pratap, Sathiah, Ulrich, Schmidtchen, Nick, Smith, Trygve, Skjold, Andrei, Tchouvelev, Andrzej, Teodoreczyk, Piet, Timmers, Alexandros, Venetsanos, Changjian, Wang, Benno, Weinberger, Jennifer, Wen, and Jinyang, Zheng.
- Published
- 2021
11. Simulation of Compressible Flow on a Massively Parallel Architecture.
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Dan Williams and Luc Bauwens
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- 1995
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12. Special issue on Bayesian econometrics.
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Luc Bauwens, Gary Koop, John M. Maheu, and Yasuhiro Omori
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- 2016
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13. Multiplicative Conditional Correlation Models for Realized Covariance Matrices
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Manuela Braione, Luc Bauwens, and Giuseppe Storti
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Wishart distribution ,Dimension (vector space) ,Mean squared error ,Multiplicative function ,Structure (category theory) ,Applied mathematics ,Estimator ,Covariance ,Scaling ,Mathematics - Abstract
We introduce a class of multiplicative dynamic models for realized covariance matrices assumed to be conditionally Wishart distributed. The multiplicative structure enables consistent three-step estimation of the parameters, starting by covariance targeting of a scale matrix. The dynamics of conditional variances and correlations are inspired by specifications akin to the consistent dynamic conditional correlation model of the multivariate GARCH literature, and estimation is performed by quasi maximum likelihood. Simulations show that in finite samples the three-step estimator has smaller bias and root mean squared error than the full estimator when the cross-sectional dimension increases. An empirical application illustrates the flexibility of these models in a low-dimensional setting, and another one illustrates their effectiveness and practical usefulness in high dimensional portfolio allocation strategies.
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- 2020
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14. Nonlinearities and Regimes in Conditional Correlations with Different Dynamics
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Luc Bauwens, Edoardo Otranto, and UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
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Economics and Econometrics ,Applied Mathematics ,05 social sciences ,Dynamics (mechanics) ,Hadamard exponential matrix ,regime-switching dynamic correlations ,01 natural sciences ,Stock market index ,Data set ,Correlation ,010104 statistics & probability ,Nonlinear system ,Autoregressive model ,Hadamard transform ,Dynamic conditional correlations ,0502 economics and business ,Applied mathematics ,Regime-switching ,Matrix exponential ,0101 mathematics ,Dynamic conditional correlations, Regime-switching, dynamic correlations, Hadamard exponential matrix ,dynamic conditional correlations ,050205 econometrics ,Mathematics ,dynamic correlations - Abstract
New parameterizations of the dynamic conditional correlation (DCC) model and of the regime-switching dynamic correlation (RSDC) model are introduced, such that these models provide a specific dynamics for each correlation. They imply a nonlinear autoregressive form of dependence on lagged correlations and are based on properties of the Hadamard exponential matrix. The new models are applied to a data set of twenty stock market indices and a data set of the thirty Dow Jones components, comparing them to the classical DCC and RSDC models. The empirical results show that the new models improve their classical versions in terms of several criteria.
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- 2020
15. A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
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Arnaud Dufays, Maciej Augustyniak, Luc Bauwens, and UCL - SSH/LIDAM/CORE - Center for operations research and econometrics
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Statistics and Probability ,Economics and Econometrics ,Factorial ,Volatility model ,leverage effect ,05 social sciences ,Leverage effect ,volatility ,Hierarchical hidden Markov model ,persistence ,01 natural sciences ,010104 statistics & probability ,hierarchical hidden Markov model ,Markov-switching ,0502 economics and business ,Econometrics ,0101 mathematics ,Statistics, Probability and Uncertainty ,Volatility (finance) ,Hidden Markov model ,Social Sciences (miscellaneous) ,050205 econometrics ,Mathematics - Abstract
A new process—the factorial hidden Markov volatility (FHMV) model—is proposed to model financial returns or realized variances. Its dynamics are driven by a latent volatility process specified as a product of three components: a Markov chain controlling volatility persistence, an independent discrete process capable of generating jumps in the volatility, and a predictable (data-driven) process capturing the leverage effect. An economic interpretation is attached to each one of these components. Moreover, the Markov chain and jump components allow volatility to switch abruptly between thousands of states, and the transition matrix of the model is structured to generate a high degree of volatility persistence. An empirical study on six financial time series shows that the FHMV process compares favorably to state-of-the-art volatility models in terms of in-sample fit and out-of-sample forecasting performance over time horizons ranging from 1 to 100 days. Supplementary materials for this article are available online.
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- 2018
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16. The Annals of Computational and Financial Econometrics, first issue.
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David A. Belsley, Erricos John Kontoghiorghes, Herman K. van Dijk, Luc Bauwens, Siem Jan Koopman, Michael McAleer, Alessandra Amendola, Monica Billio, Christophe Croux, Cathy W. S. Chen, Russell Davidson, Pierre Duchesne, Paolo Foschi, Christian Francq, Ana-María Fuertes, Gary Koop, Lynda Khalaf, Marc S. Paolella, D. S. G. Pollock, Esther Ruiz, Richard Paap, Tommaso Proietti, Peter Winker, Philip L. H. Yu, Jean-Michel Zakoian, and Achim Zeileis
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- 2012
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17. A dynamic component model for forecasting high-dimensional realized covariance matrices
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Luc Bauwens, Giuseppe Storti, and Manuela Braione
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Statistics and Probability ,Economics and Econometrics ,iterative algorithm ,Iterative method ,05 social sciences ,Multiplicative function ,multi-step forecasting ,Maximization ,High dimensional ,Covariance ,01 natural sciences ,Realized covariance ,dynamic component models ,010104 statistics & probability ,0502 economics and business ,Econometrics ,0101 mathematics ,Statistics, Probability and Uncertainty ,Volatility (finance) ,Likelihood function ,Empirical evidence ,050205 econometrics ,Mathematics - Abstract
The Multiplicative MIDAS Realized DCC (MMReDCC) model simultaneously accounts for short and long term dynamics in the conditional (co)volatilities of asset returns, in line with the empirical evidence suggesting that their level is changing over time as a function of economic conditions. Herein the applicability of the model is improved along two directions. First, by proposing an algorithm that relies on the maximization of an iteratively re-computed moment-based profile likelihood function and keeps estimation feasible in large dimensions by mitigating the incidental parameter problem. Second, by illustrating a conditional bootstrap procedure to generate multi-step ahead predictions from the model. In an empirical application on a dataset of forty-six equities, the MMReDCC model is found to statistically outperform the selected benchmarks in terms of in-sample fit as well as in terms of out-of-sample covariance predictions. The latter are mostly significant in periods of high market volatility.
- Published
- 2017
18. A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
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Bruno De Backer, Luc Bauwens, and Arnaud Dufays
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Economics and Econometrics ,Autoregressive conditional heteroskedasticity ,Bayesian probability ,Structural break ,Markov chain Monte Carlo ,Bayesian inference ,Marginal likelihood ,symbols.namesake ,Econometrics ,symbols ,Economics ,Point estimation ,Volatility (finance) ,Finance - Abstract
We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH models subjected to an unknown number of structural breaks at unknown dates. We treat break dates as parameters and determine the number of breaks by computing the marginal likelihoods of competing models. We allow for both recurrent and non-recurrent (change-point) regime specifications.We illustrate the estimation method through simulations and apply it to seven financial time series of daily returns. We find structural breaks in the volatility dynamics of all series and recurrent regimes in nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models.
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- 2014
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19. The Contribution of Structural Break Models to Forecasting Macroeconomic Series
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Jeroen V.K. Rombouts, Luc Bauwens, Dimitris Korobilis, and Gary Koop
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Economics and Econometrics ,Single model ,Series (mathematics) ,Process (engineering) ,Computer science ,Structural break ,Econometrics ,Rolling window ,Probabilistic forecasting ,Physics::Atmospheric and Oceanic Physics ,Social Sciences (miscellaneous) - Abstract
This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their treatment of the break process, the model applied in each regime and the out-of-sample probability of a break. In an extensive empirical evaluation, we demonstrate the presence of breaks and their importance for forecasting. We find no single model that consistently works best in the presence of breaks. In many cases, the formal modeling of the break process is important in achieving a good forecast performance. However, there are also many cases where rolling window forecasts perform well.
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- 2014
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20. Shock initiated ignition for hydrogen mixtures of different concentrations
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Luc Bauwens and J. Melguizo-Gavilanes
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Deflagration to detonation transition ,Shock wave ,Work (thermodynamics) ,Hydrogen ,Renewable Energy, Sustainability and the Environment ,Chemistry ,Energy Engineering and Power Technology ,Thermodynamics ,chemistry.chemical_element ,Condensed Matter Physics ,Shock (mechanics) ,law.invention ,Ignition system ,Minimum ignition energy ,Fuel Technology ,law ,Physics::Chemical Physics ,Current (fluid) - Abstract
The scenario of ignition of fuels by the passage of shock waves is relevant from the perspective of safety, primarily because shock ignition potentially plays an important role in deflagration to detonation transition. Even in one dimension, simulation of ignition between a contact surface or a flame and a shock moving into combustible mixture is difficult because of the singular nature of the initial conditions. Indeed, initially, as the shock starts moving away from the contact surface, the region filled with shocked reactive mixture does not exist. In the current work, the formulation is transformed, using time and length over time as the independent variables. This transformation yields a finite domain from t = 0. In this paper, the complete spatial and temporal ignition evolution of hydrogen combustible mixtures of different concentrations is studied numerically. Integration of the governing equations is performed using an Essentially Non-Oscillatory (ENO) algorithm in space and Runge-Kutta in time, while the chemistry is modeled by a three-step chain-branching mechanism which appropriately mimics hydrogen combustion.
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- 2013
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21. Oscillatory flame propagation: Coupling with the acoustic field
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Fernando F. Fachini and Luc Bauwens
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Flammable liquid ,Acoustic field ,Laminar flame speed ,Chemistry ,Mechanical Engineering ,General Chemical Engineering ,Acoustics ,Perturbation (astronomy) ,law.invention ,Physics::Fluid Dynamics ,Ignition system ,chemistry.chemical_compound ,Amplitude ,law ,Flame propagation ,Speed of sound ,Physics::Chemical Physics ,Physical and Theoretical Chemistry - Abstract
An analysis is presented of flame acceleration in a tube filled with flammable mixture, closed at one end and open to the atmosphere at its second end. Ignition takes place near the closed end; experiments then show that the flame accelerates, slows down and moves back, accelerates again, and may eventually reach considerable speeds. The one-dimensional analysis is based upon the assumption that the flame front propagates at a speed that is small compared to the speed of sound, and that depends upon the temperature and pressure perturbation due to acoustics that it encounters. A complete unsteady solution is constructed. The tube acoustics are set in motion by the expansion of the fluid due to ignition at the closed end. Subsequently, both spectrum and amplitude evolve because of the motion of the temperature interface, and because of forcing by the flame front, which itself depends upon the effect of acoustics on the state of the fluid that it encounters. Oscillations in the front position are stronger than in a previous study in which the flame propagation speed was taken to be constant. With the additional feedback now included, it is strong enough to result in strong flow reversal.
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- 2013
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22. THE THIRTY-SIXTH INTERNATIONAL SYMPOSIUM ON COMBUSTION
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Luc, Bauwens, Russo, Paola, Gabriel, Ciccarelli, and Malcolm, Lawes
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- 2016
23. A New Approach to Volatility Modeling: The High-Dimensional Markov Model
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Arnaud Dufays, Luc Bauwens, and Maciej Augustyniak
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Factorial ,Markov chain ,Series (mathematics) ,Jump ,Stochastic matrix ,Econometrics ,Volatility (finance) ,Hidden Markov model ,Markov model ,Mathematics - Abstract
A new model - the factorial hidden Markov volatility (FHMV) model - is proposed for financial returns and their latent variances. It is also applicable to model directly realized variances. Volatility is modeled as a product of three components: a Markov chain driving volatility persistence, an independent discrete process capable of generating jumps in the volatility, and a predictable (data-driven) process capturing the leverage effect. An economic interpretation is attached to each one of these components. Moreover, the Markov chain and jump components allow volatility to switch abruptly between thousands of states, and the transition matrix of the model is structured in such a way as to generate a high degree of volatility persistence. In-sample results on six financial time series highlight that the FHMV process compares favorably to state-of-the-art volatility models. A forecasting experiment shows that it also outperforms its competitors when predicting volatility over time horizons ranging from one to one hundred days.
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- 2016
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24. Modeling the Dependence of Conditional Correlations on Market Volatility
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Edoardo Otranto and Luc Bauwens
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Statistics and Probability ,Economics and Econometrics ,Variance swap ,Stochastic volatility ,05 social sciences ,Implied volatility ,SABR volatility model ,01 natural sciences ,Correlation ,010104 statistics & probability ,Dynamic conditional correlations, Markov switching, Minimum variance portfolio, Model confidence set, Forecasting ,Financial models with long-tailed distributions and volatility clustering ,0502 economics and business ,Forward volatility ,Econometrics ,Economics ,0101 mathematics ,Statistics, Probability and Uncertainty ,Volatility (finance) ,Social Sciences (miscellaneous) ,050205 econometrics - Abstract
Several models have been developed to capture the dynamics of the conditional correlations between time series of financial returns, but few studies have investigated the determinants of the correlation dynamics. A common opinion is that the market volatility is a major determinant of the correlations. We extend some models to capture explicitly the dependence of the correlations on the volatility of the market of interest. The models differ in the way by which the volatility influences the correlations, which can be transmitted through linear or nonlinear, and direct or indirect effects. They are applied to different data sets to verify the presence and possible regularity of the volatility impact on correlations.
- Published
- 2016
25. A comparison between constant volume induction times and results from spatially resolved simulation of ignition behind reflected shocks: implications for shock tube experiments
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Luc Bauwens and J. Melguizo-Gavilanes
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Physics ,Isochoric process ,Mechanical Engineering ,Kinetic scheme ,Detonation ,General Physics and Astronomy ,Thermodynamics ,Mechanics ,Shock (mechanics) ,law.invention ,Ignition system ,Volume (thermodynamics) ,law ,Shock tube ,Constant (mathematics) - Abstract
The induction time measured in shock tube experiments is typically converted into kinetic data assuming that the reaction takes place in a constant volume process, thus neglecting spatial gradients. The actual process of shock ignition is, however, both time- and space-dependent; ignition takes place at a well-defined location, and subsequently a front travels, which may couple with the pressure wave that it created and forms a detonation wave behind the shock that reflects off the wall. To assess how different the actual processes are compared with the constant volume assumption, a numerical study was performed using a simplified three step chain-branching kinetic scheme. To overcome the difficulties that arise when simulating shock-induced ignition due to the initial absence of a domain filled with shocked reactive mixture, the problem is solved in a transformed frame of reference. Furthermore, initial conditions are derived from short-time asymptotics, which resolves the initial singularity. The induction times obtained using the full unsteady formulation with those of the homogeneous explosion are compared for various values of the heat release. Results for the spatially dependent formulation show that the evolution of the post-shock flow is complex, and that it leads to a gradient in induction times, after the passage of the reflected shock. For all cases simulated, thermal explosion initially occurs very close to the wall, and the corresponding induction time is found to be larger than that predicted under the constant volume assumption. As the measurement is made further away however, the actual time interval between passage of the reflected shock, and the specified pressure increase denoting ignition, decreases to a value close to zero, corresponding to that obtained along a Rayleigh line matching that of a steady ZND process (assuming a long enough tube). In situations where the constant volume assumption is expected to be weak, more accurate kinetic data will be obtained using a spatially resolved computation such as the one used in the current comparison.
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- 2012
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26. MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
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Diane Pierret, Luc Bauwens, and Christian M. Hafner
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Economics and Econometrics ,Multivariate statistics ,business.industry ,Autoregressive conditional heteroskedasticity ,Multiplicative function ,Multivariate volatility ,Economics ,Econometrics ,Electricity ,Volatility (finance) ,business ,Futures contract ,Social Sciences (miscellaneous) ,Energy exchange - Abstract
The deregulation of European electricity markets has led to an increasing need in understanding the volatility and correlation structure of electricity prices. We model a multivariate futures series of the European Energy Exchange (EEX) index, using an asymmetric GARCH model for volatilities and augmented dynamic conditional correlation (DCC) models for correlations. In particular, we allow for smooth changes in the unconditional volatilities and correlations through a multiplicative component that we estimate non-parametrically. We also introduce exogenous variables in our new multiplicative DCC model to account for congestion in short-term conditional volatilities. We find different correlation dynamics for long and short-term contracts and the new model achieves higher forecasting performance compared to a standard DCC model.
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- 2012
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27. Shock-induced ignition with single step Arrhenius kinetics
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Luc Bauwens, J. Melguizo-Gavilanes, M. Tian, and N. Rezaeyan
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Astrophysics::High Energy Astrophysical Phenomena ,Detonation ,Energy Engineering and Power Technology ,Thermodynamics ,02 engineering and technology ,7. Clean energy ,01 natural sciences ,Moving shock ,010305 fluids & plasmas ,law.invention ,symbols.namesake ,Hydrogen safety ,law ,0103 physical sciences ,Arrhenius equation ,Deflagration to detonation transition ,Renewable Energy, Sustainability and the Environment ,Chemistry ,021001 nanoscience & nanotechnology ,Condensed Matter Physics ,Shock (mechanics) ,Ignition system ,Minimum ignition energy ,Fuel Technology ,13. Climate action ,symbols ,0210 nano-technology - Abstract
Shock-initiated ignition is studied numerically for single step Arrhenius kinetics. This is relevant to hydrogen safety, because hydrogen detonates easily, and detonation in shocked mixture may occur in deflagration to detonation transition scenarios, due to shock reflections on obstacles subsequent to flame acceleration. Simulation of ignition behind a shock moving into combustible mixture is difficult because of the singular nature of the initial conditions. The solution method includes two components. First, space as an independent variable is replaced by the ratio space over time, and second, initial conditions at a small non-zero time are used, obtained in closed form from short time asymptotics. This way, the initial singularity is effectively removed and the early process is well resolved. This method was used to study how the leading shock strength, and the heat release, affects the shock-initiated ignition process. The Essentially Non-Oscillatory algorithm used captures ignition, hot spot growth, birth of a secondary shock and transition into a detonation. Results show that for weaker shock cases as well as for higher heat release the evolution is more rapid, that a secondary shock forms closer to the contact surface and quickly becomes a detonation wave.
- Published
- 2011
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28. Theory and inference for a Markov switching GARCH model
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Luc Bauwens, Arie Preminger, and Jeroen V. K. Rombouts
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Economics and Econometrics ,State variable ,Bayes estimator ,Markov chain ,Autoregressive conditional heteroskedasticity ,Ergodicity ,Applied mathematics ,Conditional expectation ,Hidden Markov model ,Bayesian inference ,Mathematics - Abstract
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide su‐cient conditions for geometric ergodicity and existence of moments of the process. Because of path dependence, maximum likelihood estimation is not feasible. By enlarging the parameter space to include the state variables, Bayesian estimation using a Gibbs sampling algorithm is feasible. We illustrate the model on SP500 daily returns.
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- 2010
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29. Simulation of shock-initiated ignition
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Luc Bauwens, M. Lopez-Aoyagi, N. Rezaeyan, and J. Melguizo-Gavilanes
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Deflagration to detonation transition ,Spacetime ,Mechanical Engineering ,Detonation ,General Physics and Astronomy ,Thermodynamics ,Perturbation (astronomy) ,Activation energy ,Mechanics ,Moving shock ,law.invention ,Ignition system ,law ,Initial value problem - Abstract
The scenario of detonative ignition in shocked mixture is significant because it is a contributor to deflagration to detonation transition, for example following shock reflections. However, even in one dimension, simulation of ignition between a contact surface or a flame and a shock moving into a combustible mixture is difficult because of the singular nature of the initial conditions. Initially, as the shock starts moving into reactive mixture, the region filled with reactive mixture has zero thickness. On a fixed grid, the number of grid points between the shock and the contact surface increases as the shock moves away from the latter. Due to initial lack of resolution in the region of interest, staircasing may occur, whereby the resulting plots consist of jumps between few values a few grid points, and these numerical artifacts are amplified by the chemistry which is very sensitive to temperature, leading to unreliable results. The formulation is transformed, replacing time and space by time and space over time as the independent variables. This frame of reference corresponds to the self-similar formulation in which the non-reactive problem remains stationary, and the initial conditions are well-resolved. Additionally, a solution obtained from short time perturbation is used as initial condition, at a time still short enough for the perturbation to be very accurate, but long enough so that there is sufficient resolution. The numerical solution to the transformed problem is obtained using an essentially non-oscillatory algorithm, which is adequate not only for the early part of the process, but also for the latter part, when chemistry leads to appearance of a shock and eventually a detonation wave is formed. A validation study was performed and the results were compared with the literature, for single step Arrhenius chemistry. The method and its implementation were found to be effective. Results are presented for values of activation energy ranging from mild to stiff.
- Published
- 2010
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30. Numerical model of a thermoacoustic engine
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Omar Hireche, Patrick Le Quéré, Maurice-Xavier Francois, Luc Bauwens, Catherine Weisman, and Diana Baltean-Carlès
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Marketing ,Computer simulation ,business.industry ,Strategy and Management ,Thermoacoustics ,Mechanics ,Computational fluid dynamics ,Standing wave ,symbols.namesake ,Classical mechanics ,Mach number ,Stack (abstract data type) ,Heat exchanger ,Media Technology ,symbols ,General Materials Science ,Thermoacoustic heat engine ,business ,Mathematics - Abstract
An asymptotically consistent small Mach number model of a standing wave thermoacoustic engine has been developed. A simple thermoacoustic engine consists of a resonating tube within which is inserted an acoustically compact assembly, composed of a stack of conducting plates, placed between two heat exchangers. The model couples one-dimensional linear acoustics in the resonator with a low Mach number viscous and conducting flow in the stack/heat exchangers section. The latter is solved through a two-dimensional numerical simulation. Results show that the model successfully captures the dynamics of the starting process, at a much lower cost than a fully compressible simulation of the entire engine.
- Published
- 2010
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31. Mini-Workshop: Semiparametric Modelling of Multivariate Economic Time Series With Changing Dynamics
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Qiwei Yao, Rainer von Sachs, and Luc Bauwens
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Series (mathematics) ,Frequentist inference ,Parametric model ,Bayesian probability ,Econometrics ,Nonparametric statistics ,General Medicine ,Semiparametric regression ,Mathematics ,Parametric statistics ,Semiparametric model - Abstract
Modelling multivariate time series of possibly high dimension calls for appropriate dimension-reduction, e.g. by some factor modelling, additive modelling, or some simplified parametric structure for the dynam- ics (i.e. the serial dependence) of the time series. This workshop aimed to bring together experts in this field in order to discuss recent methodology for multivariate time series dynamics which are changing over time: by an abrupt switch between two (or more) different regimes or rather smoothly evolving over time. The emphasis has been on mathematical methods for semiparametric modelling and estimation, where "semiparametric" is to be understood in a rather broad sense: parametric models where the parameters are themselves nonparametric functions (of time), regime-switching nonpara- metric models with a parametric specification of the transition mechanism, and alike. An ultimate goal of these models to be applied to economic and financial time series is prediction. Another emphasis has been on comparing Bayesian with frequentist approaches, and to cover both theoretical aspects of estimation, such as consistency and efficiency, and computational aspects.
- Published
- 2010
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32. Simulation of detonation after an accidental hydrogen release in enclosed environments
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Luc Bauwens, P.H.E. Finstad, Z. Cheng, J. Melguizo-Gavilanes, L. Bédard-Tremblay, A.V. Tchouvelev, and L. Fang
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Leak ,Computer simulation ,Hydrogen ,Renewable Energy, Sustainability and the Environment ,business.industry ,Nuclear engineering ,Detonation ,Energy Engineering and Power Technology ,chemistry.chemical_element ,Impulse (physics) ,Computational fluid dynamics ,Condensed Matter Physics ,law.invention ,Ignition system ,Fuel Technology ,chemistry ,law ,Environmental science ,business - Abstract
An accidental hydrogen release in equipment enclosures may result in the presence of a detonable mixture in a confined environment. To assess the value of CFD techniques as a tool for damage assessment, numerical simulation of detonation was performed for two realistic scenarios. The first scenario starts with a pipe failure in an electrolyzer, resulting in a leak of 42 g of hydrogen. The second scenario deals with a failure in a reformer where 84 g of hydrogen is released. Dispersion patterns were first obtained from separate numerical simulation and detonative ignition was simulated by adding energy to a narrow region. Impulse values reached 600 Ns/m2 in the electrolyzer scenario while they reached 1100 Ns/m2 in the reformer. For all cases studied, the consequences are more serious in the reformer than the electrolyzer.
- Published
- 2009
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33. Oscillating flames: multiple-scale analysis
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C. Regis L. Bauwens, Luc Bauwens, and Ida Wierzba
- Subjects
Deflagration to detonation transition ,Oscillation ,Chemistry ,General Mathematics ,General Engineering ,General Physics and Astronomy ,Mechanics ,Thermal expansion ,law.invention ,Expansion ratio ,Ignition system ,Classical mechanics ,law ,Speed of sound ,Constant (mathematics) ,Multiple-scale analysis - Abstract
A complete multiple-scale solution is constructed for the one-dimensional problem of an oscillating flame in a tube, ignited at a closed end, with the second end open. The flame front moves into the unburnt mixture at a constant burning velocity relative to the mixture ahead, and the heat release is constant. The solution is based upon the assumption that the propagation speed multiplied by the expansion ratio is small compared with the speed of sound. This approximate solution is compared with a numerical solution for the same physical model, assuming a propagation speed of arbitrary magnitude, and the results are close enough to confirm the validity of the approximate solution. Because ignition takes place at the closed end, the effect of thermal expansion is to push the column of fluid in the tube towards the open end. Acoustics set in motion by the impulsive start of the column of fluid play a crucial role in the oscillation. The analytical solution also captures the subsequent interaction between acoustics and the reaction front, the effect of which does not appear to be as significant as that of the impulsive start, however.
- Published
- 2009
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34. Théorie de l’information et diagnostic médical : une analyse coût-efficacité
- Author
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T. Lebrun, Luc Bauwens, and Louis Eeckhoudt
- Subjects
Environmental Engineering - Abstract
Dans cet article, nous appliquons au domaine médical les principes de la théorie de l’information et nous montrons comment on peut l’utiliser pour sélectionner dans l’ensemble des stratégies diagnostiques possibles celles qui sont coût-efficaces., In this paper, we apply the principles of information theory to medical diagnosis and we show how it can be used to select cost-efficient diagnostic strategies in the set of feasible ones.
- Published
- 2009
- Full Text
- View/download PDF
35. Detonation structure under chain-branching kinetics with small initiation rate
- Author
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Luc Bauwens, Laurie Bédard-Tremblay, and J. Melguizo-Gavilanes
- Subjects
Computer simulation ,Chemistry ,Mechanical Engineering ,General Chemical Engineering ,Kinetics ,Detonation ,Thermodynamics ,Activation energy ,Mechanics ,Branching (polymer chemistry) ,Combustion ,symbols.namesake ,symbols ,Physical and Theoretical Chemistry ,Von Neumann architecture - Abstract
The structure of ZND waves under simple three step chain-branching kinetics is analyzed, assuming a slow initiation rate but arbitrary chain-branching activation energy. The analysis allows for a complete solution for the ZND wave in all cases, inside or outside the chain-branching explosion region, or close to the explosion limit. Results show that even when the von Neumann point is inside the explosion region, chain-branching effectively stops and the chain-branching radical concentration reaches a small near-steady value before all the reactant is consumed. Beyond that point, chemistry proceeds slowly, at a rate of the order of the initiation rate. For a von Neumann point relatively close to the limit, the reactant concentration is still quite significant when chain-branching stops, but diminishes for von Neumann points deeper inside the explosion region. The assumption that initiation is much slower than chain-branching is often quite accurate, in which case the length required for complete burn is orders of magnitude longer than the chain-branching length, so that as a practical matter, combustion never completes. In contrast, numerical simulation shows that under the same conditions, the cellular wave results in a more complete burn.
- Published
- 2009
- Full Text
- View/download PDF
36. Numerical simulation of hydrogen–air detonation for damage assessment in realistic accident scenarios
- Author
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Luc Bauwens, L. Bédard-Tremblay, Z. Cheng, A.V. Tchouvelev, and L. Fang
- Subjects
Computer simulation ,business.industry ,Chemistry ,General Chemical Engineering ,Flow (psychology) ,Enclosure ,Detonation ,Energy Engineering and Power Technology ,Context (language use) ,Structural engineering ,Mechanics ,Management Science and Operations Research ,Industrial and Manufacturing Engineering ,law.invention ,Ignition system ,Control and Systems Engineering ,Incompressible flow ,law ,Inviscid flow ,Safety, Risk, Reliability and Quality ,business ,Food Science - Abstract
An accidental hydrogen release within an equipment enclosure may result in the presence of detonable mixture in a confined environment. From a safety standpoint, it is then useful to assess the potential for damage. In that context, numerical simulation of the sequence of events subsequent to detonative ignition provides a useful tool, although with obvious limitations. This article describes the procedure, summarizes two case studies, and reviews the limitations. First, a hydrogen dispersion pattern is obtained from numerical simulation of dispersion, using a commercial package designed primarily for incompressible flow. This dispersion cloud is then used as the initial condition in an inviscid, compressible, reactive flow simulation. To force detonative ignition, a sufficiently large amount of energy is deposited in a small region that corresponds to the ignition location. Chemistry is modeled using a single step Arrhenius model. Because the wave thickness is small compared with the computational domain, a fine mesh is needed, limiting the practicality of the process to two-dimensional geometries. This is the most significant limitation; it is conservative. The two cases described in the paper include an electrolyzer, in which a small release occurs, leading potentially to some damage to the enclosure, and a reformer, in which the consequences are potentially more serious.
- Published
- 2008
- Full Text
- View/download PDF
37. Bayesian inference for the mixed conditional heteroskedasticity model
- Author
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Luc Bauwens and Jeroen V.K. Rombouts
- Subjects
Economics and Econometrics ,Heteroscedasticity ,Finite mixture ,finite mixture, ML estimation, Bayesian inference, Value at Risk ,jel:C32 ,jel:C11 ,Bayesian inference ,Marginal likelihood ,jel:C15 ,Statistics::Computation ,symbols.namesake ,Frequentist inference ,Statistics ,Econometrics ,symbols ,Statistics::Methodology ,Financial econometrics ,Finite mixture, ML estimation, bayesian inference, value at risk ,Value at risk ,Mathematics ,Gibbs sampling - Abstract
We estimate by Bayesian inference the mixed conditional heteroskedasticity model of Haas et al. (2004a Journal of Financial Econometrics 2, 211–50). We construct a Gibbs sampler algorithm to compute posterior and predictive densities. The number of mixture components is selected by the marginal likelihood criterion. We apply the model to the SP500 daily returns.
- Published
- 2007
- Full Text
- View/download PDF
38. Multivariate mixed normal conditional heteroskedasticity
- Author
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Jeroen V.K. Rombouts, Christian M. Hafner, and Luc Bauwens
- Subjects
Statistics and Probability ,Heteroscedasticity ,Multivariate statistics ,Stationary process ,jel:C52 ,Covariance matrix ,Applied Mathematics ,Multivariate normal distribution ,Conditional probability distribution ,jel:C11 ,jel:C22 ,Covariance ,Computational Mathematics ,Computational Theory and Mathematics ,Expectation–maximization algorithm ,multivariate volatility, finite mixture, EM algorithm, Bayesian inference ,Statistics::Methodology ,Applied mathematics ,Mathematics - Abstract
We propose a new multivariate volatility model where the conditional distribution of a vector time series is given by a mixture of multivariate normal distributions. Each of these distributions is allowed to have a time-varying covariance matrix. The process can be globally covariance- stationary even though some components are not covariance-stationary. We derive some theo- retical properties of the model such as the unconditional covariance matrix and autocorrelations of squared returns. The complexity of the model requires a powerful estimation algorithm. In a simulation study we compare estimation by maximum likelihood with the EM algorithm and Bayesian estimation with a Gibbs sampler. Finally, we apply the model to daily U.S. stock returns.
- Published
- 2007
- Full Text
- View/download PDF
39. Accelerating flames in tubes—an analysis
- Author
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Luc Bauwens, Ida Wierzba, and C. Regis L. Bauwens
- Subjects
Physics ,Deflagration to detonation transition ,Flammable liquid ,Laminar flame speed ,Computer simulation ,Mechanical Engineering ,General Chemical Engineering ,Mechanics ,law.invention ,Physics::Fluid Dynamics ,Ignition system ,chemistry.chemical_compound ,Amplitude ,Classical mechanics ,chemistry ,law ,Speed of sound ,Physical and Theoretical Chemistry ,Flame front - Abstract
Flame acceleration in tubes is studied. A tube filled with flammable mixture is closed at one end and open to the atmosphere at its second end. When ignition takes place near the closed end, it is well-known from experiments that the flame may accelerate, oscillate and eventually reach considerable speeds. A one-dimensional analysis is presented, based upon the assumption that the flame front propagates at a speed that is small compared to the speed of sound. The analysis leads to a construction of the complete unsteady solution. Results from the analysis and from a numerical simulation are compared. They are similar enough to validate the analysis. The tube acoustics are set in motion by the expansion of the fluid due to ignition at the closed end. Subsequently, both spectrum and amplitude evolve because of the motion of the temperature interface, and because of forcing by the flame front, which the analysis precisely quantifies. Oscillations in the front position are strong enough to result in flow reversal. In addition, the induced periodic acoustic acceleration of the temperature and density interface will periodically make the flame front Rayleigh–Taylor unstable, which should result in the dramatic increase in the propagation speed seen in experiments.
- Published
- 2007
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- View/download PDF
40. The Econometrics of Industrial Organization
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Luc Bauwens, Michel Lubrano, and Alvaro Escribano
- Subjects
Economics and Econometrics ,Computer science ,Regional science ,Social Sciences (miscellaneous) ,Economía - Abstract
Publicado
- Published
- 2007
- Full Text
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41. Effect of a resistive load on the starting performance of a standing wave thermoacoustic engine: A numerical study
- Author
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Diana Baltean-Carlès, Lin Ma, Ivan Delbende, Luc Bauwens, Catherine Weisman, Laboratoire d'Informatique pour la Mécanique et les Sciences de l'Ingénieur (LIMSI), Université Paris Saclay (COmUE)-Centre National de la Recherche Scientifique (CNRS)-Sorbonne Université - UFR d'Ingénierie (UFR 919), and Sorbonne Université (SU)-Sorbonne Université (SU)-Université Paris-Saclay-Université Paris-Sud - Paris 11 (UP11)
- Subjects
[PHYS]Physics [physics] ,Materials science ,Acoustics and Ultrasonics ,Acoustics ,Linear system ,Thermoacoustics ,7. Clean energy ,Standing wave ,symbols.namesake ,Arts and Humanities (miscellaneous) ,Mach number ,Heat exchanger ,Aeroacoustics ,symbols ,Time domain ,[PHYS.MECA.MEFL]Physics [physics]/Mechanics [physics]/Fluid mechanics [physics.class-ph] ,Thermoacoustic heat engine - Abstract
International audience; The influence of a resistive load on the starting performance of a standing-wave thermoacoustic engine is investigated numerically. The model used is based upon a low Mach number assumption; it couples the two-dimensional nonlinear flow and heat exchange within the thermoacoustic active cell with one-dimensional linear acoustics in the loaded resonator. For a given engine geometry, prescribed temperatures at the heat exchangers, prescribed mean pressure, and prescribed load, results from a simulation in the time domain include the evolution of the acoustic pressure in the active cell. That signal is then analyzed, extracting growth rate and frequency of the dominant modes. For a given load, the temperature difference between the two sides is then varied; the most unstable mode is identified and so is the corresponding critical temperature ratio between heater and cooler. Next, varying the load, a stability diagram is obtained, potentially with a predictive value. Results are compared with those derived from Rott�s linear theory as well as with experimental results found in the literature.
- Published
- 2015
42. The contribution of structural break models to forecasting macroeconomic series
- Author
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Dimitris Korobilis, Luc Bauwens, Jeroen V.K. Rombouts, and Gary Koop
- Subjects
Series (mathematics) ,Process (engineering) ,Computer science ,jel:C53 ,Structural break ,HA ,Rolling window ,jel:C11 ,jel:C22 ,Bayesian inference ,Forecasting, change-points, Markov switching, Bayesian inference ,Simple (abstract algebra) ,Econometrics ,Change points ,Physics::Atmospheric and Oceanic Physics - Abstract
This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the model which applies in each regime and the out-of-sample probability of a break occurring. In an extensive empirical evaluation involving 60 macroeconomic quarterly and monthly time series, we demonstrate the presence of structural breaks and their importance for forecasting in the vast majority of cases. We find no single forecasting model consistently works best in the presence of structural breaks. In many cases, the formal modeling of the break process is important in achieving good forecast performance.\ud However, there are also many cases where simple, rolling window based forecasts perform well.
- Published
- 2015
43. Autoregressive Moving Average Infinite Hidden Markov-Switching Models
- Author
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Jean-François Carpantier, Luc Bauwens, Arnaud Dufays, Laboratoire d'Informatique pour la Mécanique et les Sciences de l'Ingénieur (LIMSI), Université Paris Saclay (COmUE)-Centre National de la Recherche Scientifique (CNRS)-Sorbonne Université - UFR d'Ingénierie (UFR 919), Sorbonne Université (SU)-Sorbonne Université (SU)-Université Paris-Saclay-Université Paris-Sud - Paris 11 (UP11), Centre d'Études et de Recherche en Gestion d'Aix-Marseille (CERGAM), Aix Marseille Université (AMU)-Université de Toulon (UTLN), Université Paris-Sud - Paris 11 (UP11)-Sorbonne Université - UFR d'Ingénierie (UFR 919), Sorbonne Université (SU)-Sorbonne Université (SU)-Université Paris-Saclay-Centre National de la Recherche Scientifique (CNRS)-Université Paris Saclay (COmUE), and UCL - SSH/IMMAQ/CORE - Center for operations research and econometrics
- Subjects
Statistics and Probability ,Economics and Econometrics ,ARMA, Bayesian inference, Dirichlet process, Forecasting, Marko v-switching ,Computer science ,Bayesian inference ,jel:C22 ,01 natural sciences ,010104 statistics & probability ,symbols.namesake ,Moving average ,0502 economics and business ,Markov-switching ,Econometrics ,Applied mathematics ,Autoregressive–moving-average model ,Autoregressive integrated moving average ,050207 economics ,0101 mathematics ,Hidden Markov model ,ComputingMilieux_MISCELLANEOUS ,Mathematics ,Series (mathematics) ,jel:C53 ,05 social sciences ,Markov chain Monte Carlo ,Variance (accounting) ,jel:C11 ,[SHS.ECO]Humanities and Social Sciences/Economics and Finance ,jel:C58 ,jel:C15 ,Dirichlet process ,symbols ,Statistics, Probability and Uncertainty ,Social Sciences (miscellaneous) ,ARMA ,Forecasting - Abstract
Markov-switching models are usually specified under the assumption that all the parameters change when a regime switch occurs. Relaxing this hypothesis and being able to detect which parameters evolve over time is relevant for interpreting the changes in the dynamics of the series, for specifying models parsimoniously, and may be helpful in forecasting. We propose the class of sticky infinite hidden Markov-switching autoregressive moving average models, in which we disentangle the break dynamics of the mean and the variance parameters. In this class, the number of regimes is possibly infinite and is determined when estimating the model, thus avoiding the need to set this number by a model choice criterion. We develop a new Markov chain Monte Carlo estimation method that solves the path dependence issue due to the moving average component. Empirical results on macroeconomic series illustrate that the proposed class of models dominates the model with fixed parameters in terms of point and density forecasts. Appendix available at: https://ssrn.com/abstract=2965668
- Published
- 2015
- Full Text
- View/download PDF
44. Supplementary Appendix to 'Modeling the Dependence of Conditional Correlations on Market Volatility'
- Author
-
Luc Bauwens and Edoardo Otranto
- Subjects
Markov chain ,Supplementary appendix ,Economics ,Econometrics ,Marginal impact ,Volatility (finance) ,Full paper ,Stock (geology) ,Minimum variance portfolio - Abstract
This Appendix contains details on several technical points and additional empirical results. Sections in this Appendix are indexed by letters and formulas/tables/figures by a letter followed by a number (e.g. A.1). Sections and formulas/tables/figures of the paper are referenced by numbers. In Section A, we expose the estimation procedure of the models employed in the paper. In Section B, we explain the approximation used to avoid the path dependence problem in Markov Switching models. In Section C, we provide the formulas of the marginal impact of volatility on correlations for each VDCC model. In Section D, we detail the estimation method and the results behind our findings about the long-run and short-run effects of the volatility on the correlations. In Section E, we report the application to the three stock data set (and other subsets of stocks) of the method explained in Section 4.1 to evaluate the performance of the constrained RSDC models. In Section F, we include and comment the estimates of the VDCC models for the thirty stock data set used in Section 4.2. Full paper is available at: https://ssrn.com/abstract=2965487
- Published
- 2015
- Full Text
- View/download PDF
45. Supplementary Appendix to Autoregressive Moving Average Infinite Hidden Markov-Switching Models
- Author
-
Luc Bauwens, Jean-François Carpantier, and Arnaud Dufays
- Subjects
Inflation ,Series (mathematics) ,Section (archaeology) ,media_common.quotation_subject ,Supplementary appendix ,Econometrics ,Applied mathematics ,Autoregressive–moving-average model ,Truncation (statistics) ,Hidden Markov model ,Full paper ,Mathematics ,media_common - Abstract
This Appendix contains additional empirical results with respect to the published article. In Section 1, the posterior results for the HDP parameters of the IHMS- ARMA models are presented for the U.S. GDP growth rate and inflation series. In Section 2, we report additional in-sample and forecasting results for the same series. In Section 3, some results for a different truncation choice of the number of regimes in the approximate model are reported. Full paper available at: https://ssrn.com/abstract=2965441
- Published
- 2015
- Full Text
- View/download PDF
46. Detonation Structure Under Chain Branching Kinetics
- Author
-
Luc Bauwens and Z. Liang
- Subjects
Hydrogen ,Computer simulation ,Mechanical Engineering ,Kinetics ,Detonation ,Kinetic scheme ,General Physics and Astronomy ,chemistry.chemical_element ,Thermodynamics ,High activation ,Mechanics ,Branching (polymer chemistry) ,Reaction rate ,chemistry - Abstract
Hydrogen–oxygen chemistry is characterized by a chain branching mechanism that yields three explosion limits. While a detailed kinetic scheme appropriate for hydrogen–oxygen should produce correct results, in many circumstances, a simpler yet reasonably realistic model will be warranted. In particular, it is easier to develop a clear understanding of the reaction zone structure using a simpler model, that includes only the key mechanisms. To that effect, we consider a four-step chain branching scheme that exhibits an explosion behavior with three limits, which behaves at least qualitatively like hydrogen chemistry. We focus in particular on the structure of the initiation and chain branching zones, using a combination between numerical simulation and analysis. Numerical simulations using this chemical model show distinctive keystone figures in the flow field, close to observations in hydrogen–oxygen detonation experiments. The structure of the chain branching zone is resolved using a perturbation analysis, which clarifies the differences between explosion and no-explosion regions and allows for an evaluation of the induction length in the steady wave. The analysis assumes both high activation energy and a slow initiation. Three cases are identified, respectively, with pressure and temperature located within the explosion region, close to the explosion limit and within the no-explosion region. The induction length is shorter and the reaction rate is faster by several orders of magnitude in the explosion region.
- Published
- 2006
- Full Text
- View/download PDF
47. Stochastic Conditional Intensity Processes
- Author
-
Nikolaus Hautsch and Luc Bauwens
- Subjects
Economics and Econometrics ,Multivariate statistics ,Autoregressive model ,Dynamic factor ,Autocorrelation ,Range (statistics) ,Econometrics ,Finance ,Importance sampling ,Intensity (heat transfer) ,Point process ,Mathematics - Abstract
In this article, we introduce the so-called stochastic conditional intensity (SCI) model by extending Russell’s (1999) autoregressive conditional intensity (ACI) model by a latent common dynamic factor that jointly drives the individual intensity components. We show by simulations that the proposed model allows for a wide range of (cross-)autocorrelation structures in multivariate point processes. The model is estimated by simulated maximum likelihood (SML) using the efficient importance sampling (EIS) technique. By modeling price intensities based on NYSE trading, we provide significant evidence for a joint latent factor and show that its inclusion allows for an improved and more parsimonious specification of the multivariate intensity process.
- Published
- 2006
- Full Text
- View/download PDF
48. Editor’s introduction
- Author
-
Luc Bauwens, Winfried Pohlmeier, and David Veredas
- Subjects
Statistics and Probability ,Economics and Econometrics ,Mathematics (miscellaneous) ,Social Sciences (miscellaneous) - Published
- 2005
- Full Text
- View/download PDF
49. News announcements, market activity and volatility in the euro/dollar foreign exchange market
- Author
-
Luc Bauwens, Walid Ben Omrane, and Pierre Giot
- Subjects
Economics and Econometrics ,Market activity ,Financial economics ,Volatility swap ,Return volatility ,Liberian dollar ,Economics ,Volatility smile ,Monetary economics ,Volatility (finance) ,Foreign exchange market ,Volatility risk premium ,Finance - Abstract
We study the impact of nine categories of scheduled and unscheduled news announcements on the euro/dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and post-announcement reactions. Using high-frequency intraday data and within the framework of ARCH-type models, we show that volatility increases in the pre-announcement periods, particularly before scheduled events. Market activity also significantly impacts return volatility as expected by the theoretical literature on the order flow.
- Published
- 2005
- Full Text
- View/download PDF
50. Cell structure and stability of detonations with a pressure-dependent chain-branching reaction rate model
- Author
-
Luc Bauwens and Z. Liang
- Subjects
Arrhenius equation ,Chemistry ,General Chemical Engineering ,Detonation ,General Physics and Astronomy ,Energy Engineering and Power Technology ,Thermodynamics ,Transverse wave ,General Chemistry ,Mechanics ,Activation energy ,Branching (polymer chemistry) ,Reaction rate ,symbols.namesake ,Wavelength ,Fuel Technology ,Discontinuity (geotechnical engineering) ,Modeling and Simulation ,symbols - Abstract
We examine detonation waves with a four-step chain-branching reaction model that exhibits explosion limits close to the two lower limits of hydrogen–oxygen chemistry. The reaction model consists of a chain-initiation step and a chain-branching step, both temperature-dependent with Arrhenius kinetics, followed by two pressure-dependent termination steps. Increasing the chain-branching activation energy or the overdrive shortens the reaction length in the ZND wavelength and leads to more unstable detonations, according to multi-dimensional linear stability analysis. Corresponding numerical simulations show that detonations with weak chain-branching reactions have a wave structure similar to those with a single-step reaction; strong chain-branching detonations show distinct keystone features. Keystone regions are bounded by a discontinuity in reactivity across the shear layers emanating from the triple points at the intersection of the transverse waves and the main front. Especially in the strong case, chain...
- Published
- 2005
- Full Text
- View/download PDF
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