Sébastien Laurent
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Sébastien |
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Laurent |
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Contact
Affiliations
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Aix-Marseille Université
/ École d'Économie d'Aix-Marseille
Research profile
author of:
- Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014)
by Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg
(ReDIF-paper, aah:create:2014-05) - Weak diffusion limits of dynamic conditional correlation models
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)
by Christian M. Hafner & Sebastien Laurent & Francesco Violante
(ReDIF-paper, aah:create:2015-03) - Do We Need High Frequency Data to Forecast Variances?
Annals of Economics and Statistics, GENES (2016)
by Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent
(ReDIF-article, adr:anecst:y:2016:i:123-124:p:135-174) - Introduction
Annals of Economics and Statistics, GENES (2016)
by Serge Darolles & Christian Gouriéroux & Sébastien Laurent
(ReDIF-article, adr:anecst:y:2016:i:123-124:p:7-8) - Volatility Estimation and Jump Detection for drift-diffusion Processes
AMSE Working Papers, Aix-Marseille School of Economics, France (2018)
by Sébastien Laurent & Shuping Shi
(ReDIF-paper, aim:wpaimx:1843) - Generating Univariate Fractional Integration within a Large VAR(1)
AMSE Working Papers, Aix-Marseille School of Economics, France (2018)
by Guillaume Chevillon & Alain Hecq & Sébastien Laurent
(ReDIF-paper, aim:wpaimx:1844) - Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
AMSE Working Papers, Aix-Marseille School of Economics, France (2018)
by Serge Darolles & Christian Francq & Sébastien Laurent
(ReDIF-paper, aim:wpaimx:1845) - Volatility Models
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011)
by Bauwens, L. & Hafner C. & Laurent, S.
(ReDIF-paper, aiz:louvad:2011044) - Weak Diffusion Limits of Dynamic Conditional Correlation Models
LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016)
by Hafner, C. & Laurent, S. & Violante, F.
(ReDIF-paper, aiz:louvad:2016034) - Testing conditional asymmetry: A residual-based approach
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2012)
by Lambert, Philippe & Laurent, Sebastien & Veredas, David
(ReDIF-paper, aiz:louvar:2012006) - Volatility Models
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2012)
by Bauwens, L. & Hafner, C. & Laurent, S.
(ReDIF-paper, aiz:louvar:2012028) - Weak Diffusion Limits of Dynamic Conditional Correlation Models
LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2017)
by Hafner, Christian & Laurent, Sebastien & Violante, Francesco
(ReDIF-paper, aiz:louvar:2017014) - Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs
LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2021)
by Aloy, Marcel & Laly, Floris & Laurent, Sébastien & Lecourt, Christelle
(ReDIF-paper, ajf:louvlr:2021021) - A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
Journal of Business & Economic Statistics, American Statistical Association (2005)
by Bauwens, Luc & Laurent, Sebastien
(ReDIF-article, bes:jnlbes:v:23:y:2005:p:346-354) - G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models
Journal of Economic Surveys, Wiley Blackwell (2002)
by Sébastien Laurent & Jean–Philippe Peters
(ReDIF-article, bla:jecsur:v:16:y:2002:i:3:p:447-484) - Treatment-effect estimation in high dimension: An inference-based approach
French Stata Users' Group Meetings 2024, Stata Users Group (2024)
by Sullivan Hué & Emmanuel Flachaire & Sébastien Laurent & Ulrich Aiounou
(ReDIF-paper, boc:fsug24:18) - On the Univariate Representation of BEKK Models with Common Factors
Journal of Time Series Econometrics, De Gruyter (2016)
by Hecq Alain & Palm Franz C. & Laurent Sébastien
(ReDIF-article, bpj:jtsmet:v:8:y:2016:i:2:p:91-113:n:4) - Capital humain, emploi et revenus du travail: Belgique, 1992
Brussels Economic Review, ULB -- Universite Libre de Bruxelles (1999)
by Frédéric Docquier & Sébastien Laurent & Sergio Perelman
(ReDIF-article, bxr:bxrceb:2013/13083) - L'absentéisme dans une institution hospitalière: les facteurs déterminants
Brussels Economic Review, ULB -- Universite Libre de Bruxelles (2000)
by B. Lipszyc & Sébastien Laurent
(ReDIF-article, bxr:bxrceb:2013/13125) - L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar
Revue économique, Presses de Sciences-Po (2001)
by Aurélie Boubel & Sébastien Laurent & Christelle Lecourt
(ReDIF-article, cai:recosp:reco_522_0353) - Capital humain, emploi et salaire en Belgique et dans ses régions
Reflets et perspectives de la vie économique, De Boeck Université (2001)
by Sébastien Laurent
(ReDIF-article, cai:rpvedb:rpve_401_0025) - On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
CIRANO Working Papers, CIRANO (2009)
by Sébastien Laurent & Jeroen Rombouts & Francesco Violente
(ReDIF-paper, cir:cirwor:2009s-45) - Value-at-risk for long and short trading positions
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001)
by GIOT, Pierre & LAURENT, Sébastien
(ReDIF-paper, cor:louvco:2001022) - A new class of multivariate skew densities, with application to GARCH models
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2002)
by BAUWENS, Luc & LAURENT, Sébastien
(ReDIF-paper, cor:louvco:2002020) - Market risk in commodity markets: a VaR approach
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003)
by GIOT, Pierre & LAURENT, Sébastien
(ReDIF-paper, cor:louvco:2003028) - Multivariate GARCH models: a survey
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003)
by BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen
(ReDIF-paper, cor:louvco:2003031) - Central Bank forex interventions assessed using realized moments
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004)
by BEINE, Michel & LAURENT, Sébastien & PALM, Franz
(ReDIF-paper, cor:louvco:2004001) - Bridging the gap between Ox and Gauss using OxGauss
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004)
by LAURENT, Sébastien & URBAIN, Jean-Pierre
(ReDIF-paper, cor:louvco:2004012) - Consistent ranking of multivariate volatility models
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009)
by LAURENT, Sebastien & ROMBOUTS, Jeroen V.K. & VIOLANTE, FRANCESCO
(ReDIF-paper, cor:louvco:2009002) - On the forecasting accuracy of multivariate GARCH models
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010)
by LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco
(ReDIF-paper, cor:louvco:2010025) - Volatility models
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011)
by BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien
(ReDIF-paper, cor:louvco:2011058) - Weak Diffusion Limits of Dynamic Conditional Correlation Models
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016)
by HAFNER, Christian & LAURENT, Sebastien & VIOLANTE, Francesco
(ReDIF-paper, cor:louvco:2016009) - We modeled long memory with just one lag!
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2022)
by Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien
(ReDIF-paper, cor:louvco:2022016) - Market risk in commodity markets: a VaR approach
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003)
by GIOT, Pierre & LAURENT, Sébastien
(ReDIF-paper, cor:louvrp:1682) - Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003)
by BEINE, Michel & LAURENT, Sébastien & LECOURT, Christelle
(ReDIF-paper, cor:louvrp:1705) - Central bank interventions and jumps in double long memory models of daily exchange rates
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003)
by BEINE, Michel & LAURENT, Sébastien
(ReDIF-paper, cor:louvrp:1706) - Value-at-Risk for long and short trading positions
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003)
by GIOT, Pierre & LAURENT, Sébastien
(ReDIF-paper, cor:louvrp:1707) - Modelling daily Value-at-Risk using realized volatility and ARCH type models
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004)
by GIOT, Pierre & LAURENT, Sébastien
(ReDIF-paper, cor:louvrp:1708) - A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005)
by BAUWENS, Luc & LAURENT, Sébastien
(ReDIF-paper, cor:louvrp:1793) - Multivariate GARCH models: a survey
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006)
by BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK
(ReDIF-paper, cor:louvrp:1847) - The impact of Central Bank FX interventions on currency components
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006)
by BEINE, Michel & BOS, Charles S. & LAURENT, Sébastien
(ReDIF-paper, cor:louvrp:1980) - Central bank FOREX interventions assessed using realized moments
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009)
by BEINE, Michel & LAURENT, Sébastien & PALM, Franz C.
(ReDIF-paper, cor:louvrp:2135) - Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2009)
by GNABO, Jean-Yves & LAURENT, Sébastien & LECOURT, Christelle
(ReDIF-paper, cor:louvrp:2136) - Trading activity, realized volatility and jumps
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010)
by GIOT, Pierre & LAURENT, Sébastien & PETITJEAN, Mikael
(ReDIF-paper, cor:louvrp:2223) - Jumps, cojumps and macro announcements
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011)
by LAHAYE, Jérôme & LAURENT, Sébastien & NEELY, Christopher J.
(ReDIF-paper, cor:louvrp:2413) - Volatility forecasts evaluation and comparison
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2012)
by LAURENT, Sébastien & VIOLANTE, Francesco
(ReDIF-paper, cor:louvrp:2414) - Outlyingness weighted covariation
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011)
by BOUDT, Kris & CROUX, Christophe & LAURENT, Sébastien
(ReDIF-paper, cor:louvrp:2443) - Weak diffusion limits of dynamic conditional correlation models
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017)
by Christian M. HAFNER & Sébastien LAURENT & Francesco VIOLANTE
(ReDIF-paper, cor:louvrp:2866) - Weak Diffusion Limits Of Dynamic Conditional Correlation Models
Econometric Theory, Cambridge University Press (2017)
by Hafner, Christian M. & Laurent, Sebastien & Violante, Francesco
(ReDIF-article, cup:etheor:v:33:y:2017:i:03:p:691-716_00) - Unit Root Test With High-Frequency Data
Econometric Theory, Cambridge University Press (2022)
by Laurent, Sébastien & Shi, Shuping
(ReDIF-article, cup:etheor:v:38:y:2022:i:1:p:113-171_4) - Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2015)
by Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien
(ReDIF-paper, ebg:essewp:dr-15007) - Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach
Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008)
by Philippe Lambert & Sébastien Laurent
(ReDIF-paper, eca:wpaper:2008_009) - Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates
Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
by Michel Beine & Sebastien Laurent
(ReDIF-paper, ecm:wc2000:0312) - Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach
Computational Statistics & Data Analysis, Elsevier (2016)
by Laurent, Sébastien & Lecourt, Christelle & Palm, Franz C.
(ReDIF-article, eee:csdana:v:100:y:2016:i:c:p:383-400) - Testing conditional asymmetry: A residual-based approach
Journal of Economic Dynamics and Control, Elsevier (2012)
by Lambert, Philippe & Laurent, Sébastien & Veredas, David
(ReDIF-article, eee:dyncon:v:36:y:2012:i:8:p:1229-1247) - On loss functions and ranking forecasting performances of multivariate volatility models
Journal of Econometrics, Elsevier (2013)
by Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco
(ReDIF-article, eee:econom:v:173:y:2013:i:1:p:1-10) - Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Journal of Econometrics, Elsevier (2017)
by Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar
(ReDIF-article, eee:econom:v:196:y:2017:i:2:p:347-367) - Generating univariate fractional integration within a large VAR(1)
Journal of Econometrics, Elsevier (2018)
by Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien
(ReDIF-article, eee:econom:v:204:y:2018:i:1:p:54-65) - Asymptotics of Cholesky GARCH models and time-varying conditional betas
Journal of Econometrics, Elsevier (2018)
by Darolles, Serge & Francq, Christian & Laurent, Sébastien
(ReDIF-article, eee:econom:v:204:y:2018:i:2:p:223-247) - Volatility estimation and jump detection for drift–diffusion processes
Journal of Econometrics, Elsevier (2020)
by Laurent, Sébastien & Shi, Shuping
(ReDIF-article, eee:econom:v:217:y:2020:i:2:p:259-290) - Quasi score-driven models
Journal of Econometrics, Elsevier (2023)
by Blasques, F. & Francq, Christian & Laurent, Sébastien
(ReDIF-article, eee:econom:v:234:y:2023:i:1:p:251-275) - We modeled long memory with just one lag!
Journal of Econometrics, Elsevier (2023)
by Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien
(ReDIF-article, eee:econom:v:236:y:2023:i:1:s0304407623001616) - Autoregressive conditional betas
Journal of Econometrics, Elsevier (2024)
by Blasques, F. & Francq, Christian & Laurent, Sébastien
(ReDIF-article, eee:econom:v:238:y:2024:i:2:s0304407623003469) - Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis
European Economic Review, Elsevier (2003)
by Beine, Michel & Laurent, Sebastien & Lecourt, Christelle
(ReDIF-article, eee:eecrev:v:47:y:2003:i:5:p:891-911) - Central bank interventions and jumps in double long memory models of daily exchange rates
Journal of Empirical Finance, Elsevier (2003)
by Beine, Michel & Laurent, Sebastien
(ReDIF-article, eee:empfin:v:10:y:2003:i:5:p:641-660) - Modelling daily Value-at-Risk using realized volatility and ARCH type models
Journal of Empirical Finance, Elsevier (2004)
by Giot, Pierre & Laurent, Sebastien
(ReDIF-article, eee:empfin:v:11:y:2004:i:3:p:379-398) - Trading activity, realized volatility and jumps
Journal of Empirical Finance, Elsevier (2010)
by Giot, Pierre & Laurent, Sébastien & Petitjean, Mikael
(ReDIF-article, eee:empfin:v:17:y:2010:i:1:p:168-175) - Robust estimation of intraweek periodicity in volatility and jump detection
Journal of Empirical Finance, Elsevier (2011)
by Boudt, Kris & Croux, Christophe & Laurent, Sébastien
(ReDIF-article, eee:empfin:v:18:y:2011:i:2:p:353-367) - Market risk in commodity markets: a VaR approach
Energy Economics, Elsevier (2003)
by Giot, Pierre & Laurent, Sebastien
(ReDIF-article, eee:eneeco:v:25:y:2003:i:5:p:435-457) - Central bank FOREX interventions assessed using realized moments
Journal of International Financial Markets, Institutions and Money, Elsevier (2009)
by Beine, Michel & Laurent, Sébastien & Palm, Franz C.
(ReDIF-article, eee:intfin:v:19:y:2009:i:1:p:112-127) - Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan
Journal of International Financial Markets, Institutions and Money, Elsevier (2009)
by Gnabo, Jean-Yves & Laurent, Sébastien & Lecourt, Christelle
(ReDIF-article, eee:intfin:v:19:y:2009:i:1:p:94-111) - Robust forecasting of dynamic conditional correlation GARCH models
International Journal of Forecasting, Elsevier (2013)
by Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien
(ReDIF-article, eee:intfor:v:29:y:2013:i:2:p:244-257) - Which continuous-time model is most appropriate for exchange rates?
Journal of Banking & Finance, Elsevier (2015)
by Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J.
(ReDIF-article, eee:jbfina:v:61:y:2015:i:s2:p:s256-s268) - Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data
Journal of Policy Modeling, Elsevier (2001)
by Beine, Michel & Bismans, Francis & Docquier, Frederic & Laurent, Sebastien
(ReDIF-article, eee:jpolmo:v:23:y:2001:i:7:p:713-729) - Econometric modeling of exchange rate volatility and jumps
Chapters, Edward Elgar Publishing (2013)
by Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely
(ReDIF-chapter, elg:eechap:14545_16) - L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar
Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2000)
by Aurélie Boubel & Sébastien Laurent & Christelle Lecourt
(ReDIF-paper, eve:wpaper:00-09) - Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions
Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2000)
by Aurélie Boubel & Sébastien Laurent
(ReDIF-paper, eve:wpaper:00-13) - Central bank intervention and exchange rate volatility, its continuous and jump components
Working Papers, Federal Reserve Bank of St. Louis (2007)
by Michel Beine & Jerome Lahaye & Sebastien Laurent & Christopher J. Neely & Franz C. Palm
(ReDIF-paper, fip:fedlwp:2006-031) - Jumps, cojumps and macro announcements
Working Papers, Federal Reserve Bank of St. Louis (2007)
by Jerome Lahaye & Sebastien Laurent & Christopher J. Neely
(ReDIF-paper, fip:fedlwp:2007-032) - Econometric modeling of exchange rate volatility and jumps
Working Papers, Federal Reserve Bank of St. Louis (2012)
by Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely
(ReDIF-paper, fip:fedlwp:2012-008) - Which continuous-time model is most appropriate for exchange rates?
Working Papers, Federal Reserve Bank of St. Louis (2013)
by Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely
(ReDIF-paper, fip:fedlwp:2013-024) - On the Univariate Representation of BEKK Models with Common Factors
Post-Print, HAL (2016)
by Alain Hecq & Franz C. Palm & Sébastien Laurent
(ReDIF-paper, hal:journl:hal-01440307) - Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
Post-Print, HAL (2016)
by Sébastien Laurent & Christelle Lecourt & Franz C. Palm
(ReDIF-paper, hal:journl:hal-01447861) - Do We Need High Frequency Data to Forecast Variances?
Post-Print, HAL (2016)
by Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent
(ReDIF-paper, hal:journl:hal-01448237) - Introduction to the special issue on recent developments in Financial Econometrics
Post-Print, HAL (2016)
by Serge Darolles & Christian Gourieroux & Sébastien Laurent
(ReDIF-paper, hal:journl:hal-01448240) - Risk Measure Inference
Post-Print, HAL (2017)
by Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes
(ReDIF-paper, hal:journl:hal-01457393) - Which continuous-time model is most appropriate for exchange rates?
Post-Print, HAL (2015)
by Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely
(ReDIF-paper, hal:journl:hal-01457402) - Estimating and forecasting ARCH models using G@RCH 6
Post-Print, HAL (2014)
by Sébastien Laurent
(ReDIF-paper, hal:journl:hal-01463936) - Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Post-Print, HAL (2017)
by Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg & Orimar Sauri
(ReDIF-paper, hal:journl:hal-01505775) - Weak Diffusion Limits of Dynamic Conditional Correlation Models
Post-Print, HAL (2017)
by Christian M. Hafner & Sébastien Laurent & Francesco Violante
(ReDIF-paper, hal:journl:hal-01590010) - Generating univariate fractional integration within a large VAR(1)
Post-Print, HAL (2018)
by Guillaume Chevillon & Alain Hecq & Sébastien Laurent
(ReDIF-paper, hal:journl:hal-01980783) - Asymptotics of Cholesky GARCH models and time-varying conditional betas
Post-Print, HAL (2018)
by Serge Darolles & Christian Francq & Sébastien Laurent
(ReDIF-paper, hal:journl:hal-01980815) - The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility [L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-
Post-Print, HAL (2001)
by Aurélie Boubel & Sébastien Laurent & Christelle Lecourt
(ReDIF-paper, hal:journl:hal-02878015) - Volatility estimation and jump detection for drift–diffusion processes
Post-Print, HAL (2020)
by Sébastien Laurent & Shuping Shi
(ReDIF-paper, hal:journl:hal-02909690) - Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs
Post-Print, HAL (2021)
by Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt
(ReDIF-paper, hal:journl:hal-03103717) - Unit Root Test with High-Frequency Data
Post-Print, HAL (2022)
by Sébastien Laurent & Shuping Shi
(ReDIF-paper, hal:journl:hal-03543167) - Jumps et modèles de type GARCH (Chapitre 3)
Post-Print, HAL (2020)
by Sébastien Laurent & Christelle Lecourt
(ReDIF-paper, hal:journl:hal-03553534) - Quasi score-driven models
Post-Print, HAL (2023)
by F. Blasques & Christian Francq & Sébastien Laurent
(ReDIF-paper, hal:journl:hal-04069143) - We modeled long memory with just one lag!
Post-Print, HAL (2023)
by Luc Bauwens & Guillaume Chevillon & Sébastien Laurent
(ReDIF-paper, hal:journl:hal-04185755) - Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
Working Papers, HAL (2015)
by Guillaume Chevillon & Alain Hecq & Sébastien Laurent
(ReDIF-paper, hal:wpaper:hal-01158524) - Risk Measure Inference
Working Papers, HAL (2015)
by Christophe Hurlin & Sebastien Laurent & Rogier Quaedvlieg & Stephan Smeekes
(ReDIF-paper, hal:wpaper:halshs-00877279) - Do We Need Ultra-High Frequency Data to Forecast Variances?
Working Papers, HAL (2014)
by Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent
(ReDIF-paper, hal:wpaper:halshs-01078158) - Volatility Estimation and Jump Detection for drift-diffusion Processes
Working Papers, HAL (2018)
by Sébastien Laurent & Shuping Shi
(ReDIF-paper, hal:wpaper:halshs-01944449) - Generating Univariate Fractional Integration within a Large VAR(1)
Working Papers, HAL (2018)
by Guillaume Chevillon & Alain Hecq & Sébastien Laurent
(ReDIF-paper, hal:wpaper:halshs-01944588) - Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
Working Papers, HAL (2018)
by Serge Darolles & Christian Francq & Sébastien Laurent
(ReDIF-paper, hal:wpaper:halshs-01944656) - Central bank intervention and exchange rate volatility, its continuous and jump components
International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2007)
by Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm
(ReDIF-article, ijf:ijfiec:v:12:y:2007:i:2:p:201-223) - Value-at-risk for long and short trading positions
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2003)
by Pierre Giot & Sébastien Laurent
(ReDIF-article, jae:japmet:v:18:y:2003:i:6:p:641-663) - Bridging the gap between Ox and Gauss using OxGauss
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005)
by Jean-Pierre Urbain & Sébastien Laurent
(ReDIF-article, jae:japmet:v:20:y:2005:i:1:p:131-139) - Multivariate GARCH models: a survey
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006)
by Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts
(ReDIF-article, jae:japmet:v:21:y:2006:i:1:p:79-109) - Analytical Derivates of the APARCH Model
Computational Economics, Springer;Society for Computational Economics (2004)
by Sébastien Laurent
(ReDIF-article, kap:compec:v:24:y:2004:i:1:p:51-57) - On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
Cahiers de recherche, CIRPEE (2009)
by Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante
(ReDIF-paper, lvl:lacicr:0948) - On the Forecasting Accuracy of Multivariate GARCH Models
Cahiers de recherche, CIRPEE (2010)
by Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante
(ReDIF-paper, lvl:lacicr:1021) - Common Intraday Periodicity
Journal of Financial Econometrics, Oxford University Press (2011)
by Alain Hecq & Sébastien Laurent & Franz C. Palm
(ReDIF-article, oup:jfinec:v:10:y:2011:i:2:p:325-353) - The Impact of Central Bank FX Interventions on Currency Components
Journal of Financial Econometrics, Oxford University Press (2007)
by Michel Beine & Charles S. Bos & Sébastien Laurent
(ReDIF-article, oup:jfinec:v:5:y:2007:i:1:p:154-183) - Outlyingness Weighted Covariation
Journal of Financial Econometrics, Oxford University Press (2011)
by Christophe Croux & Sébastien Laurent
(ReDIF-article, oup:jfinec:v:9:y:2011:i:4:p:657-684) - Asymptotics of Cholesky GARCH models and time-varying conditional betas
MPRA Paper, University Library of Munich, Germany (2018)
by Darolles, Serges & Francq, Christian & Laurent, Sébastien
(ReDIF-paper, pra:mprapa:83988) - La persistance des chocs de volatilité sur le marché des changes s'est-elle modifée depuis le debut des annees 1980 ?
Revue Économique, Programme National Persée (2000)
by Michel Beine & Sébastien Laurent
(ReDIF-article, prs:reveco:reco_0035-2764_2000_num_51_3_410548) - L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar
Revue Économique, Programme National Persée (2001)
by Sébastien Laurent & Aurélie Boubel & Christelle Lecourt
(ReDIF-article, prs:reveco:reco_0035-2764_2001_num_52_2_410321) - G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models
Computing in Economics and Finance 2001, Society for Computational Economics (2001)
by S»bastien Laurent and Jean-Philippe Peters
(ReDIF-paper, sce:scecf1:123) - Multivariate GARCH models and their Estimation
Computing in Economics and Finance 2002, Society for Computational Economics (2002)
by L. Bauwens & S. Laurent & J.P. Peters & J. Rombouts
(ReDIF-paper, sce:scecf2:19) - A New Class of Multivariate skew Densities, with Application to GARCH Models
Computing in Economics and Finance 2002, Society for Computational Economics (2002)
by Luc Bauwens & Sébastien Laurent
(ReDIF-paper, sce:scecf2:5) - Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models
Computing in Economics and Finance 2002, Society for Computational Economics (2002)
by Pierre Giot & Sébastien Laurent
(ReDIF-paper, sce:scecf2:52) - Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs
Dynamic Modeling and Econometrics in Economics and Finance, Springer (2021)
by Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt
(ReDIF-chapter, spr:dymchp:978-3-030-54252-8_9) - Unknown item RePEc:taf:apfiec:v:12:y:2002:i:8:p:589-600 (article)
- Risk Measure Inference
Journal of Business & Economic Statistics, Taylor & Francis Journals (2017)
by Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes
(ReDIF-article, taf:jnlbes:v:35:y:2017:i:4:p:499-512) - Do jumps mislead the FX market?
Quantitative Finance, Taylor & Francis Journals (2012)
by Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt
(ReDIF-article, taf:quantf:v:12:y:2012:i:10:p:1521-1532) - A New Class of Robust Observation-Driven Models
Tinbergen Institute Discussion Papers, Tinbergen Institute (2020)
by Francisco Blasques & Christian Francq & Sébastien Laurent
(ReDIF-paper, tin:wpaper:20200073) - Central bank intervention in the foreign exchange markets assessed using realized moments
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2007)
by Michel Beine & Sébastien Laurent & Franz Palm
(ReDIF-paper, ulb:ulbeco:2013/10407) - Central Bank intervention and exchange rate volatility: its continuous and jump components
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2007)
by Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher Neely & Franz Palm
(ReDIF-paper, ulb:ulbeco:2013/10413) - The impact of Central Bank FX interventions on currency components
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2007)
by Michel Beine & Charles Bos & Sébastien Laurent
(ReDIF-paper, ulb:ulbeco:2013/10419) - Have sequential interventions of Central Banks in foreign exchange been effective ?
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2004)
by Michel Beine & Sébastien Laurent & Franz Palm
(ReDIF-paper, ulb:ulbeco:2013/10429) - Central Bank interventions and jumps in double long memory models of daily exchange rates
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2003)
by Michel Beine & Sébastien Laurent
(ReDIF-paper, ulb:ulbeco:2013/10435) - Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2003)
by Michel Beine & Sébastien Laurent & Christelle Lecourt
(ReDIF-paper, ulb:ulbeco:2013/10437) - Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2002)
by Michel Beine & Sébastien Laurent & Christelle Lecourt
(ReDIF-paper, ulb:ulbeco:2013/10443) - La persistance des chocs de volatilité sur le marché des changes s'est-elle modifiée depuis le début des années quatre-vingts ?
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2000)
by Michel Beine & Sébastien Laurent
(ReDIF-paper, ulb:ulbeco:2013/10453) - Structural change and long memory in volatility: new evidence from daily exchange rates
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2000)
by Michel Beine & Sébastien Laurent
(ReDIF-paper, ulb:ulbeco:2013/10473) - Testing conditional asymmetry. A residual based approach
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2012)
by Philippe Lambert & Sébastien Laurent & David Veredas
(ReDIF-paper, ulb:ulbeco:2013/136195) - Long memory through marginalization of large systems and hidden cross-section dependence
Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015)
by Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A.
(ReDIF-paper, unm:umagsb:2015014) - Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse
Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2001)
by van Mierlo, J.G.A.
(ReDIF-paper, unm:umamet:2001014) - Modelling daily value-at-risk using realized volatility and arch type models
Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2001)
by Giot, P. & Laurent, S.F.J.A.
(ReDIF-paper, unm:umamet:2001026) - Central bank FOREX interventions assessed using realized moments
Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2003)
by Beine, M. & Laurent, S. & Palm, F.C.
(ReDIF-paper, unm:umamet:2003043) - Bridging the gap between Ox and Gauss using OxGauss
Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2004)
by Laurent, S. & Urbain, J.R.Y.J.
(ReDIF-paper, unm:umamet:2004005) - Minimal manipulability: anonymity and surjectivity
Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2004)
by Maus, S. & Peters, H.J.M. & Storcken, A.J.A.
(ReDIF-paper, unm:umamet:2004007) - Common intraday periodicity
Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011)
by Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A.
(ReDIF-paper, unm:umamet:2011010) - On the univariate representation of multivariate volatility models with common factors
Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011)
by Hecq, A.W. & Laurent, S.F.J.A. & Palm, F.C.
(ReDIF-paper, unm:umamet:2011011) - On the univariate representation of BEKK models with common factors
Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012)
by Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A.
(ReDIF-paper, unm:umamet:2012018) - Bridging the gap between Ox and Gauss using OxGauss
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005)
by Sébastien Laurent & Jean‐Pierre Urbain
(ReDIF-article, wly:japmet:v:20:y:2005:i:1:p:131-139) - Multivariate GARCH models: a survey
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006)
by Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts
(ReDIF-article, wly:japmet:v:21:y:2006:i:1:p:79-109) - Jumps, cojumps and macro announcements
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011)
by Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely
(ReDIF-article, wly:japmet:v:26:y:2011:i:6:p:893-921) - On the forecasting accuracy of multivariate GARCH models
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012)
by Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante
(ReDIF-article, wly:japmet:v:27:y:2012:i:6:p:934-955) - The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
Journal of Futures Markets, John Wiley & Sons, Ltd. (2007)
by Pierre Giot & Sébastien Laurent
(ReDIF-article, wly:jfutmk:v:27:y:2007:i:4:p:337-359)