Sébastien Laurent

Names

first:	Sébastien
last:	Laurent

Identifer

RePEc Short-ID:

pla169

Contact

homepage:	http://www.slaurent.net
postal address:	AMSE 424 Chemin du Viaduc 13080 Aix-en-Provence France

Affiliations

Aix-Marseille Université / École d'Économie d'Aix-Marseille
- EDIRC entry
- location:

Research profile

author of:

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

The profile is maintained by Sébastien Laurent

Permanent link: http://authors.repec.org/pro/pla169/