Access Statistics for Sébastien Laurent

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Class of Multivariate skew Densities, with Application to GARCH Models 0 0 0 0 2 11 46 393
Bridging the Gap Between Ox and Gauss using OxGauss 2 6 39 387 6 20 92 872
Central Bank Forex Interventions Assessed Using Realized Moments 0 3 17 145 4 23 82 643
Central bank intervention and exchange rate volatility, its continuous and jump components 0 3 15 89 2 8 50 238
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models 6 17 59 686 21 53 145 1,350
Jumps, cojumps and macro announcements 4 6 12 36 7 13 36 92
Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models 0 0 0 0 1 11 46 464
Modelling daily value-at-risk using realized volatility and arch type models 5 11 50 453 15 36 138 1,150
Multivariate GARCH models and their Estimation 0 0 0 0 2 2 25 407
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates 0 1 12 172 1 2 18 274
Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach 3 4 13 15 4 6 39 47
The Impact of Central Bank FX Interventions on Currency Components 3 4 17 123 4 16 60 407
Total Working Papers 23 55 234 2,106 69 201 777 6,337

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models 4 6 15 32 4 9 26 81
Accounting for Conditional Leptokurtosis and Closing Days Effects in FIGARCH Models of Daily Exchange Rates 0 2 9 89 1 7 30 340
Analytical Derivates of the APARCH Model 0 0 14 192 1 3 37 545
Bridging the gap between Ox and Gauss using OxGauss 0 2 8 82 0 4 22 235
Capital humain, emploi et salaire en Belgique et dans ses régions 0 0 0 0 2 17 44 44
Central bank FOREX interventions assessed using realized moments 0 1 8 8 9 21 46 46
Central bank intervention and exchange rate volatility, its continuous and jump components 1 1 4 26 7 10 37 136
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 5 44 0 2 15 152
Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan 0 4 6 6 0 5 18 18
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models 3 9 41 304 8 21 90 701
Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data 0 1 5 77 0 1 10 187
Market risk in commodity markets: a VaR approach 4 6 20 169 7 11 45 383
Modelling daily Value-at-Risk using realized volatility and ARCH type models 8 20 68 363 18 50 163 872
Multivariate GARCH models: a survey 22 57 240 699 37 94 422 1,223
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 1 3 10 53 3 5 18 154
The Impact of Central Bank FX Interventions on Currency Components 0 0 7 19 2 5 33 82
Value-at-risk for long and short trading positions 10 22 78 614 17 38 129 1,406
Total Journal Articles 53 134 538 2,777 116 303 1,185 6,605

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Statistics updated 2009-11-04