Access Statistics for Sébastien Laurent

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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 0 1 1 540
A New Class of Robust Observation-Driven Models 0 1 1 49 0 1 3 49
A new class of multivariate skew densities, with application to GARCH models 0 0 0 99 0 0 0 236
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 0 0 17 0 0 1 51
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 0 0 0 1 53
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 1 1 4 0 1 1 58
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 0 1 1 67
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 1 70 0 1 4 173
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 5 0 0 0 44
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 44 0 1 2 165
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 21 0 0 1 128
Central Bank forex interventions assessed using realized moments 0 0 0 17 2 2 4 123
Central Bank intervention and exchange rate volatility: its continuous and jump components 0 0 0 0 0 0 0 93
Central Bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 0 0 0 75
Central bank FOREX interventions assessed using realized moments 0 0 0 0 1 2 2 9
Central bank FOREX interventions assessed using realized moments 0 0 0 3 1 1 1 42
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 156 0 0 0 475
Central bank intervention in the foreign exchange markets assessed using realized moments 0 0 0 4 0 1 2 54
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 0 0 1 31
Common intraday periodicity 0 0 1 51 0 1 3 217
Consistent ranking of multivariate volatility models 0 0 0 49 0 0 0 155
Do We Need High Frequency Data to Forecast Variances? 0 0 1 1 0 0 2 75
Do We Need Ultra-High Frequency Data to Forecast Variances? 0 0 1 35 0 1 2 121
Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan 0 0 0 0 0 0 0 21
Econometric modeling of exchange rate volatility and jumps 0 0 1 279 0 3 7 811
Estimating and forecasting ARCH models using G@RCH 6 0 0 0 0 1 2 12 312
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 2 882 0 3 7 2,040
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 26 0 1 1 56
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 3 0 0 0 31
Generating univariate fractional integration within a large VAR(1) 0 0 0 5 1 1 1 33
Have sequential interventions of Central Banks in foreign exchange been effective ? 0 0 0 0 0 0 0 20
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 0 0 0 91
Jumps et modèles de type GARCH (Chapitre 3) 0 0 0 0 0 0 0 1
Jumps, cojumps and macro announcements 0 0 0 145 0 2 2 467
Jumps, cojumps and macro announcements 0 0 0 16 0 0 0 77
La persistance des chocs de volatilité sur le marché des changes s'est-elle modifiée depuis le début des années quatre-vingts ? 0 0 0 0 0 0 1 25
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 64 0 0 0 140
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 34 0 1 1 70
Long memory through marginalization of large systems and hidden cross-section dependence 0 0 1 32 1 1 2 67
Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions 0 0 0 0 0 0 0 9
L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar 0 0 0 0 0 1 2 14
Market risk in commodity markets: a VaR approach 1 2 6 416 4 7 16 1,383
Market risk in commodity markets: a VaR approach 0 0 0 3 0 0 1 32
Minimal manipulability: anonymity and surjectivity 0 0 1 500 0 0 1 1,195
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 0 1 2 32
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 1 1 10 19
Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models 0 0 0 0 0 0 1 659
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 0 2 0 1 1 93
Modelling daily value-at-risk using realized volatility and arch type models 0 0 1 58 0 0 1 232
Multivariate GARCH models and their Estimation 0 0 0 0 0 0 5 528
Multivariate GARCH models: a survey 0 0 0 40 0 2 8 219
Multivariate GARCH models: a survey 0 0 1 475 0 0 3 1,138
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 1 5 0 0 1 26
Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis 0 0 0 0 2 2 2 61
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 0 147 1 1 2 530
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 0 72 1 1 2 220
On the Forecasting Accuracy of Multivariate GARCH Models 0 0 1 192 0 0 4 699
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 0 1 1 1 45
On the forecasting accuracy of multivariate GARCH models 0 0 0 114 0 1 15 271
On the univariate representation of BEKK models with common factors 0 1 1 79 1 2 3 186
On the univariate representation of multivariate volatility models with common factors 0 0 0 33 0 0 0 105
Outlyingness weighted covariation 0 0 1 1 1 1 2 20
Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse 0 0 0 572 0 0 0 1,619
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity 0 0 0 81 0 0 0 151
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 1 0 0 1 49
Quasi score-driven models 0 0 0 23 0 0 0 10
Risk Measure Inference 0 0 0 181 0 1 4 369
Risk Measure Inference 0 0 0 0 0 1 2 38
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates 0 1 1 210 0 2 3 398
Structural change and long memory in volatility: new evidence from daily exchange rates 0 0 0 0 1 1 2 57
Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach 0 0 0 26 0 0 0 125
Testing conditional asymmetry. A residual based approach 0 0 0 0 0 0 0 40
Testing conditional asymmetry: A residual-based approach 0 0 0 0 0 0 0 3
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach 0 0 0 0 1 1 1 35
The impact of Central Bank FX interventions on currency components 0 0 0 4 2 2 2 44
The impact of Central Bank FX interventions on currency components 0 0 0 0 1 1 2 110
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-dollar] 0 0 0 0 0 0 0 2
Trading activity, realized volatility and jumps 0 0 0 3 0 0 0 46
Treatment-effect estimation in high dimension: An inference-based approach 1 2 10 10 2 5 23 23
Unit Root Test with High-Frequency Data 0 0 0 0 0 0 0 8
Value-at-Risk for long and short trading positions 0 0 1 11 1 1 7 53
Value-at-risk for long and short trading positions 0 0 0 164 0 0 3 1,451
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 9 0 0 2 56
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 45 0 0 2 90
Volatility Models 0 0 0 0 0 1 2 44
Volatility Models 0 0 0 0 0 1 2 22
Volatility estimation and jump detection for drift–diffusion processes 0 0 0 0 0 0 1 13
Volatility forecasts evaluation and comparison 0 0 0 8 1 2 2 46
Volatility models 0 0 4 311 1 1 9 639
We modeled long memory with just one lag! 0 0 0 54 3 3 3 33
We modeled long memory with just one lag! 0 0 0 0 0 0 1 3
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 1 2 4
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 2 0 0 0 33
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 0 0 16
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 1 0 0 0 4
Weak diffusion limits of dynamic conditional correlation models 0 0 0 0 0 1 1 17
Weak diffusion limits of dynamic conditional correlation models 0 0 0 65 1 1 2 101
Which continuous-time model is most appropriate for exchange rates? 0 0 0 73 0 0 0 172
Which continuous-time model is most appropriate for exchange rates? 0 0 0 0 0 0 1 44
Total Working Papers 2 9 39 6,106 33 76 229 20,980

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 0 0 0 141 0 2 3 336
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 111 0 0 0 450
Analytical Derivates of the APARCH Model 0 0 3 255 2 2 5 708
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 2 16 1 3 7 105
Autoregressive conditional betas 0 1 4 4 2 3 10 11
Bridging the gap between Ox and Gauss using OxGauss 0 0 1 122 0 1 2 342
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 2 0 0 0 4
Capital humain, emploi et revenus du travail: Belgique, 1992 0 0 0 11 0 0 1 71
Capital humain, emploi et salaire en Belgique et dans ses régions 0 0 0 11 0 0 1 164
Central bank FOREX interventions assessed using realized moments 0 0 0 48 1 4 6 239
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 74 0 0 0 298
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 63 0 0 1 246
Common Intraday Periodicity 0 0 1 11 2 2 6 123
Do We Need High Frequency Data to Forecast Variances? 0 0 1 29 0 0 3 104
Do jumps mislead the FX market? 0 0 0 19 0 0 0 91
Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan 0 0 0 40 0 0 1 146
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 0 2 0 0 3 12
Generating univariate fractional integration within a large VAR(1) 0 0 0 15 0 0 1 70
Introduction 0 0 0 4 0 1 1 39
Jumps, cojumps and macro announcements 0 0 0 0 1 2 4 189
L'absentéisme dans une institution hospitalière: les facteurs déterminants 0 0 0 17 0 1 1 70
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 1 1 1 47
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 1 2 2 113
La persistance des chocs de volatilité sur le marché des changes s'est-elle modifée depuis le debut des annees 1980 ? 0 0 0 4 0 0 0 67
Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data 0 0 0 108 0 0 2 281
Market risk in commodity markets: a VaR approach 1 2 4 370 2 3 10 1,025
Modelling daily Value-at-Risk using realized volatility and ARCH type models 2 2 5 671 3 8 21 1,682
Multivariate GARCH models: a survey 0 0 8 16 2 7 36 93
Multivariate GARCH models: a survey 0 0 4 1,734 1 6 24 3,726
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 1 88 1 1 3 319
On loss functions and ranking forecasting performances of multivariate volatility models 0 1 2 104 0 1 6 372
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 10 0 0 0 60
On the forecasting accuracy of multivariate GARCH models 0 0 0 0 2 4 15 269
Outlyingness Weighted Covariation 0 0 0 7 0 0 0 44
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 11 0 0 0 73
Quasi score-driven models 0 0 1 3 2 3 4 14
Risk Measure Inference 0 0 0 6 2 2 2 45
Robust estimation of intraweek periodicity in volatility and jump detection 0 3 9 106 1 6 16 350
Robust forecasting of dynamic conditional correlation GARCH models 0 1 4 40 0 2 7 137
Testing conditional asymmetry: A residual-based approach 0 0 0 24 0 1 1 121
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach 0 1 1 23 1 3 3 83
The Impact of Central Bank FX Interventions on Currency Components 0 0 0 39 0 1 2 180
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility 0 0 1 11 1 3 6 49
Trading activity, realized volatility and jumps 1 1 4 89 1 1 5 291
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA 0 0 0 7 0 0 1 21
Value-at-risk for long and short trading positions 1 1 2 882 3 4 13 2,217
Volatility estimation and jump detection for drift–diffusion processes 0 0 0 9 1 2 6 53
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 2 0 1 1 23
We modeled long memory with just one lag! 0 1 2 4 0 1 6 11
Which continuous-time model is most appropriate for exchange rates? 0 0 0 8 2 2 3 125
Total Journal Articles 5 15 60 5,381 36 86 252 15,709

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Econometric modeling of exchange rate volatility and jumps 0 0 0 26 1 1 3 107
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 1 1 1 3 9 35
Total Chapters 0 0 1 27 2 4 12 142

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Statistics updated 2025-03-03