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 3 4 9 549
A New Class of Robust Observation-Driven Models 0 0 2 51 2 3 15 65
A new class of multivariate skew densities, with application to GARCH models 0 0 0 99 2 4 16 252
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 0 0 17 1 1 18 69
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 0 5 7 13 67
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 5 2 2 7 75
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 2 3 9 69
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 2 2 13 187
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 2 2 13 14
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 2 2 6 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 3 3 5 6
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 3 4 7 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 1 6 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 2 8 9
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 3 4 11 56
Autoregressive conditional betas 0 0 1 1 3 3 10 12
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 21 0 0 7 135
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 44 2 2 4 169
Central Bank forex interventions assessed using realized moments 0 0 0 17 5 7 41 164
Central Bank intervention and exchange rate volatility: its continuous and jump components 0 0 0 0 3 4 10 103
Central Bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 1 4 9 84
Central bank FOREX interventions assessed using realized moments 0 0 0 3 3 5 16 58
Central bank FOREX interventions assessed using realized moments 0 0 0 0 2 2 19 28
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 1 157 3 4 12 487
Central bank intervention in the foreign exchange markets assessed using realized moments 0 0 0 4 1 2 4 58
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 3 4 8 39
Common intraday periodicity 0 0 3 54 3 5 12 229
Consistent ranking of multivariate volatility models 0 0 0 49 3 4 7 162
Do We Need High Frequency Data to Forecast Variances? 0 0 0 1 3 5 24 99
Do We Need Ultra-High Frequency Data to Forecast Variances? 0 0 0 35 5 8 16 137
Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan 0 0 0 0 2 2 5 26
Econometric modeling of exchange rate volatility and jumps 0 0 1 280 4 5 16 828
Estimating and forecasting ARCH models using G@RCH 6 0 0 0 0 1 1 5 318
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 0 882 1 4 10 2,050
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 26 3 4 11 68
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 3 1 1 8 39
Generating univariate fractional integration within a large VAR(1) 0 0 0 5 0 1 5 38
Have sequential interventions of Central Banks in foreign exchange been effective ? 0 0 0 0 1 2 4 24
Interpretable Machine Learning Using Partial Linear Models* 0 1 1 1 3 6 11 12
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 0 0 2 93
Jumps et modèles de type GARCH (Chapitre 3) 0 0 0 0 4 4 6 7
Jumps, cojumps and macro announcements 0 0 0 16 1 2 9 86
Jumps, cojumps and macro announcements 0 0 0 145 2 6 31 498
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 1 1 18 43
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 34 2 3 10 80
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 64 1 4 9 149
Long memory through marginalization of large systems and hidden cross-section dependence 0 0 0 32 2 2 11 78
Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions 0 0 0 0 0 0 4 13
L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar 0 0 0 1 2 3 12 27
Market risk in commodity markets: a VaR approach 0 0 3 421 2 3 14 1,400
Market risk in commodity markets: a VaR approach 0 0 0 3 1 2 11 44
Minimal manipulability: anonymity and surjectivity 0 0 0 500 0 0 7 1,202
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 2 2 8 40
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 2 5 14 35
Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models 0 0 0 0 1 3 10 673
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 0 2 2 2 11 104
Modelling daily value-at-risk using realized volatility and arch type models 0 0 0 58 4 5 11 243
Multivariate GARCH models and their Estimation 0 0 0 0 0 1 4 532
Multivariate GARCH models: a survey 0 0 0 40 3 34 106 327
Multivariate GARCH models: a survey 0 0 0 475 5 7 28 1,166
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 0 5 0 4 13 39
Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis 0 0 0 0 0 1 4 65
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 0 72 3 6 20 240
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 1 1 1 148 4 9 21 551
On the Forecasting Accuracy of Multivariate GARCH Models 0 0 1 194 4 7 14 714
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 0 0 8 23 68
On the forecasting accuracy of multivariate GARCH models 0 0 0 114 2 4 7 278
On the univariate representation of BEKK models with common factors 0 0 0 79 0 1 7 193
On the univariate representation of multivariate volatility models with common factors 0 0 0 33 0 1 15 120
Outlyingness weighted covariation 0 0 0 1 2 2 13 33
Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse 0 0 0 572 0 0 9 1,628
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity 0 0 0 81 0 0 4 155
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 1 1 1 6 55
Quasi score-driven models 0 0 0 23 0 1 10 20
Risk Measure Inference 0 0 0 181 5 7 16 385
Risk Measure Inference 0 0 0 0 0 1 3 42
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps 0 0 0 2 2 5 9 23
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates 0 0 0 210 3 10 14 412
Structural change and long memory in volatility: new evidence from daily exchange rates 0 0 0 0 5 7 10 68
Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach 0 0 0 26 0 4 12 137
Testing conditional asymmetry. A residual based approach 0 0 0 0 3 10 19 60
Testing conditional asymmetry: A residual-based approach 0 0 0 0 1 2 8 12
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach 0 0 0 0 2 3 16 53
The impact of Central Bank FX interventions on currency components 0 0 0 0 5 6 16 127
The impact of Central Bank FX interventions on currency components 0 0 0 4 4 7 16 60
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 1 2 3 5
Trading activity, realized volatility and jumps 0 0 0 3 3 5 8 54
Treatment-effect estimation in high dimension: An inference-based approach 1 4 7 18 4 8 20 47
Unit Root Test with High-Frequency Data 0 0 0 0 1 4 7 15
Value-at-Risk for long and short trading positions 0 0 0 11 1 2 11 64
Value-at-risk for long and short trading positions 0 0 0 164 2 4 13 1,464
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 9 2 3 15 71
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 45 2 5 19 109
Volatility Models 0 0 0 0 4 8 17 62
Volatility Models 0 0 0 0 3 5 14 36
Volatility estimation and jump detection for drift–diffusion processes 0 0 0 0 2 2 5 18
Volatility forecasts evaluation and comparison 0 0 0 8 1 1 7 53
Volatility models 0 0 2 313 2 4 25 664
We modeled long memory with just one lag! 0 0 1 55 1 2 9 42
We modeled long memory with just one lag! 0 0 0 0 0 1 3 6
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 1 4 4 8 12
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 2 3 6 12 45
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 1 1 3 7
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 4 4 7 23
Weak diffusion limits of dynamic conditional correlation models 0 0 0 65 1 4 13 114
Weak diffusion limits of dynamic conditional correlation models 0 0 0 0 1 8 14 31
Which continuous-time model is most appropriate for exchange rates? 0 0 0 0 1 2 7 51
Which continuous-time model is most appropriate for exchange rates? 0 0 0 73 2 3 11 183
Total Working Papers 2 6 26 6,139 219 413 1,322 22,360

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 3 144 0 2 15 352
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 111 3 4 11 461
Analytical Derivates of the APARCH Model 0 1 2 257 2 6 20 728
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 17 2 2 16 124
Autoregressive conditional betas 0 0 4 8 3 7 27 39
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 122 2 3 8 350
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 2 3 4 9 13
Capital humain, emploi et revenus du travail: Belgique, 1992 0 0 0 11 3 4 14 85
Capital humain, emploi et salaire en Belgique et dans ses régions 0 0 0 11 0 0 4 168
Central bank FOREX interventions assessed using realized moments 0 0 0 48 5 6 40 279
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 74 3 5 13 312
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 63 1 3 11 257
Common Intraday Periodicity 0 0 0 11 6 6 17 141
Do We Need High Frequency Data to Forecast Variances? 0 0 0 29 1 3 7 112
Do jumps mislead the FX market? 0 0 0 19 2 4 12 103
Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan 0 0 0 40 2 4 10 157
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models 0 1 1 3 0 2 8 20
Generating univariate fractional integration within a large VAR(1) 0 0 0 15 1 1 4 74
Interpretable Machine Learning Using Partial Linear Models 0 0 3 6 6 9 21 29
Introduction 0 0 0 4 1 1 7 46
Jumps, cojumps and macro announcements 0 0 0 0 3 5 22 211
L'absentéisme dans une institution hospitalière: les facteurs déterminants 0 0 1 18 1 1 3 74
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 1 1 4 51
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 6 6 7 120
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 2 3 6 73
Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data 0 0 0 108 1 1 9 291
Market risk in commodity markets: a VaR approach 0 0 2 374 3 6 18 1,050
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 1 3 675 3 5 21 1,708
Multivariate GARCH models: a survey 1 1 8 26 4 7 50 149
Multivariate GARCH models: a survey 0 0 5 1,739 7 12 77 3,804
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 1 89 2 4 9 328
On loss functions and ranking forecasting performances of multivariate volatility models 0 0 0 104 2 4 16 389
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 10 3 4 8 68
On the forecasting accuracy of multivariate GARCH models 0 0 0 0 5 8 39 310
Outlyingness Weighted Covariation 0 0 0 7 3 5 19 63
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 11 7 8 12 85
Quasi score-driven models 0 0 3 6 2 2 15 29
Risk Measure Inference 0 0 0 6 3 4 10 55
Robust estimation of intraweek periodicity in volatility and jump detection 1 2 7 117 7 9 29 384
Robust forecasting of dynamic conditional correlation GARCH models 0 1 4 44 5 10 24 161
Testing conditional asymmetry: A residual-based approach 0 0 1 25 1 1 8 130
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach 0 0 2 25 4 4 16 103
The Impact of Central Bank FX Interventions on Currency Components 0 0 0 39 0 7 18 198
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility 0 0 0 11 3 4 13 63
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 7 7 14 14
Trading activity, realized volatility and jumps 0 0 2 91 2 6 19 310
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA 0 0 0 7 0 3 8 30
Value-at-risk for long and short trading positions 0 1 5 887 0 3 22 2,240
Volatility estimation and jump detection for drift–diffusion processes 0 0 1 10 5 9 42 95
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 2 2 2 8 31
We modeled long memory with just one lag! 0 0 0 4 2 3 12 24
Which continuous-time model is most appropriate for exchange rates? 0 0 0 8 0 2 6 131
Total Journal Articles 2 8 59 5,452 142 232 858 16,622

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 4 5 16 123
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 1 1 5 12 48
Total Chapters 0 0 0 27 5 10 28 171

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Statistics updated 2026-05-06