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 1 4 6 546
A New Class of Robust Observation-Driven Models 0 0 2 51 1 7 14 63
A new class of multivariate skew densities, with application to GARCH models 0 0 0 99 2 7 14 250
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 0 0 17 0 16 17 68
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 0 1 5 8 61
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 1 4 9 67
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 5 0 3 6 73
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 2 5 5
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 3 3 3
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 6 1 4 9 53
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 5 11 12
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 2 5 6
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 0 6 12 185
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 3 3
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 4 7 8
Autoregressive conditional betas 0 0 1 1 0 2 8 9
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 44 0 1 2 167
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 21 0 6 7 135
Central Bank forex interventions assessed using realized moments 0 0 0 17 1 29 35 158
Central Bank intervention and exchange rate volatility: its continuous and jump components 0 0 0 0 0 4 6 99
Central Bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 2 4 7 82
Central bank FOREX interventions assessed using realized moments 0 0 0 3 0 5 11 53
Central bank FOREX interventions assessed using realized moments 0 0 0 0 0 12 17 26
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 1 157 1 2 9 484
Central bank intervention in the foreign exchange markets assessed using realized moments 0 0 0 4 0 2 2 56
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 1 4 5 36
Common intraday periodicity 0 1 3 54 2 5 9 226
Consistent ranking of multivariate volatility models 0 0 0 49 0 1 3 158
Do We Need High Frequency Data to Forecast Variances? 0 0 0 1 0 17 19 94
Do We Need Ultra-High Frequency Data to Forecast Variances? 0 0 0 35 1 6 9 130
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 3 24
Econometric modeling of exchange rate volatility and jumps 0 0 1 280 0 4 12 823
Estimating and forecasting ARCH models using G@RCH 6 0 0 0 0 0 2 5 317
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 0 882 3 9 9 2,049
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 3 0 1 7 38
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 26 0 3 8 64
Generating univariate fractional integration within a large VAR(1) 0 0 0 5 1 3 5 38
Have sequential interventions of Central Banks in foreign exchange been effective ? 0 0 0 0 1 3 3 23
Interpretable Machine Learning Using Partial Linear Models* 0 0 0 0 0 5 5 6
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 0 2 2 93
Jumps et modèles de type GARCH (Chapitre 3) 0 0 0 0 0 0 2 3
Jumps, cojumps and macro announcements 0 0 0 145 3 16 28 495
Jumps, cojumps and macro announcements 0 0 0 16 1 7 8 85
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 5 17 42
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 34 0 4 7 77
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 64 2 4 7 147
Long memory through marginalization of large systems and hidden cross-section dependence 0 0 0 32 0 3 9 76
Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions 0 0 0 0 0 4 4 13
L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar 0 0 1 1 1 4 11 25
Market risk in commodity markets: a VaR approach 0 0 0 3 0 4 10 42
Market risk in commodity markets: a VaR approach 0 0 5 421 1 6 15 1,398
Minimal manipulability: anonymity and surjectivity 0 0 0 500 0 4 7 1,202
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 1 4 12 31
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 0 3 6 38
Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models 0 0 0 0 1 4 12 671
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 0 2 0 6 9 102
Modelling daily value-at-risk using realized volatility and arch type models 0 0 0 58 1 4 7 239
Multivariate GARCH models and their Estimation 0 0 0 0 1 3 4 532
Multivariate GARCH models: a survey 0 0 0 40 22 76 96 315
Multivariate GARCH models: a survey 0 0 0 475 0 11 21 1,159
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 0 5 2 9 11 37
Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis 0 0 0 0 0 2 3 64
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 0 72 0 7 14 234
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 0 147 3 8 15 545
On the Forecasting Accuracy of Multivariate GARCH Models 0 0 2 194 2 7 10 709
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 0 6 19 21 66
On the forecasting accuracy of multivariate GARCH models 0 0 0 114 2 3 5 276
On the univariate representation of BEKK models with common factors 0 0 0 79 0 2 6 192
On the univariate representation of multivariate volatility models with common factors 0 0 0 33 1 12 15 120
Outlyingness weighted covariation 0 0 0 1 0 9 11 31
Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse 0 0 0 572 0 8 9 1,628
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity 0 0 0 81 0 1 4 155
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 1 0 2 5 54
Quasi score-driven models 0 0 0 23 1 7 10 20
Risk Measure Inference 0 0 0 0 1 2 4 42
Risk Measure Inference 0 0 0 181 2 10 11 380
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps 0 0 0 2 0 1 5 18
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates 0 0 0 210 6 9 10 408
Structural change and long memory in volatility: new evidence from daily exchange rates 0 0 0 0 1 3 5 62
Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach 0 0 0 26 4 9 12 137
Testing conditional asymmetry. A residual based approach 0 0 0 0 5 11 15 55
Testing conditional asymmetry: A residual-based approach 0 0 0 0 0 4 7 10
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach 0 0 0 0 0 11 15 50
The impact of Central Bank FX interventions on currency components 0 0 0 0 1 8 12 122
The impact of Central Bank FX interventions on currency components 0 0 0 4 2 10 11 55
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 1 1 3
Trading activity, realized volatility and jumps 0 0 0 3 2 4 5 51
Treatment-effect estimation in high dimension: An inference-based approach 1 2 5 15 2 7 18 41
Unit Root Test with High-Frequency Data 0 0 0 0 3 4 6 14
Value-at-Risk for long and short trading positions 0 0 0 11 0 4 9 62
Value-at-risk for long and short trading positions 0 0 0 164 1 5 10 1,461
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 9 0 8 12 68
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 45 3 14 17 107
Volatility Models 0 0 0 0 1 8 10 32
Volatility Models 0 0 0 0 3 9 13 57
Volatility estimation and jump detection for drift–diffusion processes 0 0 0 0 0 0 3 16
Volatility forecasts evaluation and comparison 0 0 0 8 0 5 6 52
Volatility models 0 0 2 313 2 6 23 662
We modeled long memory with just one lag! 0 0 1 55 0 3 7 40
We modeled long memory with just one lag! 0 0 0 0 0 2 2 5
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 1 0 1 4 8
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 2 2 6
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 2 1 4 7 40
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 1 3 19
Weak diffusion limits of dynamic conditional correlation models 0 0 0 0 5 10 11 28
Weak diffusion limits of dynamic conditional correlation models 0 0 0 65 2 6 11 112
Which continuous-time model is most appropriate for exchange rates? 0 0 0 73 1 4 9 181
Which continuous-time model is most appropriate for exchange rates? 0 0 0 0 0 2 5 49
Total Working Papers 1 3 26 6,134 120 660 1,069 22,067

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 1 3 144 2 6 16 352
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 111 1 7 8 458
Analytical Derivates of the APARCH Model 1 2 2 257 3 11 17 725
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 1 17 0 10 17 122
Autoregressive conditional betas 0 0 4 8 2 10 23 34
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 2 1 4 6 10
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 122 1 3 6 348
Capital humain, emploi et revenus du travail: Belgique, 1992 0 0 0 11 1 9 11 82
Capital humain, emploi et salaire en Belgique et dans ses régions 0 0 0 11 0 1 4 168
Central bank FOREX interventions assessed using realized moments 0 0 0 48 1 24 35 274
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 74 2 10 11 309
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 63 1 7 9 255
Common Intraday Periodicity 0 0 0 11 0 7 12 135
Do We Need High Frequency Data to Forecast Variances? 0 0 0 29 2 4 7 111
Do jumps mislead the FX market? 0 0 0 19 1 1 9 100
Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan 0 0 0 40 1 6 8 154
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 0 2 1 3 7 19
Generating univariate fractional integration within a large VAR(1) 0 0 0 15 0 1 3 73
Interpretable Machine Learning Using Partial Linear Models 0 1 3 6 2 8 14 22
Introduction 0 0 0 4 0 3 6 45
Jumps, cojumps and macro announcements 0 0 0 0 2 8 19 208
L'absentéisme dans une institution hospitalière: les facteurs déterminants 0 0 1 18 0 0 3 73
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 0 0 1 114
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 0 3 3 50
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 1 4 4 71
Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data 0 0 0 108 0 6 9 290
Market risk in commodity markets: a VaR approach 0 0 4 374 1 5 20 1,045
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 3 674 0 8 21 1,703
Multivariate GARCH models: a survey 0 0 9 25 0 10 49 142
Multivariate GARCH models: a survey 0 1 5 1,739 3 45 69 3,795
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 1 89 1 4 6 325
On loss functions and ranking forecasting performances of multivariate volatility models 0 0 0 104 0 5 13 385
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 10 0 2 4 64
On the forecasting accuracy of multivariate GARCH models 0 0 0 0 0 19 33 302
Outlyingness Weighted Covariation 0 0 0 7 1 9 15 59
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 11 1 2 5 78
Quasi score-driven models 0 1 3 6 0 8 13 27
Risk Measure Inference 0 0 0 6 1 3 7 52
Robust estimation of intraweek periodicity in volatility and jump detection 0 1 9 115 0 7 25 375
Robust forecasting of dynamic conditional correlation GARCH models 0 0 3 43 1 8 15 152
Testing conditional asymmetry: A residual-based approach 0 1 1 25 0 5 8 129
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach 0 0 2 25 0 6 16 99
The Impact of Central Bank FX Interventions on Currency Components 0 0 0 39 3 11 14 194
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility 0 0 0 11 0 6 10 59
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 0 2 7 7
Trading activity, realized volatility and jumps 0 0 2 91 3 10 16 307
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA 0 0 0 7 1 4 7 28
Value-at-risk for long and short trading positions 1 4 5 887 2 12 22 2,239
Volatility estimation and jump detection for drift–diffusion processes 0 0 1 10 1 30 34 87
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 2 0 4 6 29
We modeled long memory with just one lag! 0 0 0 4 1 7 11 22
Which continuous-time model is most appropriate for exchange rates? 0 0 0 8 2 4 6 131
Total Journal Articles 2 13 62 5,446 47 392 720 16,437

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 8 12 119
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 1 2 4 10 45
Total Chapters 0 0 0 27 3 12 22 164

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Statistics updated 2026-03-04