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 0 3 534
A New Class of Robust Observation-Driven Models 0 0 4 45 0 1 8 40
A new class of multivariate skew densities, with application to GARCH models 0 0 2 98 0 1 3 232
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 0 0 16 0 0 1 47
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 0 0 0 0 52
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 3 0 3 11 63
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 1 3 0 2 8 49
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 4 0 1 5 41
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 3 68 1 1 13 161
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 20 1 1 3 124
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 43 0 0 1 162
Central Bank forex interventions assessed using realized moments 0 0 0 17 0 0 0 119
Central Bank intervention and exchange rate volatility: its continuous and jump components 0 0 0 0 0 0 1 91
Central Bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 0 0 4 74
Central bank FOREX interventions assessed using realized moments 0 0 0 0 0 0 1 7
Central bank FOREX interventions assessed using realized moments 0 0 0 3 0 0 0 40
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 156 0 0 2 474
Central bank intervention in the foreign exchange markets assessed using realized moments 0 0 0 4 0 0 0 51
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 1 2 3 29
Common intraday periodicity 0 0 0 50 0 0 4 197
Consistent ranking of multivariate volatility models 0 0 0 49 0 0 2 155
Do We Need High Frequency Data to Forecast Variances? 0 0 0 0 0 0 9 71
Do We Need Ultra-High Frequency Data to Forecast Variances? 0 0 2 33 0 4 19 113
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 1 278 0 4 24 780
Estimating and forecasting ARCH models using G@RCH 6 0 0 0 0 4 7 30 275
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models 1 1 4 874 1 1 16 2,007
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 26 0 0 4 53
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 3 0 0 0 27
Generating univariate fractional integration within a large VAR(1) 0 0 0 5 0 0 0 30
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 89
Jumps et modèles de type GARCH (Chapitre 3) 0 0 0 0 0 0 1 1
Jumps, cojumps and macro announcements 1 1 1 14 1 1 2 73
Jumps, cojumps and macro announcements 0 0 0 145 0 1 4 462
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 0 24
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 34 0 0 2 67
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 63 0 0 2 137
Long memory through marginalization of large systems and hidden cross-section dependence 0 0 0 30 0 0 0 60
Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions 0 0 0 0 0 0 2 8
L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar 0 0 0 0 0 0 0 10
Market risk in commodity markets: a VaR approach 0 0 1 3 0 0 1 29
Market risk in commodity markets: a VaR approach 0 0 2 406 0 0 4 1,358
Minimal manipulability: anonymity and surjectivity 0 0 0 498 0 0 0 1,192
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 1 1 3 3
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 1 3 7 27
Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models 0 0 0 0 0 0 3 656
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 0 2 0 6 10 80
Modelling daily value-at-risk using realized volatility and arch type models 0 0 0 56 0 0 2 223
Multivariate GARCH models and their Estimation 0 0 0 0 0 1 6 518
Multivariate GARCH models: a survey 0 0 4 470 0 2 16 1,120
Multivariate GARCH models: a survey 0 1 5 39 0 3 11 199
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 0 2 0 0 0 23
Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis 0 0 0 0 0 0 2 58
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 0 71 0 0 3 215
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 1 1 147 0 9 28 499
On the Forecasting Accuracy of Multivariate GARCH Models 0 0 3 190 0 1 8 691
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 0 0 0 1 42
On the forecasting accuracy of multivariate GARCH models 0 2 3 112 0 5 13 243
On the univariate representation of BEKK models with common factors 0 0 1 77 0 0 2 181
On the univariate representation of multivariate volatility models with common factors 0 0 0 33 0 0 0 104
Outlyingness weighted covariation 0 0 0 0 0 0 1 15
Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse 0 0 0 572 0 0 6 1,618
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity 0 0 0 81 0 0 8 150
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 1 1 0 0 4 47
Risk Measure Inference 0 0 0 0 0 0 3 35
Risk Measure Inference 0 0 1 180 0 0 4 361
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates 1 1 1 209 1 1 1 392
Structural change and long memory in volatility: new evidence from daily exchange rates 0 0 0 0 0 0 0 55
Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach 0 0 0 26 0 0 1 125
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 0 0 4 30
The impact of Central Bank FX interventions on currency components 0 0 0 0 0 1 6 104
The impact of Central Bank FX interventions on currency components 0 0 0 4 0 1 3 41
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 1 2 0 0 7 45
Unit Root Test with High-Frequency Data 0 0 0 0 0 0 3 3
Value-at-Risk for long and short trading positions 0 0 0 9 0 0 1 39
Value-at-risk for long and short trading positions 0 0 1 162 0 1 10 1,441
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 9 0 1 6 53
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 1 2 44 0 1 4 85
Volatility Models 0 0 0 0 0 0 2 18
Volatility Models 0 0 0 0 1 2 13 30
Volatility estimation and jump detection for drift–diffusion processes 0 0 0 0 0 1 3 12
Volatility forecasts evaluation and comparison 0 0 0 6 1 1 3 40
Volatility models 0 0 2 305 0 0 8 625
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 0 0 2
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 1 1 0 0 1 4
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 0 1 16
Weak diffusion limits of dynamic conditional correlation models 0 0 0 65 0 0 3 98
Weak diffusion limits of dynamic conditional correlation models 0 0 0 0 0 0 0 16
Which continuous-time model is most appropriate for exchange rates? 0 0 0 73 0 0 6 164
Which continuous-time model is most appropriate for exchange rates? 0 0 0 0 1 3 8 37
Total Working Papers 3 8 48 5,941 15 74 428 20,310


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 1 138 0 1 8 321
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 111 0 0 1 450
Analytical Derivates of the APARCH Model 0 1 3 249 0 1 3 691
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 3 10 0 1 12 90
Bridging the gap between Ox and Gauss using OxGauss 0 0 1 1 0 0 2 2
Bridging the gap between Ox and Gauss using OxGauss 0 0 1 121 0 0 3 339
Capital humain, emploi et revenus du travail: Belgique, 1992 0 0 0 10 0 0 2 68
Capital humain, emploi et salaire en Belgique et dans ses régions 0 1 1 11 0 1 3 163
Central bank FOREX interventions assessed using realized moments 0 1 1 48 1 2 4 230
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 74 0 0 2 296
Central bank interventions and jumps in double long memory models of daily exchange rates 0 1 2 63 1 3 6 244
Common Intraday Periodicity 0 0 0 10 0 6 22 93
Do We Need High Frequency Data to Forecast Variances? 0 1 2 27 1 4 8 92
Do jumps mislead the FX market? 0 0 1 18 1 1 4 89
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 1 1 145
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 1 1 0 0 2 6
Generating univariate fractional integration within a large VAR(1) 0 0 0 14 0 1 5 66
Introduction 0 0 1 4 0 0 1 38
Jumps, cojumps and macro announcements 0 0 0 0 1 1 4 176
L'absentéisme dans une institution hospitalière: les facteurs déterminants 0 0 0 16 0 0 1 62
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 1 5 0 0 1 46
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 4 1 1 1 107
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 1 106 0 1 8 277
Market risk in commodity markets: a VaR approach 0 0 2 360 0 0 11 995
Modelling daily Value-at-Risk using realized volatility and ARCH type models 2 7 12 649 5 19 39 1,616
Multivariate GARCH models: a survey 0 2 15 1,724 3 10 77 3,664
Multivariate GARCH models: a survey 0 0 3 4 3 8 21 36
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 0 86 0 0 0 310
On loss functions and ranking forecasting performances of multivariate volatility models 0 0 6 99 0 2 15 343
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 10 0 0 1 57
On the forecasting accuracy of multivariate GARCH models 0 0 0 0 2 9 24 225
Outlyingness Weighted Covariation 0 0 1 7 0 0 3 42
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 1 11 1 1 5 70
Risk Measure Inference 0 0 0 6 0 0 2 40
Robust estimation of intraweek periodicity in volatility and jump detection 0 2 8 89 0 3 21 303
Robust forecasting of dynamic conditional correlation GARCH models 0 0 2 33 0 1 5 116
Testing conditional asymmetry: A residual-based approach 0 0 0 24 0 0 0 120
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach 0 1 2 20 0 1 3 71
The Impact of Central Bank FX Interventions on Currency Components 0 0 0 39 0 0 0 177
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility 0 0 1 10 1 1 5 40
Trading activity, realized volatility and jumps 0 0 2 83 0 2 18 277
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA 0 0 3 3 0 0 8 8
Value-at-risk for long and short trading positions 0 0 0 873 0 2 15 2,182
Volatility estimation and jump detection for drift–diffusion processes 0 1 2 7 0 1 11 40
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 2 0 0 0 22
Which continuous-time model is most appropriate for exchange rates? 0 0 0 8 0 1 6 116
Total Journal Articles 2 18 80 5,232 22 86 394 15,028


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 25 0 1 5 95
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 2 3 6 23
Total Chapters 0 0 0 25 2 4 11 118


Statistics updated 2022-11-05