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 0 4 7 527
A new class of multivariate skew densities, with application to GARCH models 0 0 0 96 1 2 6 228
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 0 2 14 0 3 14 40
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 0 2 4 7 50
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 1 3 4 11 23
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 1 2 4 14 30
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 4 4 5 17 25
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 12 65 3 5 30 125
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 43 1 3 11 161
Central Bank forex interventions assessed using realized moments 0 0 0 17 0 0 8 114
Central Bank intervention and exchange rate volatility: its continuous and jump components 0 0 0 0 0 1 5 87
Central Bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 1 1 6 61
Central bank FOREX interventions assessed using realized moments 0 0 0 3 0 4 14 36
Central bank intervention and exchange rate volatility, its continuous and jump components 1 1 3 156 1 3 10 464
Central bank intervention in the foreign exchange markets assessed using realized moments 0 0 0 4 0 1 7 50
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 1 4 9 20
Common intraday periodicity 0 0 0 50 1 2 11 182
Consistent ranking of multivariate volatility models 1 1 1 49 3 5 16 152
Do We Need High Frequency Data to Forecast Variances? 0 0 0 0 2 2 8 48
Do We Need Ultra-High Frequency Data to Forecast Variances? 0 0 2 31 2 5 21 76
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 3 9 18
Econometric modeling of exchange rate volatility and jumps 0 0 2 275 2 4 18 732
Estimating and forecasting ARCH models using G@RCH 6 0 0 0 0 4 9 45 205
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models 0 1 10 865 0 5 41 1,966
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 3 1 2 12 24
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 2 26 1 3 17 44
Generating univariate fractional integration within a large VAR(1) 0 0 1 4 2 3 16 27
Have sequential interventions of Central Banks in foreign exchange been effective ? 0 0 0 0 0 0 1 18
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 1 1 11 87
Jumps, cojumps and macro announcements 0 1 3 13 0 4 15 62
Jumps, cojumps and macro announcements 0 0 0 145 0 1 7 451
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 1 2 24
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 3 63 0 3 29 131
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 34 1 1 3 59
Long memory through marginalization of large systems and hidden cross-section dependence 0 0 0 30 1 2 7 54
Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions 0 0 0 0 0 1 2 3
L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar 0 0 0 0 0 0 2 9
Market risk in commodity markets: a VaR approach 0 0 0 2 0 1 6 22
Market risk in commodity markets: a VaR approach 1 2 12 398 4 12 62 1,318
Minimal manipulability: anonymity and surjectivity 0 0 0 498 0 2 6 1,191
Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models 0 0 0 0 0 3 11 638
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 0 2 0 2 21 59
Multivariate GARCH models and their Estimation 0 0 0 0 1 3 15 508
Multivariate GARCH models: a survey 1 2 6 461 3 12 39 1,061
Multivariate GARCH models: a survey 1 3 5 25 2 13 42 150
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 1 1 2 0 2 6 18
Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis 0 0 0 0 0 0 6 52
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 2 70 0 4 12 198
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 0 145 0 1 8 460
On the Forecasting Accuracy of Multivariate GARCH Models 1 1 2 187 2 5 19 665
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 0 1 1 8 36
On the forecasting accuracy of multivariate GARCH models 0 1 6 104 0 3 25 215
On the univariate representation of BEKK models with common factors 0 0 0 76 1 1 2 173
On the univariate representation of multivariate volatility models with common factors 0 0 0 33 0 0 4 102
Outlyingness weighted covariation 0 0 0 0 0 1 4 12
Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse 0 0 2 572 2 5 17 1,603
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity 0 0 0 81 0 3 8 120
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 0 1 3 7 39
Risk Measure Inference 0 1 3 178 2 4 12 341
Risk Measure Inference 0 0 0 0 0 1 8 26
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates 0 0 1 207 1 3 8 385
Structural change and long memory in volatility: new evidence from daily exchange rates 0 0 0 0 0 0 3 52
Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach 0 0 0 26 0 0 2 123
Testing conditional asymmetry. A residual based approach 0 0 0 0 0 0 1 37
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach 0 0 0 0 0 0 8 23
The impact of Central Bank FX interventions on currency components 0 0 0 4 1 4 9 26
The impact of Central Bank FX interventions on currency components 0 0 0 0 0 5 15 84
Trading activity, realized volatility and jumps 0 0 0 1 1 2 5 28
Value-at-Risk for long and short trading positions 0 1 3 8 0 6 12 31
Value-at-risk for long and short trading positions 0 0 4 160 0 4 38 1,415
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 1 3 7 1 2 15 38
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 6 39 1 4 30 71
Volatility forecasts evaluation and comparison 0 0 0 6 0 0 4 30
Volatility models 0 0 9 300 6 9 39 598
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 1 6 14
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 2 0 2 4 32
Weak diffusion limits of dynamic conditional correlation models 0 0 0 64 0 4 9 85
Which continuous-time model is most appropriate for exchange rates? 0 0 0 0 0 1 3 19
Which continuous-time model is most appropriate for exchange rates? 0 0 1 72 1 1 5 144
Total Working Papers 6 18 108 5,722 71 235 1,033 18,655


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 1 2 10 132 1 3 19 301
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 111 1 3 10 446
Analytical Derivates of the APARCH Model 0 0 0 246 0 1 7 685
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 2 6 2 3 20 63
Bridging the gap between Ox and Gauss using OxGauss 0 0 1 119 1 1 4 333
Capital humain, emploi et revenus du travail: Belgique, 1992 0 0 0 9 1 2 6 63
Capital humain, emploi et salaire en Belgique et dans ses régions 0 0 0 10 1 2 6 157
Central bank FOREX interventions assessed using realized moments 0 0 0 47 0 1 9 224
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 73 0 1 3 289
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 1 60 1 2 7 229
Common Intraday Periodicity 0 0 1 10 0 0 13 58
Do We Need High Frequency Data to Forecast Variances? 0 0 4 23 0 2 17 69
Do jumps mislead the FX market? 0 0 0 16 2 3 6 79
Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan 0 0 0 39 1 2 4 138
Generating univariate fractional integration within a large VAR(1) 0 0 1 13 1 3 13 53
Introduction 0 0 0 3 0 1 8 33
Jumps, cojumps and macro announcements 0 0 0 0 0 2 10 163
L'absentéisme dans une institution hospitalière: les facteurs déterminants 0 1 2 15 1 2 5 58
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 4 1 1 2 101
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 4 0 1 3 43
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 2 65
Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data 0 0 3 105 0 0 11 266
Market risk in commodity markets: a VaR approach 0 1 3 356 2 4 18 965
Modelling daily Value-at-Risk using realized volatility and ARCH type models 3 7 16 629 3 11 44 1,548
Multivariate GARCH models: a survey 2 12 42 1,686 11 37 143 3,470
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 1 85 2 3 10 304
On loss functions and ranking forecasting performances of multivariate volatility models 0 0 4 87 1 4 23 301
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 10 1 1 7 52
On the forecasting accuracy of multivariate GARCH models 0 0 0 0 3 4 31 177
Outlyingness Weighted Covariation 0 0 0 6 0 0 0 35
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 1 7 0 1 11 58
Risk Measure Inference 0 0 3 6 0 3 9 30
Robust estimation of intraweek periodicity in volatility and jump detection 0 1 5 71 1 4 16 254
Robust forecasting of dynamic conditional correlation GARCH models 0 0 3 29 1 1 7 102
Testing conditional asymmetry: A residual-based approach 0 0 0 24 0 0 4 117
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach 0 0 6 16 1 3 21 58
The Impact of Central Bank FX Interventions on Currency Components 0 0 1 39 1 2 9 173
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility 0 0 5 6 0 0 7 24
Trading activity, realized volatility and jumps 1 2 5 72 3 11 29 229
Value-at-risk for long and short trading positions 0 0 3 869 0 2 20 2,145
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 2 0 0 5 18
Which continuous-time model is most appropriate for exchange rates? 0 1 1 8 4 10 24 78
Total Journal Articles 7 27 124 5,057 48 137 623 14,054


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 1 24 1 6 21 78
Total Chapters 0 0 1 24 1 6 21 78


Statistics updated 2020-11-03