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 3 8 526
A new class of multivariate skew densities, with application to GARCH models 0 0 0 96 0 1 7 226
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 0 3 14 1 4 15 38
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 0 2 3 7 48
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 1 1 4 14 20
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 1 2 5 18 28
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 4 12 64 1 6 36 121
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 1 2 4 1 3 17 21
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 43 1 2 13 159
Central Bank forex interventions assessed using realized moments 0 0 0 17 0 2 11 114
Central Bank intervention and exchange rate volatility: its continuous and jump components 0 0 0 0 0 1 9 86
Central Bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 0 1 5 60
Central bank FOREX interventions assessed using realized moments 0 0 0 3 2 3 12 34
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 2 155 1 2 12 462
Central bank intervention in the foreign exchange markets assessed using realized moments 0 0 0 4 0 1 8 49
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 3 4 10 19
Common intraday periodicity 0 0 1 50 1 4 12 181
Consistent ranking of multivariate volatility models 0 0 0 48 2 3 18 149
Do We Need High Frequency Data to Forecast Variances? 0 0 0 0 0 1 8 46
Do We Need Ultra-High Frequency Data to Forecast Variances? 0 0 3 31 1 4 21 72
Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan 0 0 0 0 3 3 10 18
Econometric modeling of exchange rate volatility and jumps 0 1 2 275 1 5 20 729
Estimating and forecasting ARCH models using G@RCH 6 0 0 0 0 2 8 52 198
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models 1 2 13 865 3 9 50 1,964
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 2 26 1 4 19 42
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 3 1 4 13 23
Generating univariate fractional integration within a large VAR(1) 0 0 1 4 1 3 17 25
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 0 1 13 86
Jumps, cojumps and macro announcements 0 0 0 145 0 1 8 450
Jumps, cojumps and macro announcements 1 1 4 13 2 3 16 60
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 2 24
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 3 63 2 7 35 130
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 34 0 1 3 58
Long memory through marginalization of large systems and hidden cross-section dependence 0 0 0 30 1 2 6 53
Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions 0 0 0 0 1 1 3 3
L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar 0 0 0 0 0 0 4 9
Market risk in commodity markets: a VaR approach 1 5 15 397 6 21 69 1,312
Market risk in commodity markets: a VaR approach 0 0 0 2 0 2 7 21
Minimal manipulability: anonymity and surjectivity 0 0 0 498 2 2 6 1,191
Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models 0 0 0 0 2 5 15 637
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 0 2 2 7 24 59
Multivariate GARCH models and their Estimation 0 0 0 0 1 4 18 506
Multivariate GARCH models: a survey 0 0 4 459 7 11 40 1,056
Multivariate GARCH models: a survey 1 2 4 23 6 11 44 143
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 1 1 1 2 2 3 6 18
Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis 0 0 0 0 0 1 6 52
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 0 145 1 3 11 460
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 2 70 3 4 15 197
On the Forecasting Accuracy of Multivariate GARCH Models 0 0 2 186 3 4 21 663
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 0 0 0 11 35
On the forecasting accuracy of multivariate GARCH models 0 2 6 103 2 8 30 214
On the univariate representation of BEKK models with common factors 0 0 0 76 0 0 5 172
On the univariate representation of multivariate volatility models with common factors 0 0 0 33 0 1 7 102
Outlyingness weighted covariation 0 0 0 0 1 2 4 12
Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse 0 1 2 572 3 7 17 1,601
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity 0 0 1 81 1 3 8 118
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 0 0 1 9 36
Risk Measure Inference 0 0 0 0 0 0 11 25
Risk Measure Inference 1 1 5 178 2 3 18 339
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates 0 0 1 207 2 2 8 384
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 5 37
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach 0 0 0 0 0 0 10 23
The impact of Central Bank FX interventions on currency components 0 0 0 4 1 4 6 23
The impact of Central Bank FX interventions on currency components 0 0 0 0 1 6 13 80
Trading activity, realized volatility and jumps 0 0 0 1 0 0 8 26
Value-at-Risk for long and short trading positions 0 0 3 7 3 3 11 28
Value-at-risk for long and short trading positions 0 0 4 160 3 16 42 1,414
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 2 6 0 2 22 36
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 1 7 39 2 6 41 69
Volatility forecasts evaluation and comparison 0 0 0 6 0 0 8 30
Volatility models 0 3 11 300 2 10 39 591
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 2 2 2 4 32
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 0 6 13
Weak diffusion limits of dynamic conditional correlation models 0 0 0 64 2 2 7 83
Which continuous-time model is most appropriate for exchange rates? 0 0 2 72 0 1 8 143
Which continuous-time model is most appropriate for exchange rates? 0 0 0 0 1 2 7 19
Total Working Papers 6 25 120 5,710 104 269 1,185 18,524
1 registered items for which data could not be found


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 2 8 130 0 3 19 298
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 111 2 4 11 445
Analytical Derivates of the APARCH Model 0 0 1 246 0 1 9 684
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 2 6 1 5 25 61
Bridging the gap between Ox and Gauss using OxGauss 0 1 1 119 0 1 3 332
Capital humain, emploi et revenus du travail: Belgique, 1992 0 0 0 9 1 2 8 62
Capital humain, emploi et salaire en Belgique et dans ses régions 0 0 0 10 1 2 6 156
Central bank FOREX interventions assessed using realized moments 0 0 0 47 1 2 9 224
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 73 0 1 5 288
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 1 60 0 1 5 227
Common Intraday Periodicity 0 0 1 10 0 5 16 58
Do We Need High Frequency Data to Forecast Variances? 0 0 4 23 0 5 16 67
Do jumps mislead the FX market? 0 0 0 16 0 0 4 76
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 1 3 137
Generating univariate fractional integration within a large VAR(1) 0 1 1 13 1 4 12 51
Introduction 0 0 0 3 0 2 7 32
Jumps, cojumps and macro announcements 0 0 0 0 1 2 12 162
L'absentéisme dans une institution hospitalière: les facteurs déterminants 1 2 2 15 1 2 4 57
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 4 0 0 1 100
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 4 0 0 3 42
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 1 2 65
Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data 0 0 3 105 0 1 11 266
Market risk in commodity markets: a VaR approach 0 0 3 355 0 5 19 961
Modelling daily Value-at-Risk using realized volatility and ARCH type models 3 4 12 625 5 11 42 1,542
Multivariate GARCH models: a survey 8 17 40 1,682 16 39 140 3,449
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 1 1 85 1 2 9 302
On loss functions and ranking forecasting performances of multivariate volatility models 0 1 5 87 2 7 24 299
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 10 0 2 10 51
On the forecasting accuracy of multivariate GARCH models 0 0 0 0 1 8 39 174
Outlyingness Weighted Covariation 0 0 0 6 0 0 1 35
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 1 7 1 3 13 58
Risk Measure Inference 0 0 3 6 3 3 13 30
Robust estimation of intraweek periodicity in volatility and jump detection 1 1 6 71 3 5 21 253
Robust forecasting of dynamic conditional correlation GARCH models 0 1 3 29 0 1 13 101
Testing conditional asymmetry: A residual-based approach 0 0 0 24 0 0 10 117
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach 0 1 6 16 1 3 22 56
The Impact of Central Bank FX Interventions on Currency Components 0 1 1 39 1 3 9 172
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility 0 2 5 6 0 2 10 24
Trading activity, realized volatility and jumps 1 2 4 71 2 7 24 220
Value-at-risk for long and short trading positions 0 0 5 869 1 3 31 2,144
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 2 0 1 5 18
Which continuous-time model is most appropriate for exchange rates? 1 1 1 8 1 4 20 69
Total Journal Articles 15 38 120 5,045 48 154 666 13,965
1 registered items for which data could not be found


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 1 1 24 2 5 19 74
Total Chapters 0 1 1 24 2 5 19 74


Statistics updated 2020-09-04