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 3 537
A New Class of Robust Observation-Driven Models 0 0 2 47 0 0 5 45
A new class of multivariate skew densities, with application to GARCH models 1 1 1 99 1 1 2 234
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 0 0 16 0 0 2 49
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 1 4 0 0 3 66
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 3 1 1 8 57
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 69 0 1 6 167
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 5 0 0 3 44
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 20 0 1 2 126
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 43 0 0 0 162
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 2 93
Central Bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 0 0 1 75
Central bank FOREX interventions assessed using realized moments 0 0 0 0 0 0 0 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 1 475
Central bank intervention in the foreign exchange markets assessed using realized moments 0 0 0 4 0 1 1 52
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 0 0 1 30
Common intraday periodicity 0 0 0 50 0 0 16 213
Consistent ranking of multivariate volatility models 0 0 0 49 0 0 0 155
Do We Need High Frequency Data to Forecast Variances? 0 0 0 0 1 1 2 73
Do We Need Ultra-High Frequency Data to Forecast Variances? 0 0 1 34 0 0 6 119
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 0 278 1 2 24 804
Estimating and forecasting ARCH models using G@RCH 6 0 0 0 0 0 1 17 292
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models 0 1 3 877 2 4 18 2,025
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 26 0 0 0 53
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 3 0 0 2 29
Generating univariate fractional integration within a large VAR(1) 0 0 0 5 0 0 1 31
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 2 91
Jumps et modèles de type GARCH (Chapitre 3) 0 0 0 0 0 0 0 1
Jumps, cojumps and macro announcements 1 1 2 16 2 2 4 77
Jumps, cojumps and macro announcements 0 0 0 145 1 1 3 465
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 63 0 0 1 138
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 34 0 0 0 67
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 0 8
L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar 0 0 0 0 0 0 1 11
Market risk in commodity markets: a VaR approach 0 0 0 3 0 1 2 31
Market risk in commodity markets: a VaR approach 0 0 4 410 0 0 8 1,366
Minimal manipulability: anonymity and surjectivity 0 1 1 499 0 1 2 1,194
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 0 2 5 8
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 0 0 2 29
Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models 0 0 0 0 0 1 2 658
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 0 2 0 3 8 88
Modelling daily value-at-risk using realized volatility and arch type models 0 1 1 57 0 4 8 231
Multivariate GARCH models and their Estimation 0 0 0 0 1 1 4 522
Multivariate GARCH models: a survey 0 1 1 40 1 4 7 206
Multivariate GARCH models: a survey 0 1 4 474 0 3 12 1,132
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 1 1 3 0 1 1 24
Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis 0 0 0 0 0 1 1 59
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 1 72 0 0 2 217
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 0 147 0 0 28 527
On the Forecasting Accuracy of Multivariate GARCH Models 0 0 1 191 0 0 2 693
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 0 0 1 1 43
On the forecasting accuracy of multivariate GARCH models 0 0 2 114 0 3 9 252
On the univariate representation of BEKK models with common factors 0 1 1 78 0 1 1 182
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 1 1 3 18
Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse 0 0 0 572 0 0 0 1,618
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity 0 0 0 81 0 0 1 151
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 1 0 0 0 47
Risk Measure Inference 1 1 1 181 1 2 4 365
Risk Measure Inference 0 0 0 0 0 0 1 36
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates 0 0 0 209 0 1 2 394
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 0 125
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 1 1 4 34
The impact of Central Bank FX interventions on currency components 0 0 0 0 0 0 4 108
The impact of Central Bank FX interventions on currency components 0 0 0 4 0 0 1 42
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 0 2 0 0 0 45
Unit Root Test with High-Frequency Data 0 0 0 0 0 0 5 8
Value-at-Risk for long and short trading positions 0 0 0 9 0 0 4 43
Value-at-risk for long and short trading positions 0 0 1 163 0 0 6 1,447
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 9 0 0 1 54
Volatility Estimation and Jump Detection for drift-diffusion Processes 1 1 1 45 1 3 3 88
Volatility Models 0 0 0 0 2 2 2 20
Volatility Models 0 0 0 0 1 3 10 40
Volatility estimation and jump detection for drift–diffusion processes 0 0 0 0 0 0 0 12
Volatility forecasts evaluation and comparison 0 0 2 8 0 1 4 44
Volatility models 0 0 2 307 0 0 3 628
We modeled long memory with just one lag! 0 0 2 54 0 0 8 28
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 0 1 0 0 0 4
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 0 0 16
Weak diffusion limits of dynamic conditional correlation models 0 0 0 0 0 0 0 16
Weak diffusion limits of dynamic conditional correlation models 0 0 0 65 0 0 1 99
Which continuous-time model is most appropriate for exchange rates? 0 0 0 73 0 0 8 172
Which continuous-time model is most appropriate for exchange rates? 0 0 0 0 0 0 5 42
Total Working Papers 4 11 38 6,031 18 57 322 20,652


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 2 140 0 0 10 331
Analytical Derivates of the APARCH Model 0 1 2 251 1 3 9 700
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 3 13 0 0 7 97
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 121 0 0 0 339
Bridging the gap between Ox and Gauss using OxGauss 0 0 1 2 0 0 2 4
Capital humain, emploi et revenus du travail: Belgique, 1992 0 1 1 11 0 2 2 70
Capital humain, emploi et salaire en Belgique et dans ses régions 0 0 0 11 0 0 0 163
Central bank FOREX interventions assessed using realized moments 0 0 0 48 0 1 3 233
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 74 0 0 2 298
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 63 0 0 1 245
Common Intraday Periodicity 0 0 0 10 0 0 23 116
Do We Need High Frequency Data to Forecast Variances? 0 0 1 28 0 2 8 100
Do jumps mislead the FX market? 0 0 1 19 0 0 2 91
Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan 0 0 0 40 0 0 0 145
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 1 2 0 1 3 9
Generating univariate fractional integration within a large VAR(1) 0 0 1 15 0 1 2 68
Introduction 0 0 0 4 0 0 0 38
Jumps, cojumps and macro announcements 0 0 0 0 2 4 9 185
L'absentéisme dans une institution hospitalière: les facteurs déterminants 0 0 1 17 1 3 7 69
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 1 5 0 0 3 110
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 0 0 0 46
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 2 108 0 0 2 279
Market risk in commodity markets: a VaR approach 0 0 3 363 0 3 16 1,011
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 2 15 664 0 6 38 1,654
Multivariate GARCH models: a survey 0 0 3 7 2 3 17 53
Multivariate GARCH models: a survey 1 4 5 1,729 2 6 30 3,694
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 0 86 0 1 3 313
On loss functions and ranking forecasting performances of multivariate volatility models 0 0 3 102 0 0 23 366
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 10 0 1 2 59
On the forecasting accuracy of multivariate GARCH models 0 0 0 0 2 5 23 248
Outlyingness Weighted Covariation 0 0 0 7 1 1 2 44
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 11 0 0 2 72
Risk Measure Inference 0 0 0 6 1 1 1 41
Robust estimation of intraweek periodicity in volatility and jump detection 0 4 5 94 0 7 22 325
Robust forecasting of dynamic conditional correlation GARCH models 0 0 3 36 0 0 11 127
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 0 2 22 1 3 7 78
The Impact of Central Bank FX Interventions on Currency Components 0 0 0 39 0 0 1 178
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility 0 0 0 10 0 0 1 41
Trading activity, realized volatility and jumps 0 0 2 85 1 2 6 283
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA 0 1 4 7 1 2 12 20
Value-at-risk for long and short trading positions 0 1 4 877 0 1 12 2,194
Volatility estimation and jump detection for drift–diffusion processes 0 0 2 9 0 0 4 44
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 0 5 121
Total Journal Articles 1 14 68 5,189 15 59 333 14,911
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 0 1 26 0 2 8 103
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 0 0 2 25
Total Chapters 0 0 1 26 0 2 10 128


Statistics updated 2023-11-05