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 2 4 13 553
A New Class of Robust Observation-Driven Models 0 0 0 51 0 0 13 65
A new class of multivariate skew densities, with application to GARCH models 0 0 0 99 1 1 16 253
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 0 0 17 0 0 18 70
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 0 0 0 13 67
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 5 2 2 7 77
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 0 1 8 70
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 1 6 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 2 9 9
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 2 16 17
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 1 7 8
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 8 9
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 2 2 15 189
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 6 2 2 10 58
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 1 6 8
Autoregressive conditional betas 0 0 1 1 2 2 12 14
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 44 0 0 4 169
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 21 1 1 8 136
Central Bank forex interventions assessed using realized moments 0 0 0 17 0 1 42 165
Central Bank intervention and exchange rate volatility: its continuous and jump components 0 0 0 0 1 2 12 105
Central Bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 0 0 9 84
Central bank FOREX interventions assessed using realized moments 0 0 0 0 2 2 22 31
Central bank FOREX interventions assessed using realized moments 0 0 0 3 1 1 15 59
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 157 0 1 11 488
Central bank intervention in the foreign exchange markets assessed using realized moments 0 1 1 5 0 2 7 61
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 0 0 9 40
Common intraday periodicity 0 0 3 54 1 2 14 231
Consistent ranking of multivariate volatility models 0 0 0 49 0 0 8 163
Do We Need High Frequency Data to Forecast Variances? 0 0 0 1 1 1 25 101
Do We Need Ultra-High Frequency Data to Forecast Variances? 0 0 0 35 1 2 18 139
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 5 26
Econometric modeling of exchange rate volatility and jumps 0 0 1 280 0 1 16 829
Estimating and forecasting ARCH models using G@RCH 6 0 0 0 0 0 0 6 319
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 0 882 1 1 11 2,051
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 3 0 0 7 39
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 26 3 3 15 73
Generating univariate fractional integration within a large VAR(1) 0 0 0 5 1 1 6 39
Have sequential interventions of Central Banks in foreign exchange been effective ? 0 0 0 0 0 1 5 25
Interpretable Machine Learning Using Partial Linear Models* 0 0 1 1 0 1 13 14
Introduction to the special issue on recent developments in Financial Econometrics 0 0 0 0 0 0 2 93
Jumps et modèles de type GARCH (Chapitre 3) 0 0 0 0 0 0 5 7
Jumps, cojumps and macro announcements 0 0 0 16 0 0 9 87
Jumps, cojumps and macro announcements 0 0 0 145 1 2 32 500
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 17 44
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 34 1 1 11 82
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 64 1 3 11 152
Long memory through marginalization of large systems and hidden cross-section dependence 0 1 1 33 0 2 13 80
Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions 0 0 0 0 0 0 4 13
L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar 0 0 0 1 1 1 12 29
Market risk in commodity markets: a VaR approach 0 0 0 3 1 1 12 45
Market risk in commodity markets: a VaR approach 0 0 1 421 1 1 15 1,405
Minimal manipulability: anonymity and surjectivity 0 0 0 500 0 0 7 1,202
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 0 1 12 36
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 0 0 7 40
Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models 0 0 0 0 0 1 14 678
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 0 2 1 3 14 108
Modelling daily value-at-risk using realized volatility and arch type models 0 0 0 58 0 1 14 246
Multivariate GARCH models and their Estimation 0 0 0 0 0 0 4 533
Multivariate GARCH models: a survey 0 0 0 40 0 1 106 328
Multivariate GARCH models: a survey 0 0 0 475 0 1 35 1,173
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 0 5 0 1 14 40
Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis 0 0 0 0 0 0 4 65
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 1 148 0 2 21 553
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 0 72 3 3 22 243
On the Forecasting Accuracy of Multivariate GARCH Models 0 0 1 194 1 1 15 715
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 0 0 1 25 70
On the forecasting accuracy of multivariate GARCH models 0 0 0 114 1 1 12 283
On the univariate representation of BEKK models with common factors 0 0 0 79 0 0 6 193
On the univariate representation of multivariate volatility models with common factors 0 0 0 33 0 0 15 120
Outlyingness weighted covariation 0 0 0 1 0 1 15 35
Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse 0 1 1 573 0 1 10 1,630
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity 0 0 0 81 1 2 5 157
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 1 1 2 8 58
Quasi score-driven models 0 0 0 23 0 1 11 21
Risk Measure Inference 0 0 0 181 0 0 17 386
Risk Measure Inference 0 0 0 0 1 1 4 43
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps 0 0 0 2 2 4 10 27
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates 0 0 0 210 0 0 14 412
Structural change and long memory in volatility: new evidence from daily exchange rates 0 0 0 0 0 1 11 69
Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach 0 0 0 26 2 2 15 140
Testing conditional asymmetry. A residual based approach 0 0 0 0 0 0 19 60
Testing conditional asymmetry: A residual-based approach 0 0 0 0 0 0 8 12
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach 0 0 0 0 1 2 18 56
The impact of Central Bank FX interventions on currency components 0 0 0 4 2 2 18 62
The impact of Central Bank FX interventions on currency components 0 0 0 0 0 0 16 127
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 1 1 4 6
Trading activity, realized volatility and jumps 0 0 0 3 1 2 9 56
Treatment-effect estimation in high dimension: An inference-based approach 0 1 7 19 0 1 20 48
Unit Root Test with High-Frequency Data 0 0 0 0 1 1 8 17
Value-at-Risk for long and short trading positions 0 0 0 11 0 1 10 66
Value-at-risk for long and short trading positions 0 0 0 164 0 0 12 1,465
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 45 3 3 23 113
Volatility Estimation and Jump Detection for drift-diffusion Processes 1 1 1 10 1 3 18 75
Volatility Models 0 0 0 0 0 0 14 37
Volatility Models 0 0 0 0 2 2 17 64
Volatility estimation and jump detection for drift–diffusion processes 0 0 0 0 1 2 8 22
Volatility forecasts evaluation and comparison 0 0 0 8 0 0 7 53
Volatility models 0 0 0 313 1 1 23 667
We modeled long memory with just one lag! 0 0 0 0 1 2 6 9
We modeled long memory with just one lag! 0 0 0 55 0 1 8 43
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 1 0 0 8 12
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 0 5 9
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 2 0 0 11 45
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 0 7 23
Weak diffusion limits of dynamic conditional correlation models 0 0 0 0 0 1 16 33
Weak diffusion limits of dynamic conditional correlation models 0 0 0 65 0 2 14 116
Which continuous-time model is most appropriate for exchange rates? 0 0 0 0 0 0 7 51
Which continuous-time model is most appropriate for exchange rates? 0 0 0 73 0 0 10 183
Total Working Papers 1 5 20 6,144 62 115 1,419 22,532

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 1 144 0 2 14 354
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 111 0 0 11 461
Analytical Derivates of the APARCH Model 0 0 2 257 0 0 19 728
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 17 0 1 15 125
Autoregressive conditional betas 0 2 5 10 0 2 25 41
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 122 4 4 12 354
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 2 1 2 10 15
Capital humain, emploi et revenus du travail: Belgique, 1992 0 0 0 11 1 2 16 87
Capital humain, emploi et salaire en Belgique et dans ses régions 0 0 0 11 0 0 4 169
Central bank FOREX interventions assessed using realized moments 0 0 0 48 1 1 35 280
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 74 0 1 14 313
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 63 0 2 12 259
Common Intraday Periodicity 0 0 0 11 0 1 18 142
Do We Need High Frequency Data to Forecast Variances? 0 0 0 29 1 1 8 113
Do jumps mislead the FX market? 0 0 0 19 0 0 12 103
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 3 13 160
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 1 3 1 2 12 24
Generating univariate fractional integration within a large VAR(1) 0 1 1 16 0 1 8 78
Interpretable Machine Learning Using Partial Linear Models 0 1 3 7 0 3 20 32
Introduction 0 0 0 4 1 2 8 48
Jumps, cojumps and macro announcements 0 0 0 0 1 2 20 214
L'absentéisme dans une institution hospitalière: les facteurs déterminants 0 0 0 18 0 2 4 77
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 0 1 9 122
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 0 0 4 51
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 6 73
Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data 0 0 0 108 0 1 12 294
Market risk in commodity markets: a VaR approach 0 0 1 375 0 4 19 1,056
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 1 675 0 1 21 1,711
Multivariate GARCH models: a survey 0 0 3 1,740 1 1 74 3,809
Multivariate GARCH models: a survey 0 0 1 26 4 7 40 158
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 1 1 2 90 1 3 12 331
On loss functions and ranking forecasting performances of multivariate volatility models 0 0 0 104 1 4 18 395
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 10 1 2 10 71
On the forecasting accuracy of multivariate GARCH models 0 0 0 0 2 4 43 315
Outlyingness Weighted Covariation 0 0 0 7 0 1 20 65
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 11 0 0 10 85
Quasi score-driven models 0 0 2 6 0 3 16 32
Risk Measure Inference 0 1 1 7 1 3 11 58
Robust estimation of intraweek periodicity in volatility and jump detection 1 2 6 119 7 9 34 393
Robust forecasting of dynamic conditional correlation GARCH models 0 1 3 45 0 4 25 165
Testing conditional asymmetry: A residual-based approach 0 0 1 25 1 1 9 131
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach 0 0 0 25 1 2 16 106
The Impact of Central Bank FX Interventions on Currency Components 0 0 0 39 0 1 19 199
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility 0 0 0 11 0 1 13 64
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 0 0 11 14
Trading activity, realized volatility and jumps 0 0 0 91 0 2 18 313
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA 0 0 0 7 1 2 9 32
Value-at-risk for long and short trading positions 0 0 4 887 2 2 21 2,243
Volatility estimation and jump detection for drift–diffusion processes 0 0 0 10 0 0 40 97
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 2 0 0 8 31
We modeled long memory with just one lag! 0 0 0 4 0 1 12 25
Which continuous-time model is most appropriate for exchange rates? 0 0 0 8 0 1 7 132
Total Journal Articles 2 9 39 5,463 35 95 877 16,748

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 0 1 18 125
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 1 1 1 13 51
Total Chapters 0 0 0 27 1 2 31 176

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Statistics updated 2026-09-10