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 3 13 553
A New Class of Robust Observation-Driven Models 0 0 0 51 0 0 12 65
A new class of multivariate skew densities, with application to GARCH models 0 0 0 99 0 1 16 253
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 0 0 17 3 3 21 73
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 0 2 7 77
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 3 3 11 73
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 0 6 8
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 0 2 13 189
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 1 16 17
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 0 1 2 7 9
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 6 0 2 10 58
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 2 9 9
Autoregressive conditional betas 0 0 1 1 0 2 12 14
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 21 0 1 8 136
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 44 0 0 4 169
Central Bank forex interventions assessed using realized moments 0 0 0 17 0 0 42 165
Central Bank intervention and exchange rate volatility: its continuous and jump components 0 0 0 0 1 3 13 106
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 3 0 1 15 59
Central bank FOREX interventions assessed using realized moments 0 0 0 0 0 2 21 31
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 157 0 0 10 488
Central bank intervention in the foreign exchange markets assessed using realized moments 0 0 1 5 0 0 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 0 1 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 2 3 27 103
Do We Need Ultra-High Frequency Data to Forecast Variances? 0 0 0 35 1 2 19 140
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 0 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 0 1 11 2,051
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 26 0 3 15 73
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 3 0 0 6 39
Generating univariate fractional integration within a large VAR(1) 0 0 0 5 0 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 0 13 14
Introduction to the special issue on recent developments in Financial Econometrics 1 1 1 1 1 1 3 94
Jumps et modèles de type GARCH (Chapitre 3) 0 0 0 0 0 0 5 7
Jumps, cojumps and macro announcements 0 0 0 145 0 1 30 500
Jumps, cojumps and macro announcements 0 0 0 16 0 0 9 87
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 16 44
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 64 0 2 11 152
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 34 1 2 12 83
Long memory through marginalization of large systems and hidden cross-section dependence 0 1 1 33 0 1 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 0 1 12 29
Market risk in commodity markets: a VaR approach 0 0 0 3 0 1 12 45
Market risk in commodity markets: a VaR approach 0 0 1 421 1 2 16 1,406
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 1 1 12 37
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 0 14 678
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 0 2 0 2 14 108
Modelling daily value-at-risk using realized volatility and arch type models 0 0 0 58 0 0 14 246
Multivariate GARCH models and their Estimation 0 0 0 0 1 1 5 534
Multivariate GARCH models: a survey 0 0 0 40 1 1 107 329
Multivariate GARCH models: a survey 0 0 0 475 6 6 40 1,179
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 0 72 0 3 22 243
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 0 1 148 1 1 22 554
On the Forecasting Accuracy of Multivariate GARCH Models 0 0 1 194 1 2 16 716
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 0 1 1 26 71
On the forecasting accuracy of multivariate GARCH models 0 0 0 114 1 2 13 284
On the univariate representation of BEKK models with common factors 0 0 0 79 1 1 7 194
On the univariate representation of multivariate volatility models with common factors 0 0 0 33 1 1 16 121
Outlyingness weighted covariation 0 0 0 1 0 0 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 0 2 5 157
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 1 0 1 7 58
Quasi score-driven models 0 0 0 23 0 1 11 21
Risk Measure Inference 0 0 0 0 0 1 4 43
Risk Measure Inference 0 0 0 181 1 1 18 387
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps 0 0 0 2 0 2 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 0 11 69
Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach 0 0 0 26 0 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 1 1 9 13
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach 0 0 0 0 0 1 18 56
The impact of Central Bank FX interventions on currency components 0 0 0 0 0 0 16 127
The impact of Central Bank FX interventions on currency components 0 0 0 4 0 2 18 62
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 1 4 6
Trading activity, realized volatility and jumps 0 0 0 3 0 1 9 56
Treatment-effect estimation in high dimension: An inference-based approach 0 1 7 19 0 1 19 48
Unit Root Test with High-Frequency Data 0 0 0 0 0 1 8 17
Value-at-Risk for long and short trading positions 0 0 0 11 0 0 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 1 1 10 0 3 18 75
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 45 0 3 23 113
Volatility Models 0 0 0 0 1 3 18 65
Volatility Models 0 0 0 0 0 0 14 37
Volatility estimation and jump detection for drift–diffusion processes 0 0 0 0 0 1 8 22
Volatility forecasts evaluation and comparison 0 0 0 8 1 1 8 54
Volatility models 0 0 0 313 0 1 23 667
We modeled long memory with just one lag! 0 0 0 0 0 1 6 9
We modeled long memory with just one lag! 0 0 0 55 1 1 8 44
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 1 0 0 8 12
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 1 1 8 24
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 0 0 0 16 33
Weak diffusion limits of dynamic conditional correlation models 0 0 0 65 1 3 15 117
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 9 183
Total Working Papers 1 5 21 6,145 36 115 1,439 22,568

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 1 1 12 462
Analytical Derivates of the APARCH Model 0 0 2 257 2 2 21 730
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 17 1 1 15 126
Autoregressive conditional betas 1 2 5 11 3 4 26 44
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 122 0 4 12 354
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 2 0 2 10 15
Capital humain, emploi et revenus du travail: Belgique, 1992 0 0 0 11 1 3 17 88
Capital humain, emploi et salaire en Belgique et dans ses régions 0 0 0 11 1 1 5 170
Central bank FOREX interventions assessed using realized moments 0 0 0 48 0 1 35 280
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 74 1 2 15 314
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 0 1 8 113
Do jumps mislead the FX market? 0 0 0 19 1 1 13 104
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 2 13 160
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 1 3 0 2 12 24
Generating univariate fractional integration within a large VAR(1) 0 0 1 16 0 0 8 78
Interpretable Machine Learning Using Partial Linear Models 0 1 3 7 1 2 21 33
Introduction 0 0 0 4 0 2 8 48
Jumps, cojumps and macro announcements 0 0 0 0 0 1 18 214
L'absentéisme dans une institution hospitalière: les facteurs déterminants 0 0 0 18 1 2 5 78
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 1 1 5 52
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
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 0 12 294
Market risk in commodity markets: a VaR approach 0 0 1 375 1 2 19 1,057
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 1 675 0 1 20 1,711
Multivariate GARCH models: a survey 0 0 1 26 0 4 38 158
Multivariate GARCH models: a survey 0 0 2 1,740 0 1 73 3,809
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 1 1 90 0 1 11 331
On loss functions and ranking forecasting performances of multivariate volatility models 0 0 0 104 2 4 19 397
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 10 1 2 11 72
On the forecasting accuracy of multivariate GARCH models 0 0 0 0 0 4 42 315
Outlyingness Weighted Covariation 0 0 0 7 0 1 19 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 2 16 32
Risk Measure Inference 0 1 1 7 0 3 11 58
Robust estimation of intraweek periodicity in volatility and jump detection 0 2 6 119 4 12 37 397
Robust forecasting of dynamic conditional correlation GARCH models 1 2 4 46 1 3 26 166
Testing conditional asymmetry: A residual-based approach 0 0 1 25 0 1 9 131
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach 0 0 0 25 2 3 18 108
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 0 17 313
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA 0 0 0 7 0 2 9 32
Value-at-risk for long and short trading positions 1 1 5 888 1 3 21 2,244
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 7 31
We modeled long memory with just one lag! 1 1 1 5 1 1 13 26
Which continuous-time model is most appropriate for exchange rates? 0 0 0 8 0 1 7 132
Total Journal Articles 4 11 40 5,467 27 94 886 16,775

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 2 2 20 127
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 1 0 1 13 51
Total Chapters 0 0 0 27 2 3 33 178

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Statistics updated 2026-10-11