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 1 4 10 550
A New Class of Robust Observation-Driven Models 0 0 0 51 0 2 13 65
A new class of multivariate skew densities, with application to GARCH models 0 0 0 99 0 2 16 252
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models 0 0 0 17 0 2 18 70
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 0 0 5 13 67
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 5 0 2 5 75
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas 0 0 0 4 1 3 10 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 0 3 5 6
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 3 7 8
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 6 0 3 9 56
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 1 8 9
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 0 3 7 7
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 70 0 2 13 187
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 0 0 1 4 15 16
Autoregressive conditional betas 0 0 1 1 0 3 10 12
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 44 0 2 4 169
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 21 0 0 7 135
Central Bank forex interventions assessed using realized moments 0 0 0 17 1 6 42 165
Central Bank intervention and exchange rate volatility: its continuous and jump components 0 0 0 0 0 3 10 103
Central Bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 0 1 9 84
Central bank FOREX interventions assessed using realized moments 0 0 0 0 0 3 20 29
Central bank FOREX interventions assessed using realized moments 0 0 0 3 0 3 16 58
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 157 1 4 12 488
Central bank intervention in the foreign exchange markets assessed using realized moments 1 1 1 5 2 4 7 61
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 0 0 4 9 40
Common intraday periodicity 0 0 3 54 1 4 13 230
Consistent ranking of multivariate volatility models 0 0 0 49 0 4 8 163
Do We Need High Frequency Data to Forecast Variances? 0 0 0 1 0 4 24 100
Do We Need Ultra-High Frequency Data to Forecast Variances? 0 0 0 35 1 6 17 138
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 2 5 26
Econometric modeling of exchange rate volatility and jumps 0 0 1 280 1 5 17 829
Estimating and forecasting ARCH models using G@RCH 6 0 0 0 0 0 2 6 319
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 0 882 0 1 10 2,050
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 26 0 5 13 70
Generating Univariate Fractional Integration within a Large VAR(1) 0 0 0 3 0 1 8 39
Generating univariate fractional integration within a large VAR(1) 0 0 0 5 0 0 5 38
Have sequential interventions of Central Banks in foreign exchange been effective ? 0 0 0 0 0 1 4 24
Interpretable Machine Learning Using Partial Linear Models* 0 0 1 1 1 5 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 4 6 7
Jumps, cojumps and macro announcements 0 0 0 145 1 3 32 499
Jumps, cojumps and macro announcements 0 0 0 16 0 2 10 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 43
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 34 0 3 11 81
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence 0 0 0 64 1 2 10 150
Long memory through marginalization of large systems and hidden cross-section dependence 0 0 0 32 1 3 12 79
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 3 12 28
Market risk in commodity markets: a VaR approach 0 0 0 3 0 1 11 44
Market risk in commodity markets: a VaR approach 0 0 1 421 0 6 16 1,404
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 3 12 36
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 0 0 2 7 40
Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models 0 0 0 0 1 6 15 678
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 0 2 1 4 13 106
Modelling daily value-at-risk using realized volatility and arch type models 0 0 0 58 1 7 14 246
Multivariate GARCH models and their Estimation 0 0 0 0 0 1 4 533
Multivariate GARCH models: a survey 0 0 0 40 1 4 107 328
Multivariate GARCH models: a survey 0 0 0 475 1 12 35 1,173
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 0 5 0 0 13 39
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 20 240
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models 0 1 1 148 2 6 23 553
On the Forecasting Accuracy of Multivariate GARCH Models 0 0 1 194 0 4 14 714
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 0 1 2 25 70
On the forecasting accuracy of multivariate GARCH models 0 0 0 114 0 6 11 282
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 1 4 15 35
Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse 0 0 0 572 0 1 10 1,629
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity 0 0 0 81 0 0 4 155
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 1 1 3 8 57
Quasi score-driven models 0 0 0 23 0 0 10 20
Risk Measure Inference 0 0 0 181 0 6 17 386
Risk Measure Inference 0 0 0 0 0 0 3 42
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps 0 0 0 2 2 4 10 25
Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates 0 0 0 210 0 3 14 412
Structural change and long memory in volatility: new evidence from daily exchange rates 0 0 0 0 1 6 11 69
Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach 0 0 0 26 0 1 13 138
Testing conditional asymmetry. A residual based approach 0 0 0 0 0 3 19 60
Testing conditional asymmetry: A residual-based approach 0 0 0 0 0 1 8 12
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach 0 0 0 0 1 4 17 55
The impact of Central Bank FX interventions on currency components 0 0 0 0 0 5 16 127
The impact of Central Bank FX interventions on currency components 0 0 0 4 0 4 16 60
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 3 5
Trading activity, realized volatility and jumps 0 0 0 3 1 4 8 55
Treatment-effect estimation in high dimension: An inference-based approach 0 1 6 18 0 4 19 47
Unit Root Test with High-Frequency Data 0 0 0 0 0 2 8 16
Value-at-Risk for long and short trading positions 0 0 0 11 1 3 11 66
Value-at-risk for long and short trading positions 0 0 0 164 0 3 12 1,465
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 9 0 3 16 72
Volatility Estimation and Jump Detection for drift-diffusion Processes 0 0 0 45 0 3 20 110
Volatility Models 0 0 0 0 0 4 17 62
Volatility Models 0 0 0 0 0 4 15 37
Volatility estimation and jump detection for drift–diffusion processes 0 0 0 0 1 5 8 21
Volatility forecasts evaluation and comparison 0 0 0 8 0 1 7 53
Volatility models 0 0 1 313 0 4 25 666
We modeled long memory with just one lag! 0 0 0 0 1 2 5 8
We modeled long memory with just one lag! 0 0 0 55 1 2 8 43
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 4 7 23
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 0 0 3 5 9
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 1 0 4 8 12
Weak Diffusion Limits of Dynamic Conditional Correlation Models 0 0 0 2 0 3 12 45
Weak diffusion limits of dynamic conditional correlation models 0 0 0 0 1 3 16 33
Weak diffusion limits of dynamic conditional correlation models 0 0 0 65 0 1 13 114
Which continuous-time model is most appropriate for exchange rates? 0 0 0 0 0 1 7 51
Which continuous-time model is most appropriate for exchange rates? 0 0 0 73 0 2 11 183
Total Working Papers 1 3 17 6,140 36 312 1,383 22,453

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 0 13 352
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates 0 0 0 111 0 3 11 461
Analytical Derivates of the APARCH Model 0 0 2 257 0 2 20 728
Asymptotics of Cholesky GARCH models and time-varying conditional betas 0 0 1 17 1 3 15 125
Autoregressive conditional betas 1 1 5 9 1 4 26 40
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 2 0 3 9 13
Bridging the gap between Ox and Gauss using OxGauss 0 0 0 122 0 2 8 350
Capital humain, emploi et revenus du travail: Belgique, 1992 0 0 0 11 0 3 14 85
Capital humain, emploi et salaire en Belgique et dans ses régions 0 0 0 11 0 1 5 169
Central bank FOREX interventions assessed using realized moments 0 0 0 48 0 5 34 279
Central bank intervention and exchange rate volatility, its continuous and jump components 0 0 0 74 0 3 13 312
Central bank interventions and jumps in double long memory models of daily exchange rates 0 0 0 63 0 1 11 257
Common Intraday Periodicity 0 0 0 11 0 6 17 141
Do We Need High Frequency Data to Forecast Variances? 0 0 0 29 0 1 7 112
Do jumps mislead the FX market? 0 0 0 19 0 2 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 11 158
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models 0 0 1 3 0 2 10 22
Generating univariate fractional integration within a large VAR(1) 1 1 1 16 1 5 8 78
Interpretable Machine Learning Using Partial Linear Models 0 0 2 6 2 8 20 31
Introduction 0 0 0 4 0 1 6 46
Jumps, cojumps and macro announcements 0 0 0 0 1 5 23 213
L'absentéisme dans une institution hospitalière: les facteurs déterminants 0 0 0 18 1 3 4 76
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 0 1 4 51
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar 0 0 0 5 0 7 8 121
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 2 6 73
Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data 0 0 0 108 1 4 12 294
Market risk in commodity markets: a VaR approach 0 1 3 375 3 8 20 1,055
Modelling daily Value-at-Risk using realized volatility and ARCH type models 0 0 1 675 0 5 21 1,710
Multivariate GARCH models: a survey 0 1 4 1,740 0 11 77 3,808
Multivariate GARCH models: a survey 0 1 3 26 3 9 43 154
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis 0 0 1 89 2 4 11 330
On loss functions and ranking forecasting performances of multivariate volatility models 0 0 0 104 2 6 19 393
On the Univariate Representation of BEKK Models with Common Factors 0 0 0 10 1 5 10 70
On the forecasting accuracy of multivariate GARCH models 0 0 0 0 0 6 39 311
Outlyingness Weighted Covariation 0 0 0 7 0 4 19 64
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity 0 0 0 11 0 7 12 85
Quasi score-driven models 0 0 3 6 1 3 16 30
Risk Measure Inference 0 0 0 6 0 3 9 55
Robust estimation of intraweek periodicity in volatility and jump detection 0 1 5 117 1 8 28 385
Robust forecasting of dynamic conditional correlation GARCH models 0 0 2 44 2 7 23 163
Testing conditional asymmetry: A residual-based approach 0 0 1 25 0 1 8 130
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach 0 0 0 25 1 6 16 105
The Impact of Central Bank FX Interventions on Currency Components 0 0 0 39 0 0 18 198
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility 0 0 0 11 0 3 13 63
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis 0 0 0 0 0 7 12 14
Trading activity, realized volatility and jumps 0 0 1 91 2 5 20 313
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA 0 0 0 7 0 0 8 30
Value-at-risk for long and short trading positions 0 0 4 887 0 1 20 2,241
Volatility estimation and jump detection for drift–diffusion processes 0 0 0 10 0 7 43 97
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 2 0 2 8 31
We modeled long memory with just one lag! 0 0 0 4 1 3 12 25
Which continuous-time model is most appropriate for exchange rates? 0 0 0 8 0 0 6 131
Total Journal Articles 2 6 41 5,456 28 201 858 16,681

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 1 6 18 125
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs 0 0 0 1 0 3 12 50
Total Chapters 0 0 0 27 1 9 30 175

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Statistics updated 2026-07-10