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Details about Sébastien Laurent

E-mail:
Homepage:http://www.slaurent.net
Postal address:GREQAM - Château La Farge Route des Milles 13290 Les Milles France
Workplace:Groupement de Recherche en Économie Quantitative d'Aix-Marseille (GREQAM), Aix-Marseille School of Economics (AMSE), (more information at EDIRC)
Institut d'Administration des Entreprises (IAE) (Business School), Université d'Aix-Marseille AMU (Aix-Marseille University), (more information at EDIRC)

Access statistics for papers by Sébastien Laurent.

Last updated 2017-02-27. Update your information in the RePEc Author Service.

Short-id: pla169


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Working Papers

2016

  1. Weak Diffusion Limits of Dynamic Conditional Correlation Models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads

2015

  1. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School Downloads View citations (2)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) Downloads View citations (2)
    Working Papers, HAL (2015) Downloads View citations (2)
  2. Risk Measure Inference
    Working Papers, HAL Downloads View citations (3)

2014

  1. Do We Need Ultra-High Frequency Data to Forecast Variances?
    Working Papers, HAL Downloads
  2. Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2017)

2013

  1. Which continuous-time model is most appropriate for exchange rates?
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2015)

2012

  1. Econometric modeling of exchange rate volatility and jumps
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
  2. On the Univariate Representation of BEKK Models with Common Factors
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (4)
    See also Journal Article in Journal of Time Series Econometrics (2016)
  3. Testing conditional asymmetry. A residual based approach
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (2012)

2011

  1. Common intraday periodicity
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (8)
    See also Journal Article in Journal of Financial Econometrics (2011)
  2. On the Univariate Representation of Multivariate Volatility Models with Common Factors
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (1)
  3. Volatility models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (23)

2010

  1. On the Forecasting Accuracy of Multivariate GARCH Models
    Cahiers de recherche, CIRPEE Downloads View citations (7)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) Downloads View citations (21)

    See also Journal Article in Journal of Applied Econometrics (2012)

2009

  1. Consistent ranking of multivariate volatility models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (7)
  2. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
    CIRANO Working Papers, CIRANO Downloads View citations (3)
    Also in Cahiers de recherche, CIRPEE (2009) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2013)

2008

  1. Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads

2007

  1. Central Bank intervention and exchange rate volatility: its continuous and jump components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (25)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) Downloads View citations (33)

    See also Journal Article in International Journal of Finance & Economics (2007)
  2. Jumps, cojumps and macro announcements
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (8)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Journal of Applied Econometrics (2011)
  3. The impact of Central Bank FX interventions on currency components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Journal of Financial Econometrics (2007)

2004

  1. Bridging the Gap Between Ox and Gauss using OxGauss
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) Downloads

    See also Journal Article in Journal of Applied Econometrics (2005)
  2. Central Bank forex interventions assessed using realized moments
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (5)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2003) Downloads View citations (6)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2009)
  3. Have sequential interventions of Central Banks in foreign exchange been effective ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)

2003

  1. Central Bank interventions and jumps in double long memory models of daily exchange rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (41)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Journal of Empirical Finance (2003)
  2. Market risk in commodity markets: a VaR approach
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (80)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Energy Economics (2003)
  3. Multivariate GARCH models: a survey
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (44)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Journal of Applied Econometrics (2006)
  4. Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (32)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in European Economic Review (2003)

2002

  1. A New Class of Multivariate skew Densities, with Application to GARCH Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (34)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2002) Downloads View citations (10)
  2. Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
    See also Journal Article in Applied Financial Economics (2002)
  3. Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models
    Computing in Economics and Finance 2002, Society for Computational Economics
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2001) Downloads View citations (4)
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Journal of Empirical Finance (2004)
  4. Multivariate GARCH models and their Estimation
    Computing in Economics and Finance 2002, Society for Computational Economics

2001

  1. G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models
    Computing in Economics and Finance 2001, Society for Computational Economics Downloads View citations (13)
  2. Value-at-risk for long and short trading positions
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads

    See also Journal Article in Journal of Applied Econometrics (2003)

2000

  1. La persistance des chocs de volatilité sur le marché des changes s'est-elle modifiée depuis le début des années quatre-vingts ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
  2. Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (14)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2000) View citations (11)

Undated

  1. A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2005)
  2. Central bank intervention in the foreign exchange markets assessed using realized moments
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads
  3. Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2009)
  4. Outlyingness weighted covariation
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in Journal of Financial Econometrics (2011)
  5. Trading activity, realized volatility and jumps
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    See also Journal Article in Journal of Empirical Finance (2010)
  6. Volatility forecasts evaluation and comparison
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)

Journal Articles

2017

  1. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
    Journal of Econometrics, 2017, 196, (2), 347-367 Downloads
    See also Working Paper (2014)

2016

  1. On the Univariate Representation of BEKK Models with Common Factors
    Journal of Time Series Econometrics, 2016, 8, (2), 91-113 Downloads View citations (2)
    See also Working Paper (2012)
  2. Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach
    Computational Statistics & Data Analysis, 2016, 100, (C), 383-400 Downloads

2015

  1. Which continuous-time model is most appropriate for exchange rates?
    Journal of Banking & Finance, 2015, 61, (S2), S256-S268 Downloads
    See also Working Paper (2013)

2013

  1. On loss functions and ranking forecasting performances of multivariate volatility models
    Journal of Econometrics, 2013, 173, (1), 1-10 Downloads View citations (35)
    See also Working Paper (2009)
  2. Robust forecasting of dynamic conditional correlation GARCH models
    International Journal of Forecasting, 2013, 29, (2), 244-257 Downloads View citations (17)

2012

  1. Do jumps mislead the FX market?
    Quantitative Finance, 2012, 12, (10), 1521-1532 Downloads View citations (1)
  2. On the forecasting accuracy of multivariate GARCH models
    Journal of Applied Econometrics, 2012, 27, (6), 934-955 View citations (30)
    See also Working Paper (2010)
  3. Testing conditional asymmetry: A residual-based approach
    Journal of Economic Dynamics and Control, 2012, 36, (8), 1229-1247 Downloads View citations (6)
    See also Working Paper (2012)

2011

  1. Common Intraday Periodicity
    Journal of Financial Econometrics, 2011, 10, (2), 325-353 Downloads View citations (2)
    See also Working Paper (2011)
  2. Jumps, cojumps and macro announcements
    Journal of Applied Econometrics, 2011, 26, (6), 893-921 View citations (75)
    See also Working Paper (2007)
  3. Outlyingness Weighted Covariation
    Journal of Financial Econometrics, 2011, 9, (4), 657-684 Downloads View citations (9)
    See also Working Paper
  4. Robust estimation of intraweek periodicity in volatility and jump detection
    Journal of Empirical Finance, 2011, 18, (2), 353-367 Downloads View citations (39)

2010

  1. Trading activity, realized volatility and jumps
    Journal of Empirical Finance, 2010, 17, (1), 168-175 Downloads View citations (38)
    See also Working Paper

2009

  1. Central bank FOREX interventions assessed using realized moments
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (1), 112-127 Downloads View citations (13)
    See also Working Paper (2004)
  2. Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (1), 94-111 Downloads View citations (9)
    See also Working Paper

2007

  1. Central bank intervention and exchange rate volatility, its continuous and jump components
    International Journal of Finance & Economics, 2007, 12, (2), 201-223 Downloads View citations (19)
    See also Working Paper (2007)
  2. The Impact of Central Bank FX Interventions on Currency Components
    Journal of Financial Econometrics, 2007, 5, (1), 154-183 Downloads View citations (7)
    See also Working Paper (2007)
  3. The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
    Journal of Futures Markets, 2007, 27, (4), 337-359 Downloads View citations (7)

2006

  1. Multivariate GARCH models: a survey
    Journal of Applied Econometrics, 2006, 21, (1), 79-109 Downloads View citations (590)
    See also Working Paper (2003)

2005

  1. A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
    Journal of Business & Economic Statistics, 2005, 23, 346-354 Downloads View citations (60)
    See also Working Paper
  2. Bridging the gap between Ox and Gauss using OxGauss
    Journal of Applied Econometrics, 2005, 20, (1), 131-139 Downloads View citations (1)
    See also Working Paper (2004)

2004

  1. Analytical Derivates of the APARCH Model
    Computational Economics, 2004, 24, (1), 51-57 Downloads View citations (11)
  2. Modelling daily Value-at-Risk using realized volatility and ARCH type models
    Journal of Empirical Finance, 2004, 11, (3), 379-398 Downloads View citations (138)
    See also Working Paper (2002)

2003

  1. Central bank interventions and jumps in double long memory models of daily exchange rates
    Journal of Empirical Finance, 2003, 10, (5), 641-660 Downloads View citations (43)
    See also Working Paper (2003)
  2. Market risk in commodity markets: a VaR approach
    Energy Economics, 2003, 25, (5), 435-457 Downloads View citations (80)
    See also Working Paper (2003)
  3. Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis
    European Economic Review, 2003, 47, (5), 891-911 Downloads View citations (39)
    See also Working Paper (2003)
  4. Value-at-risk for long and short trading positions
    Journal of Applied Econometrics, 2003, 18, (6), 641-663 Downloads View citations (130)
    See also Working Paper (2001)

2002

  1. Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates
    Applied Financial Economics, 2002, 12, (8), 589-600 Downloads View citations (18)
    See also Working Paper (2002)
  2. G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models
    Journal of Economic Surveys, 2002, 16, (3), 447-85 Downloads View citations (47)

2001

  1. Capital humain, emploi et salaire en Belgique et dans ses régions
    Reflets et perspectives de la vie économique, 2001, XL, (1), 25-36 Downloads View citations (4)
  2. L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar
    Revue Économique, 2001, 52, (2), 353-370 Downloads View citations (4)
    Also in Revue économique, 2001, 52, (2), 353-370 (2001) Downloads View citations (3)
  3. Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data
    Journal of Policy Modeling, 2001, 23, (7), 713-729 Downloads View citations (2)

2000

  1. L'absentéisme dans une institution hospitalière: les facteurs déterminants
    Brussels Economic Review, 2000, 166, 131-170 Downloads
  2. La persistance des chocs de volatilité sur le marché des changes s'est-elle modifée depuis le debut des annees 1980 ?
    Revue Économique, 2000, 51, (3), 703-711 Downloads

1999

  1. Capital humain, emploi et revenus du travail: Belgique, 1992
    Brussels Economic Review, 1999, 161, 77-103 Downloads View citations (2)

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