Details about Sébastien Laurent

Homepage:	http://www.slaurent.net
Postal address:	AMSE 424 Chemin du Viaduc 13080 Aix-en-Provence France
Workplace:	École d'Économie d'Aix-Marseille (Aix-Marseille School of Economics (AMSE)), Aix-Marseille Université (Aix-Marseille University), (more information at EDIRC)

Access statistics for papers by Sébastien Laurent.

Last updated 2024-02-06. Update your information in the RePEc Author Service.

Short-id: pla169

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Working Papers

2024

1. Treatment-effect estimation in high dimension: An inference-based approach
   French Stata Users' Group Meetings 2024, Stata Users Group

2023

2. Quasi score-driven models
   Post-Print, HAL View citations (10)
   See also Journal Article Quasi score-driven models, Journal of Econometrics, Elsevier (2023) View citations (10) (2023)
3. We modeled long memory with just one lag!
   Post-Print, HAL View citations (3)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2022)
   See also Journal Article We modeled long memory with just one lag!, Journal of Econometrics, Elsevier (2023) View citations (2) (2023)

2022

4. Unit Root Test with High-Frequency Data
   Post-Print, HAL View citations (2)
   See also Journal Article UNIT ROOT TEST WITH HIGH-FREQUENCY DATA, Econometric Theory, Cambridge University Press (2022) View citations (6) (2022)

2021

5. Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
   Also in Post-Print, HAL (2021)
   See also Chapter Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs, Dynamic Modeling and Econometrics in Economics and Finance, Springer (2021) (2021)

2020

6. A New Class of Robust Observation-Driven Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
7. Jumps et modèles de type GARCH (Chapitre 3)
   Post-Print, HAL
8. Volatility estimation and jump detection for drift–diffusion processes
   Post-Print, HAL View citations (7)
   Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2018)
   Working Papers, HAL (2018)
   See also Journal Article Volatility estimation and jump detection for drift–diffusion processes, Journal of Econometrics, Elsevier (2020) View citations (9) (2020)

2018

9. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
   Working Papers, HAL View citations (14)
   Also in MPRA Paper, University Library of Munich, Germany (2018) View citations (14)
   AMSE Working Papers, Aix-Marseille School of Economics, France (2018) View citations (14)
   Post-Print, HAL (2018) View citations (14)
   See also Journal Article Asymptotics of Cholesky GARCH models and time-varying conditional betas, Journal of Econometrics, Elsevier (2018) View citations (15) (2018)
10. Generating Univariate Fractional Integration within a Large VAR(1)
    Working Papers, HAL View citations (6)
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2018) View citations (8)
    Post-Print, HAL (2018) View citations (6)
    See also Journal Article Generating univariate fractional integration within a large VAR(1), Journal of Econometrics, Elsevier (2018) View citations (7) (2018)

2017

11. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
    Post-Print, HAL View citations (20)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (3)
    See also Journal Article Positive semidefinite integrated covariance estimation, factorizations and asynchronicity, Journal of Econometrics, Elsevier (2017) View citations (21) (2017)
12. Risk Measure Inference
    Post-Print, HAL View citations (7)
    Also in Working Papers, HAL (2015) View citations (6)
    See also Journal Article Risk Measure Inference, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (9) (2017)
13. Weak Diffusion Limits of Dynamic Conditional Correlation Models
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (5)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (1)
    Post-Print, HAL (2017) View citations (5)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (5)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2016)
    See also Journal Article WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS, Econometric Theory, Cambridge University Press (2017) View citations (5) (2017)

2016

14. Do We Need High Frequency Data to Forecast Variances?
    Post-Print, HAL View citations (5)
    See also Journal Article Do We Need High Frequency Data to Forecast Variances?, Annals of Economics and Statistics, GENES (2016) View citations (2) (2016)
15. Introduction to the special issue on recent developments in Financial Econometrics
    Post-Print, HAL
16. On the Univariate Representation of BEKK Models with Common Factors
    Post-Print, HAL View citations (6)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012) View citations (4)
    See also Journal Article On the Univariate Representation of BEKK Models with Common Factors, Journal of Time Series Econometrics, De Gruyter (2016) View citations (8) (2016)
17. Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
    Post-Print, HAL View citations (37)
    See also Journal Article Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach, Computational Statistics & Data Analysis, Elsevier (2016) View citations (45) (2016)

2015

18. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
    Working Papers, HAL View citations (2)
    Also in Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) View citations (2)
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2015) View citations (2)
19. Which continuous-time model is most appropriate for exchange rates?
    Post-Print, HAL View citations (3)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2013) View citations (1)
    See also Journal Article Which continuous-time model is most appropriate for exchange rates?, Journal of Banking & Finance, Elsevier (2015) View citations (3) (2015)

2014

20. Do We Need Ultra-High Frequency Data to Forecast Variances?
    Working Papers, HAL
21. Estimating and forecasting ARCH models using G@RCH 6
    Post-Print, HAL

2012

22. Econometric modeling of exchange rate volatility and jumps
    Working Papers, Federal Reserve Bank of St. Louis View citations (17)
    See also Chapter Econometric modeling of exchange rate volatility and jumps, Chapters, Edward Elgar Publishing (2013) (2013)
23. Testing conditional asymmetry. A residual based approach
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
    Also in LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2012) View citations (7)
    See also Journal Article Testing conditional asymmetry: A residual-based approach, Journal of Economic Dynamics and Control, Elsevier (2012) View citations (8) (2012)
24. Volatility Models
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (6)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (1)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (21)
25. Volatility forecasts evaluation and comparison
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)

2011

26. Common intraday periodicity
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (11)
    See also Journal Article Common Intraday Periodicity, Journal of Financial Econometrics, Oxford University Press (2011) View citations (5) (2011)
27. Jumps, cojumps and macro announcements
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (139)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (9)
    See also Journal Article Jumps, cojumps and macro announcements, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (192) (2011)
28. 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) View citations (1)
29. Outlyingness weighted covariation
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (21)
    See also Journal Article Outlyingness Weighted Covariation, Journal of Financial Econometrics, Oxford University Press (2011) View citations (29) (2011)

2010

30. On the Forecasting Accuracy of Multivariate GARCH Models
    Cahiers de recherche, CIRPEE View citations (10)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) View citations (22)
    See also Journal Article On the forecasting accuracy of multivariate GARCH models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (122) (2012)
31. Trading activity, realized volatility and jumps
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (90)
    See also Journal Article Trading activity, realized volatility and jumps, Journal of Empirical Finance, Elsevier (2010) View citations (98) (2010)

2009

32. Central bank FOREX interventions assessed using realized moments
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (16)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) View citations (7)
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2003) View citations (1)
    See also Journal Article Central bank FOREX interventions assessed using realized moments, Journal of International Financial Markets, Institutions and Money, Elsevier (2009) View citations (17) (2009)
33. Consistent ranking of multivariate volatility models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
34. Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
    See also Journal Article 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, Elsevier (2009) View citations (14) (2009)
35. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
    Cahiers de recherche, CIRPEE View citations (22)
    Also in CIRANO Working Papers, CIRANO (2009) View citations (13)
    See also Journal Article On loss functions and ranking forecasting performances of multivariate volatility models, Journal of Econometrics, Elsevier (2013) View citations (103) (2013)

2008

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

2007

37. Central Bank intervention and exchange rate volatility: its continuous and jump components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (51)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (52)
    See also Journal Article Central bank intervention and exchange rate volatility, its continuous and jump components, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2007) View citations (45) (2007)
38. Central bank intervention in the foreign exchange markets assessed using realized moments
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
39. The impact of Central Bank FX interventions on currency components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006)
    See also Journal Article The Impact of Central Bank FX Interventions on Currency Components, Journal of Financial Econometrics, Oxford University Press (2007) View citations (12) (2007)

2006

40. Multivariate GARCH models: a survey
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (965)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (66)
    See also Journal Article Multivariate GARCH models: a survey, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (244) (2006)

2005

41. A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (129)
    See also Journal Article A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (134) (2005)

2004

42. Bridging the gap between Ox and Gauss using OxGauss
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (2)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004)
    See also Journal Article Bridging the gap between Ox and Gauss using OxGauss, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (1) (2005)
43. Have sequential interventions of Central Banks in foreign exchange been effective ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
44. Minimal manipulability: anonymity and surjectivity
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (1)
45. Modelling daily Value-at-Risk using realized volatility and ARCH type models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (182)
    Also in Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations (1)
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2001) View citations (6)
    See also Journal Article Modelling daily Value-at-Risk using realized volatility and ARCH type models, Journal of Empirical Finance, Elsevier (2004) View citations (226) (2004)

2003

46. Central Bank interventions and jumps in double long memory models of daily exchange rates
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (52)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (49)
    See also Journal Article Central bank interventions and jumps in double long memory models of daily exchange rates, Journal of Empirical Finance, Elsevier (2003) View citations (53) (2003)
47. Market risk in commodity markets: a VaR approach
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (125)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (144)
    See also Journal Article Market risk in commodity markets: a VaR approach, Energy Economics, Elsevier (2003) View citations (139) (2003)
48. Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (40)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2003) View citations (62)
    See also Journal Article Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis, European Economic Review, Elsevier (2003) View citations (64) (2003)
49. Value-at-Risk for long and short trading positions
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (154)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001) View citations (3)
    See also Journal Article Value-at-risk for long and short trading positions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2003) View citations (205) (2003)

2002

50. A New Class of Multivariate skew Densities, with Application to GARCH Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (42)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2002) View citations (33)
51. 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 (29)
    See also Journal Article Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates, Applied Financial Economics, Taylor & Francis Journals (2002) View citations (31) (2002)
52. Multivariate GARCH models and their Estimation
    Computing in Economics and Finance 2002, Society for Computational Economics

2001

53. G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (38)
54. Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (6)
55. 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]
    Post-Print, HAL

2000

56. 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)
57. Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne
58. L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne
    See also Journal Article L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar, Revue Économique, Programme National Persée (2001) View citations (10) (2001)
59. Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (24)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2000) View citations (22)

Journal Articles

2024

1. Autoregressive conditional betas
   Journal of Econometrics, 2024, 238, (2)

2023

2. Quasi score-driven models
   Journal of Econometrics, 2023, 234, (1), 251-275 View citations (10)
   See also Working Paper Quasi score-driven models, Post-Print (2023) View citations (10) (2023)
3. We modeled long memory with just one lag!
   Journal of Econometrics, 2023, 236, (1) View citations (2)
   See also Working Paper We modeled long memory with just one lag!, Post-Print (2023) View citations (3) (2023)

2022

4. UNIT ROOT TEST WITH HIGH-FREQUENCY DATA
   Econometric Theory, 2022, 38, (1), 113-171 View citations (6)
   See also Working Paper Unit Root Test with High-Frequency Data, Post-Print (2022) View citations (2) (2022)

2020

5. Volatility estimation and jump detection for drift–diffusion processes
   Journal of Econometrics, 2020, 217, (2), 259-290 View citations (9)
   See also Working Paper Volatility estimation and jump detection for drift–diffusion processes, Post-Print (2020) View citations (7) (2020)

2018

6. Asymptotics of Cholesky GARCH models and time-varying conditional betas
   Journal of Econometrics, 2018, 204, (2), 223-247 View citations (15)
   See also Working Paper Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas, Working Papers (2018) View citations (14) (2018)
7. Generating univariate fractional integration within a large VAR(1)
   Journal of Econometrics, 2018, 204, (1), 54-65 View citations (7)
   See also Working Paper Generating Univariate Fractional Integration within a Large VAR(1), Working Papers (2018) View citations (6) (2018)

2017

8. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
   Journal of Econometrics, 2017, 196, (2), 347-367 View citations (21)
   See also Working Paper Positive semidefinite integrated covariance estimation, factorizations and asynchronicity, Post-Print (2017) View citations (20) (2017)
9. Risk Measure Inference
   Journal of Business & Economic Statistics, 2017, 35, (4), 499-512 View citations (9)
   See also Working Paper Risk Measure Inference, Post-Print (2017) View citations (7) (2017)
10. WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
    Econometric Theory, 2017, 33, (3), 691-716 View citations (5)
    See also Working Paper Weak Diffusion Limits of Dynamic Conditional Correlation Models, LIDAM Reprints ISBA (2017) View citations (5) (2017)

2016

11. Do We Need High Frequency Data to Forecast Variances?
    Annals of Economics and Statistics, 2016, (123-124), 135-174 View citations (2)
    See also Working Paper Do We Need High Frequency Data to Forecast Variances?, Post-Print (2016) View citations (5) (2016)
12. Introduction
    Annals of Economics and Statistics, 2016, (123-124), 7-8
13. On the Univariate Representation of BEKK Models with Common Factors
    Journal of Time Series Econometrics, 2016, 8, (2), 91-113 View citations (8)
    See also Working Paper On the Univariate Representation of BEKK Models with Common Factors, Post-Print (2016) View citations (6) (2016)
14. Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach
    Computational Statistics & Data Analysis, 2016, 100, (C), 383-400 View citations (45)
    See also Working Paper Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach, Post-Print (2016) View citations (37) (2016)

2015

15. Which continuous-time model is most appropriate for exchange rates?
    Journal of Banking & Finance, 2015, 61, (S2), S256-S268 View citations (3)
    See also Working Paper Which continuous-time model is most appropriate for exchange rates?, Post-Print (2015) View citations (3) (2015)

2013

16. On loss functions and ranking forecasting performances of multivariate volatility models
    Journal of Econometrics, 2013, 173, (1), 1-10 View citations (103)
    See also Working Paper On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models, Cahiers de recherche (2009) View citations (22) (2009)
17. Robust forecasting of dynamic conditional correlation GARCH models
    International Journal of Forecasting, 2013, 29, (2), 244-257 View citations (47)

2012

18. Do jumps mislead the FX market?
    Quantitative Finance, 2012, 12, (10), 1521-1532 View citations (4)
19. On the forecasting accuracy of multivariate GARCH models
    Journal of Applied Econometrics, 2012, 27, (6), 934-955 View citations (122)
    See also Working Paper On the Forecasting Accuracy of Multivariate GARCH Models, Cahiers de recherche (2010) View citations (10) (2010)
20. Testing conditional asymmetry: A residual-based approach
    Journal of Economic Dynamics and Control, 2012, 36, (8), 1229-1247 View citations (8)
    See also Working Paper Testing conditional asymmetry. A residual based approach, ULB Institutional Repository (2012) View citations (7) (2012)

2011

21. Common Intraday Periodicity
    Journal of Financial Econometrics, 2011, 10, (2), 325-353 View citations (5)
    See also Working Paper Common intraday periodicity, Research Memorandum (2011) View citations (11) (2011)
22. Jumps, cojumps and macro announcements
    Journal of Applied Econometrics, 2011, 26, (6), 893-921 View citations (192)
    See also Working Paper Jumps, cojumps and macro announcements, LIDAM Reprints CORE (2011) View citations (139) (2011)
23. Outlyingness Weighted Covariation
    Journal of Financial Econometrics, 2011, 9, (4), 657-684 View citations (29)
    See also Working Paper Outlyingness weighted covariation, LIDAM Reprints CORE (2011) View citations (21) (2011)
24. Robust estimation of intraweek periodicity in volatility and jump detection
    Journal of Empirical Finance, 2011, 18, (2), 353-367 View citations (101)

2010

25. Trading activity, realized volatility and jumps
    Journal of Empirical Finance, 2010, 17, (1), 168-175 View citations (98)
    See also Working Paper Trading activity, realized volatility and jumps, LIDAM Reprints CORE (2010) View citations (90) (2010)

2009

26. Central bank FOREX interventions assessed using realized moments
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (1), 112-127 View citations (17)
    See also Working Paper Central bank FOREX interventions assessed using realized moments, LIDAM Reprints CORE (2009) View citations (16) (2009)
27. 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 View citations (14)
    See also Working Paper Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan, LIDAM Reprints CORE (2009) View citations (7) (2009)

2007

28. Central bank intervention and exchange rate volatility, its continuous and jump components
    International Journal of Finance & Economics, 2007, 12, (2), 201-223 View citations (45)
    See also Working Paper Central Bank intervention and exchange rate volatility: its continuous and jump components, ULB Institutional Repository (2007) View citations (51) (2007)
29. The Impact of Central Bank FX Interventions on Currency Components
    Journal of Financial Econometrics, 2007, 5, (1), 154-183 View citations (12)
    See also Working Paper The impact of Central Bank FX interventions on currency components, ULB Institutional Repository (2007) View citations (12) (2007)
30. 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 View citations (41)

2006

31. Multivariate GARCH models: a survey
    Journal of Applied Econometrics, 2006, 21, (1), 79-109 View citations (244)
    Also in Journal of Applied Econometrics, 2006, 21, (1), 79-109 (2006) View citations (1094)
    See also Working Paper Multivariate GARCH models: a survey, LIDAM Reprints CORE (2006) View citations (965) (2006)

2005

32. A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
    Journal of Business & Economic Statistics, 2005, 23, 346-354 View citations (134)
    See also Working Paper A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models, LIDAM Reprints CORE (2005) View citations (129) (2005)
33. Bridging the gap between Ox and Gauss using OxGauss
    Journal of Applied Econometrics, 2005, 20, (1), 131-139 View citations (1)
    Also in Journal of Applied Econometrics, 2005, 20, (1), 131-139 (2005)
    See also Working Paper Bridging the gap between Ox and Gauss using OxGauss, Research Memorandum (2004) View citations (2) (2004)

2004

34. Analytical Derivates of the APARCH Model
    Computational Economics, 2004, 24, (1), 51-57 View citations (15)
35. Modelling daily Value-at-Risk using realized volatility and ARCH type models
    Journal of Empirical Finance, 2004, 11, (3), 379-398 View citations (226)
    See also Working Paper Modelling daily Value-at-Risk using realized volatility and ARCH type models, LIDAM Reprints CORE (2004) View citations (182) (2004)

2003

36. Central bank interventions and jumps in double long memory models of daily exchange rates
    Journal of Empirical Finance, 2003, 10, (5), 641-660 View citations (53)
    See also Working Paper Central Bank interventions and jumps in double long memory models of daily exchange rates, ULB Institutional Repository (2003) View citations (52) (2003)
37. Market risk in commodity markets: a VaR approach
    Energy Economics, 2003, 25, (5), 435-457 View citations (139)
    See also Working Paper Market risk in commodity markets: a VaR approach, LIDAM Reprints CORE (2003) View citations (125) (2003)
38. Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis
    European Economic Review, 2003, 47, (5), 891-911 View citations (64)
    See also Working Paper Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis, LIDAM Reprints CORE (2003) View citations (40) (2003)
39. Value-at-risk for long and short trading positions
    Journal of Applied Econometrics, 2003, 18, (6), 641-663 View citations (205)
    See also Working Paper Value-at-Risk for long and short trading positions, LIDAM Reprints CORE (2003) View citations (154) (2003)

2002

40. Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates
    Applied Financial Economics, 2002, 12, (8), 589-600 View citations (31)
    See also Working Paper Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates, ULB Institutional Repository (2002) View citations (29) (2002)
41. G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models
    Journal of Economic Surveys, 2002, 16, (3), 447-484 View citations (4)

2001

42. Capital humain, emploi et salaire en Belgique et dans ses régions
    Reflets et perspectives de la vie économique, 2001, XL, (1), 25-36 View citations (4)
43. 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 View citations (10)
    Also in Revue économique, 2001, 52, (2), 353-370 (2001) View citations (6)
    See also Working Paper L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar, Documents de recherche (2000) (2000)
44. Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data
    Journal of Policy Modeling, 2001, 23, (7), 713-729 View citations (2)

2000

45. L'absentéisme dans une institution hospitalière: les facteurs déterminants
    Brussels Economic Review, 2000, 166, 131-170
46. 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 View citations (1)

1999

47. Capital humain, emploi et revenus du travail: Belgique, 1992
    Brussels Economic Review, 1999, 161, 77-103 View citations (5)

Chapters

2021

1. Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs
   Springer
   See also Working Paper Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs, Université catholique de Louvain, Louvain Finance (LFIN) (2021) (2021)

2013

2. Econometric modeling of exchange rate volatility and jumps
   Chapter 16 in Handbook of Research Methods and Applications in Empirical Finance, 2013, pp 373-427
   See also Working Paper Econometric modeling of exchange rate volatility and jumps, Federal Reserve Bank of St. Louis (2012) View citations (17) (2012)