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 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pla169

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Working Papers

2022

1. Unit Root Test with High-Frequency Data
   Post-Print, HAL View citations (2)
   See also Journal Article in Econometric Theory (2022)
2. We modeled long memory with just one lag!
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2021

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

2020

4. A New Class of Robust Observation-Driven Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
5. Jumps et modèles de type GARCH (Chapitre 3)
   Post-Print, HAL
6. Volatility estimation and jump detection for drift–diffusion processes
   Post-Print, HAL View citations (5)
   Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2018)
   Working Papers, HAL (2018)
   See also Journal Article in Journal of Econometrics (2020)

2018

7. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
   Working Papers, HAL View citations (10)
   Also in Post-Print, HAL (2018) View citations (10)
   AMSE Working Papers, Aix-Marseille School of Economics, France (2018) View citations (9)
   MPRA Paper, University Library of Munich, Germany (2018) View citations (9)
   See also Journal Article in Journal of Econometrics (2018)
8. 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 (6)
   Post-Print, HAL (2018) View citations (6)
   See also Journal Article in Journal of Econometrics (2018)

2017

9. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
   Post-Print, HAL View citations (13)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) View citations (3)
   See also Journal Article in Journal of Econometrics (2017)
10. Risk Measure Inference
    Post-Print, HAL View citations (7)
    Also in Working Papers, HAL (2015) View citations (6)
    See also Journal Article in Journal of Business & Economic Statistics (2017)
11. Weak Diffusion Limits of Dynamic Conditional Correlation Models
    Post-Print, HAL View citations (4)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2017) View citations (3)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2016) View citations (1)
    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)
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2017) View citations (3)
    See also Journal Article in Econometric Theory (2017)

2016

12. Do We Need High Frequency Data to Forecast Variances?
    Post-Print, HAL View citations (5)
    See also Journal Article in Annals of Economics and Statistics (2016)
13. Introduction to the special issue on recent developments in Financial Econometrics
    Post-Print, HAL
14. 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 in Journal of Time Series Econometrics (2016)
15. Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach
    Post-Print, HAL View citations (36)
    See also Journal Article in Computational Statistics & Data Analysis (2016)

2015

16. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School View citations (2)
    Also in Working Papers, HAL (2015) View citations (2)
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) View citations (2)
17. 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 in Journal of Banking & Finance (2015)

2014

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

2012

20. Econometric modeling of exchange rate volatility and jumps
    Working Papers, Federal Reserve Bank of St. Louis View citations (14)
    See also Chapter (2013)
21. 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 in Journal of Economic Dynamics and Control (2012)
22. 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 CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (21)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (1)
23. Volatility forecasts evaluation and comparison
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)

2011

24. Common intraday periodicity
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (11)
    See also Journal Article in The Journal of Financial Econometrics (2011)
25. Jumps, cojumps and macro announcements
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (123)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (9)
    See also Journal Article in Journal of Applied Econometrics (2011)
26. 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)
27. Outlyingness weighted covariation
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (16)
    See also Journal Article in The Journal of Financial Econometrics (2011)

2010

28. On the Forecasting Accuracy of Multivariate GARCH Models
    Cahiers de recherche, CIRPEE View citations (8)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010) View citations (20)
    See also Journal Article in Journal of Applied Econometrics (2012)
29. Trading activity, realized volatility and jumps
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (80)
    See also Journal Article in Journal of Empirical Finance (2010)

2009

30. 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 in Journal of International Financial Markets, Institutions and Money (2009)
31. Consistent ranking of multivariate volatility models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
32. 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 in Journal of International Financial Markets, Institutions and Money (2009)
33. On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models
    CIRANO Working Papers, CIRANO View citations (12)
    Also in Cahiers de recherche, CIRPEE (2009) View citations (21)
    See also Journal Article in Journal of Econometrics (2013)

2008

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

2007

35. Central Bank intervention and exchange rate volatility: its continuous and jump components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (49)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (51)
    See also Journal Article in International Journal of Finance & Economics (2007)
36. Central bank intervention in the foreign exchange markets assessed using realized moments
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
37. The impact of Central Bank FX interventions on currency components
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006)
    See also Journal Article in The Journal of Financial Econometrics (2007)

2006

38. Multivariate GARCH models: a survey
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (877)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (65)
    See also Journal Article in Journal of Applied Econometrics (2006)

2005

39. 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 (122)
    See also Journal Article in Journal of Business & Economic Statistics (2005)

2004

40. 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 in Journal of Applied Econometrics (2005)
41. Have sequential interventions of Central Banks in foreign exchange been effective ?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (3)
42. Minimal manipulability: anonymity and surjectivity
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (1)
43. 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 (175)
    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 in Journal of Empirical Finance (2004)

2003

44. 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 in Journal of Empirical Finance (2003)
45. Market risk in commodity markets: a VaR approach
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (113)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (132)
    See also Journal Article in Energy Economics (2003)
46. 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 (39)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2003) View citations (56)
    See also Journal Article in European Economic Review (2003)
47. 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 (148)
    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 in Journal of Applied Econometrics (2003)

2002

48. 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)
49. 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)
50. Multivariate GARCH models and their Estimation
    Computing in Economics and Finance 2002, Society for Computational Economics

2001

51. 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 (37)
52. 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)
53. 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

54. 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)
55. 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
56. 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 in Revue Économique (2001)
57. 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

2022

1. UNIT ROOT TEST WITH HIGH-FREQUENCY DATA
   Econometric Theory, 2022, 38, (1), 113-171 View citations (2)
   See also Working Paper (2022)

2020

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

2018

3. Asymptotics of Cholesky GARCH models and time-varying conditional betas
   Journal of Econometrics, 2018, 204, (2), 223-247 View citations (10)
   See also Working Paper (2018)
4. Generating univariate fractional integration within a large VAR(1)
   Journal of Econometrics, 2018, 204, (1), 54-65 View citations (7)
   See also Working Paper (2018)

2017

5. Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
   Journal of Econometrics, 2017, 196, (2), 347-367 View citations (13)
   See also Working Paper (2017)
6. Risk Measure Inference
   Journal of Business & Economic Statistics, 2017, 35, (4), 499-512 View citations (8)
   See also Working Paper (2017)
7. WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
   Econometric Theory, 2017, 33, (3), 691-716 View citations (3)
   See also Working Paper (2017)

2016

8. 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 (2016)
9. Introduction
   Annals of Economics and Statistics, 2016, (123-124), 7-8
10. 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 (2016)
11. Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach
    Computational Statistics & Data Analysis, 2016, 100, (C), 383-400 View citations (44)
    See also Working Paper (2016)

2015

12. 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 (2015)

2013

13. On loss functions and ranking forecasting performances of multivariate volatility models
    Journal of Econometrics, 2013, 173, (1), 1-10 View citations (91)
    See also Working Paper (2009)
14. Robust forecasting of dynamic conditional correlation GARCH models
    International Journal of Forecasting, 2013, 29, (2), 244-257 View citations (45)

2012

15. Do jumps mislead the FX market?
    Quantitative Finance, 2012, 12, (10), 1521-1532 View citations (4)
16. On the forecasting accuracy of multivariate GARCH models
    Journal of Applied Econometrics, 2012, 27, (6), 934-955 View citations (105)
    See also Working Paper (2010)
17. 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 (2012)

2011

18. Common Intraday Periodicity
    The Journal of Financial Econometrics, 2011, 10, (2), 325-353 View citations (5)
    See also Working Paper (2011)
19. Jumps, cojumps and macro announcements
    Journal of Applied Econometrics, 2011, 26, (6), 893-921 View citations (176)
    See also Working Paper (2011)
20. Outlyingness Weighted Covariation
    The Journal of Financial Econometrics, 2011, 9, (4), 657-684 View citations (24)
    See also Working Paper (2011)
21. Robust estimation of intraweek periodicity in volatility and jump detection
    Journal of Empirical Finance, 2011, 18, (2), 353-367 View citations (90)

2010

22. Trading activity, realized volatility and jumps
    Journal of Empirical Finance, 2010, 17, (1), 168-175 View citations (97)
    See also Working Paper (2010)

2009

23. 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 (2009)
24. 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 (2009)

2007

25. Central bank intervention and exchange rate volatility, its continuous and jump components
    International Journal of Finance & Economics, 2007, 12, (2), 201-223 View citations (44)
    See also Working Paper (2007)
26. The Impact of Central Bank FX Interventions on Currency Components
    The Journal of Financial Econometrics, 2007, 5, (1), 154-183 View citations (11)
    See also Working Paper (2007)
27. 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 (37)

2006

28. Multivariate GARCH models: a survey
    Journal of Applied Econometrics, 2006, 21, (1), 79-109 View citations (1020)
    Also in Journal of Applied Econometrics, 2006, 21, (1), 79-109 (2006) View citations (155)
    See also Working Paper (2006)

2005

29. 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 (127)
    See also Working Paper (2005)
30. Bridging the gap between Ox and Gauss using OxGauss
    Journal of Applied Econometrics, 2005, 20, (1), 131-139
    Also in Journal of Applied Econometrics, 2005, 20, (1), 131-139 (2005) View citations (1)
    See also Working Paper (2004)

2004

31. Analytical Derivates of the APARCH Model
    Computational Economics, 2004, 24, (1), 51-57 View citations (15)
32. Modelling daily Value-at-Risk using realized volatility and ARCH type models
    Journal of Empirical Finance, 2004, 11, (3), 379-398 View citations (222)
    See also Working Paper (2004)

2003

33. 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 (2003)
34. Market risk in commodity markets: a VaR approach
    Energy Economics, 2003, 25, (5), 435-457 View citations (131)
    See also Working Paper (2003)
35. 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 (2003)
36. Value-at-risk for long and short trading positions
    Journal of Applied Econometrics, 2003, 18, (6), 641-663 View citations (199)
    See also Working Paper (2003)

2002

37. 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 (2)

2001

38. 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)
39. 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 (2000)
40. 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

41. L'absentéisme dans une institution hospitalière: les facteurs déterminants
    Brussels Economic Review, 2000, 166, 131-170
42. 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

43. 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 (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 (2012)