Sébastien Laurent

发表

Modelling financial time series using GARCH-type models with a skewed student distribution for the innovations

Philippe Lambert, Sébastien Laurent, S. Laurent, 2001 .

Volatility forecasts evaluation and comparison: Volatility forecasts evaluation and comparison

Sébastien Laurent, Francesco Violante, Francesco Violante, 2012 .

Do We Need Ultra-High Frequency Data to Forecast Variances?

Christophe Hurlin, Bertrand Candelon, Sébastien Laurent, 2014 .

Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach

Franz C. Palm, Sébastien Laurent, Christelle Lecourt, 2016, Comput. Stat. Data Anal..

UNIT ROOT TEST WITH HIGH-FREQUENCY DATA

Sébastien Laurent, Shuping Shi, 2021 .

Common Intraday Periodicity

Alain Hecq, Franz C. Palm, Sébastien Laurent, 2011 .

Série Scientifique Scientific Series on Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models on Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Jeroen V.K. Rombouts, Sébastien Laurent, Francesco Violante, 2022 .

A New Class of Multivariate Skew Densities, with Application to GARCH Models

Luc Bauwens, Sébastien Laurent, L. Bauwens, 2002 .

Central bank interventions and jumps in double long memory models of daily exchange rates

Michel Beine, Sébastien Laurent, S. Laurent, 2003 .

Modelling daily value-at-risk using realized volatility and arch type models

Pierre Giot, Sébastien Laurent, 2001 .

Central Bank Forex Interventions Assessed Using Realized Moments

Sébastien Laurent, S. Laurent, M. Beine, 2004 .

Analytical Derivates of the APARCH Model

Sébastien Laurent, 2004 .

Central bank FOREX interventions assessed using realized moments

Michel Beine, Franz C. Palm, Sébastien Laurent, 2009 .

Jumps, Cojumps and Macro Announcements

Christopher J. Neely, Sébastien Laurent, S. Laurent, 2009 .

Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates

Michel Beine, Sébastien Laurent, Christelle Lecourt, 2002 .

A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models

Luc Bauwens, Sébastien Laurent, L. Bauwens, 2005 .

Structural change and long memory in volatility: new evidence from daily exchange rates

Michel Beine, Sébastien Laurent, 2000 .

Market risk in commodity markets: a VaR approach

Pierre Giot, Sébastien Laurent, S. Laurent, 2003 .

G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models

Sébastien Laurent, Jean–Philippe Peters, 2001 .

Risk Measure Inference

Stephan Smeekes, Christophe Hurlin, Sébastien Laurent, 2015 .

Econometric Modeling of Exchange Rate Volatility and Jumps

Deniz Erdemlioglu, Christopher J. Neely, Sébastien Laurent, 2012 .