Volgen
Sébastien Laurent
Sébastien Laurent
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Multivariate GARCH models: a survey
L Bauwens, S Laurent, JVK Rombouts
Journal of applied econometrics 21 (1), 79-109, 2006
27112006
Modelling daily value-at-risk using realized volatility and ARCH type models
P Giot, S Laurent
Journal of empirical finance 11 (3), 379-398, 2004
6012004
Value‐at‐risk for long and short trading positions
P Giot, S Laurent
Journal of Applied Econometrics 18 (6), 641-663, 2003
5452003
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
L Bauwens, S Laurent
Journal of Business & Economic Statistics 23 (3), 346-354, 2005
4222005
Market risk in commodity markets: a VaR approach
P Giot, S Laurent
Energy Economics 25 (5), 435-457, 2003
3792003
Jumps, cojumps and macro announcements
J Lahaye, S Laurent, CJ Neely
Journal of Applied Econometrics 26 (6), 893-921, 2011
3442011
Modelling financial time series using GARCH-type models with a skewed student distribution for the innovations
P Lambert, S Laurent
3402001
Handbook of volatility models and their applications
L Bauwens, CM Hafner, S Laurent
John Wiley & Sons, 2012
248*2012
On the forecasting accuracy of multivariate GARCH models
S Laurent, JVK Rombouts, F Violante
Journal of Applied Econometrics 27 (6), 934-955, 2012
2242012
Trading activity, realized volatility and jumps
P Giot, S Laurent, M Petitjean
Journal of Empirical Finance 17 (1), 168-175, 2010
2142010
Robust estimation of intraweek periodicity in volatility and jump detection
K Boudt, C Croux, S Laurent
Journal of Empirical Finance 18 (2), 353-367, 2011
1972011
G@ RCH 2.2: an Ox package for estimating and forecasting various ARCH models
S Laurent, JP Peters
Journal of Economic surveys 16 (3), 447-484, 2002
1932002
Estimating and forecasting ARCH models using G@ RCH 6
S Laurent
HAL Post-Print, 2014
1782014
On loss functions and ranking forecasting performances of multivariate volatility models
S Laurent, JVK Rombouts, F Violante
Journal of Econometrics 173 (1), 1-10, 2013
1442013
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates
M Beine, S Laurent, C Lecourt
Applied Financial Economics 12 (8), 589-600, 2002
1362002
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis
M Beine, S Laurent, C Lecourt
European Economic Review 47 (5), 891-911, 2003
1342003
Central bank intervention and exchange rate volatility, its continuous and jump components
M Beine, J Lahaye, S Laurent, CJ Neely, FC Palm
International journal of finance & economics 12 (2), 201-223, 2007
1122007
Robust forecasting of dynamic conditional correlation GARCH models
K Boudt, J Danielsson, S Laurent
International Journal of Forecasting 29 (2), 244-257, 2013
1112013
Modelling skewness dynamics in series of financial data
P Lambert, S Laurent
Institut de Statistique, 2000
1092000
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
P Giot, S Laurent
Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2007
1082007
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Artikelen 1–20