Sébastien Laurent : Citation Profile


Are you Sébastien Laurent?

Aix-Marseille School of Economics (AMSE) (87% share)
Université d'Aix-Marseille AMU (13% share)

18

H index

26

i10 index

1731

Citations

RESEARCH PRODUCTION:

38

Articles

64

Papers

1

Chapters

RESEARCH ACTIVITY:

   37 years (1980 - 2017). See details.
   Cites by year: 46
   Journals where Sébastien Laurent has often published
   Relations with other researchers
   Recent citing documents: 215.    Total self citations: 37 (2.09 %)

EXPERT IN:

   Financial Econometrics

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla169
   Updated: 2017-11-18    RAS profile: 2017-11-12    
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Relations with other researchers


Works with:

Violante, Francesco (5)

Hecq, Alain (5)

Palm, Franz (4)

Neely, Christopher (4)

Chevillon, Guillaume (3)

Erdemlioglu, Deniz (3)

Quaedvlieg, Rogier (3)

Hafner, Christian (3)

Hurlin, Christophe (2)

Veredas, David (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Sébastien Laurent.

Is cited by:

McAleer, Michael (97)

Caporin, Massimiliano (69)

Degiannakis, Stavros (45)

Asai, Manabu (29)

Chang, Chia-Lin (22)

Bauwens, Luc (22)

Rombouts, Jeroen (20)

Dungey, Mardi (19)

Hafner, Christian (19)

Angelidis, Timotheos (19)

Beine, Michel (17)

Cites to:

Bollerslev, Tim (82)

Andersen, Torben (57)

Engle, Robert (41)

Diebold, Francis (40)

Beine, Michel (25)

Neely, Christopher (22)

Palm, Franz (22)

Hansen, Peter (21)

Shephard, Neil (21)

Lunde, Asger (21)

Barndorff-Nielsen, Ole (19)

Main data


Where Sébastien Laurent has published?


Journals with more than one article published# docs
Journal of Empirical Finance4
Journal of Financial Econometrics3
Journal of Applied Econometrics3
Revue conomique2
Journal of Applied Econometrics2
Journal of International Financial Markets, Institutions and Money2
Journal of Econometrics2
Brussels Economic Review2

Working Papers Series with more than one paper published# docs
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles10
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)6
Working Papers / Federal Reserve Bank of St. Louis4
Post-Print / HAL4
Working Papers / HAL3
Computing in Economics and Finance 2002 / Society for Computational Economics3

Recent works citing Sébastien Laurent (2017 and 2016)


YearTitle of citing document
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina . In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2016Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models. (2016). Derek, Arne Andresen . In: The Energy Journal. RePEc:aen:journl:ej37-1-bunn.

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2016PRICE VOLATILITY TRANSMISSION FROM OIL TO ENERGY AND NON-ENERGY AGRICULTURAL COMMODITIES. (2016). Bittencourt, Mauricio ; Lobo, Mauricio Vaz ; Borges, Leonardo Chaves . In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:181.

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2016Toward robust early-warning models: A horse race, ensembles and model uncertainty. (2016). Sarlin, Peter ; Holopainen, Markus . In: Papers. RePEc:arx:papers:1501.04682.

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2016Long memory and multifractality: A joint test. (2016). Onali, Enrico ; Goddard, John . In: Papers. RePEc:arx:papers:1601.00903.

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2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:1601.05199.

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2016Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps. (2016). Ho, Michael ; Xin, Jack . In: Papers. RePEc:arx:papers:1602.02185.

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2017Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489.

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2017Unbiased estimation of risk. (2017). Pitera, Marcin ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1603.02615.

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2016What does past correlation structure tell us about the future? An answer from network filtering. (2016). di Matteo, Tiziana ; Aste, Tomaso . In: Papers. RePEc:arx:papers:1605.08908.

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2016On the usual misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: Papers. RePEc:arx:papers:1606.02045.

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2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Mauad, Roberto ; Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio . In: Working Papers Series. RePEc:bcb:wpaper:415.

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2017Risk assessment of oil price from static and dynamic modelling approaches. (2017). Wei, Yi-Ming ; Mi, Zhifu ; Guan, Dabo ; Cao, Hong ; Yu, Hao ; Cong, Rong-Gang ; Tang, Bao-Jun . In: CEEP-BIT Working Papers. RePEc:biw:wpaper:102.

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2016Time series analysis of volatility in the petroleum pricing markets: the persistence, asymmetry and jumps in the returns series. (2016). YAYA, OLAOLUWA ; Olubusoye, Olusanya. In: OPEC Energy Review. RePEc:bla:opecrv:v:40:y:2016:i:3:p:235-262.

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2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2016Contagion in International Stock and Currency Markets During Recent Crisis Episodes. (2016). Tuteja, Divya ; Dua, Pami. In: Working papers. RePEc:cde:cdewps:258.

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2016Volatility and a Century of Energy Markets Dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Working Papers. RePEc:clg:wpaper:2016-29.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Analysis of the Relationship between Market Volatility and Firms Volatility on the Polish Capital Market. (2016). Wodarczyk, Aneta ; Otola, Iwona . In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:16:y:2016:p:87-116.

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2017Bayesian semiparametric multivariate stochastic volatility with an application to international volatility co-movements. (2017). Wilfling, Bernd ; Trede, Mark ; Zaharieva, Martina Danielova . In: CQE Working Papers. RePEc:cqe:wpaper:6217.

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2016CONNECTIONS BETWEEN SENTIMENT INDICES AND REDUCED VOLATILITIES OF SUSTAINABILITY STOCK MARKET INDICES. (2016). Lupu, Iulia ; Nicolae, Mariana ; Hurduzeu, Gheorghe . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:1:p:157-174.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Lütkepohl, Helmut ; Schlaak, Thore ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2017On the Co-movements among East Asian Foreign Exchange Markets: A Multivariate FIAPARCH-DCC approach. (2017). el Abed, Riadh . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00370.

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2017Risk parity in the brazilian market. (2017). de Souza, Pierre O ; Righi, Marcelo B ; Borenstein, Denis ; Caldeira, Joo F ; Filomena, Tiago P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00061.

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2016Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia. (2016). Haque, Mohammad Imdadul ; Afsal, E M. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-03-27.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

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2016On conditional covariance modelling: An approach using state space models. (2016). Hendrych, R ; Cipra, T. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:304-317.

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2016Matrix exponential stochastic volatility with cross leverage. (2016). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350.

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2016Semiparametric score driven volatility models. (2016). Lucas, Andre ; Blasques, Francisco ; Ji, Jiangyu . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:58-69.

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2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

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2016A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection. (2016). Galeano, Pedro ; Virbickait, Audron ; Ausin, Concepcion M. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:814-829.

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2016Forecasting VaR and ES using dynamic conditional score models and skew Student distribution. (2016). Gao, Chun-Ting ; Zhou, Xiao-Hua . In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:216-223.

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2016Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). Charfeddine, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374.

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2016Jumps in equilibrium prices and asymmetric news in foreign exchange markets. (2016). El Ouadghiri, Imane ; Uctum, Remzi . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:218-234.

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2016How is Chinas coke price related with the world oil price? The role of extreme movements. (2016). Wu, Yanrui ; Guo, Yanfeng ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:22-33.

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2016Financial crises and dynamic linkages across international stock and currency markets. (2016). Tuteja, Divya ; Dua, Pami. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:249-261.

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2016On oil-US exchange rate volatility relationships: An intraday analysis. (2016). JAWADI, Fredj ; Louhichi, Wael ; ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:329-334.

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2017Can energy commodity futures add to the value of carbon assets?. (2017). Roubaud, David ; Bouri, Elie ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:194-206.

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2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests. (2017). Jiang, Yonghong ; Monginsidi, Joe Yohanes ; Nie, HE. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:384-398.

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2017Do precious metal prices help in forecasting South African inflation?. (2017). Katzke, Nico ; GUPTA, RANGAN ; Balcilar, Mehmet. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:63-72.

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2016Testing for deterministic seasonality in mixed-frequency VARs. (2016). Hecq, Alain ; del Barrio Castro, Tomás. In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:20-24.

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2016Inference in VARs with conditional heteroskedasticity of unknown form. (2016). Trenkler, Carsten ; Jentsch, Carsten ; Bruggemann, Ralf . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:69-85.

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2016Modeling covariance breakdowns in multivariate GARCH. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:1-23.

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2017Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:55-67.

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2017Learning can generate long memory. (2017). Chevillon, Guillaume ; Mavroeidis, Sophocles . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:1-9.

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2017Generalized dynamic factor models and volatilities: estimation and forecasting. (2017). Hallin, Marc ; Barigozzi, Matteo . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:307-321.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro . In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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2017Frontier and emerging government bond markets. (2017). Swinkels, Laurens ; Piljak, Vanja. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:232-255.

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2016Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

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2016Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective. (2016). Bee, Marco ; Trapin, Luca ; Dupuis, Debbie J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:86-99.

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2016The benefits of improved covariance estimation. (2016). Turtle, H J ; Wang, Kainan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:233-246.

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2016Monitoring multivariate variance changes. (2016). Galeano, Pedro ; Wied, Dominik ; Pape, Katharina . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:54-68.

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2017Time-varying continuous and jump betas: The role of firm characteristics and periods of stress. (2017). Yao, Wenying ; Dungey, Mardi ; Alexeev, Vitali. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19.

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2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

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2017Systematic cojumps, market component portfolios and scheduled macroeconomic announcements. (2017). Chan, Kam Fong ; Neely, Christopher J ; Bowman, Robert G. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:43-58.

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2016Volatility linkages between energy and agricultural commodity prices. (2016). Schulz, Franziska ; López Cabrera, Brenda. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:190-203.

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2016Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. (2016). Basher, Syed ; Sadorsky, Perry. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:235-247.

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2016Volatility and a century of energy markets dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Energy Economics. RePEc:eee:eneeco:v:55:y:2016:i:c:p:1-9.

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2016Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010. (2016). Bouri, Elie ; Maghyereh, Aktham ; Awartani, Basel . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:205-214.

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2016What the investors need to know about forecasting oil futures return volatility. (2016). Wang, Yudong ; Wu, Chongfeng ; Ma, Feng ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:128-139.

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2016Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis. (2016). Hasanov, Akram Shavkatovich ; Shaiban, Mohammed Sharaf ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:16-27.

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2017Oil prices and stock markets: Does the effect of uncertainty change over time?. (2017). Park, Sung Y. ; Joo, Young C. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:42-51.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon . In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model. (2017). Herrera, Rodrigo ; Pino, Gabriel ; Rodriguez, Alejandro . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:129-143.

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2017Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:523-534.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Charles, Amelie ; Darne, Olivier . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

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2016Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis. (2016). Karanasos, Menelaos ; Karoglou, Michail ; Yfanti, Stavroula . In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:332-349.

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2016Stock market risk in the financial crisis. (2016). Grout, Paul ; Zalewska, Anna . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:326-345.

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2016Sand in the wheels or wheels in the sand? Tobin taxes and market crashes. (2016). Lichard, Tomas ; Novotn, J ; Lavika, H. In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:328-342.

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2016Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

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2016On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:7-14.

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2017Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries. (2017). Bouri, Elie ; Pavlova, Ivelina ; de Boyrie, Maria E. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:155-165.

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2017Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data. (2017). Degiannakis, Stavros ; Potamia, Artemis . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:176-190.

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2017Predictability and diversification benefits of investing in commodity and currency futures. (2017). cotter, john ; Poti, Valerio ; Eyiah-Donkor, Emmanuel . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:52-66.

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2017The impact of religious practice on stock returns and volatility. (2017). Roubaud, David ; Bouri, Elie ; Zoubi, Taisier ; Al-Khazali, Osamah . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:172-189.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz . In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2016A parsimonious quantile regression model to forecast day-ahead value-at-risk. (2016). Haugom, Erik ; Westgaard, Sjur ; Veka, Steinar ; Ullrich, Carl J ; Ray, Rina . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:196-207.

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2017Fast fractional differencing in modeling long memory of conditional variance for high-frequency data. (2017). Walther, Thomas ; Klein, Tony . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:274-279.

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2017Geopolitical risks and the oil-stock nexus over 1899–2016. (2017). GUPTA, RANGAN ; Kollias, Christos ; Papadamou, Stephanos ; Antonakakis, Nikolaos . In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:165-173.

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2016Model risk of risk models. (2016). Danielsson, Jon ; Zer, Ilknur ; Valenzuela, Marcela ; James, Kevin R. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:79-91.

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2016Comparing the financial performance of timber REITs and other REITs. (2016). Piao, Xiaorui ; Xue, Yuan ; Mei, Bin . In: Forest Policy and Economics. RePEc:eee:forpol:v:72:y:2016:i:c:p:115-121.

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2016Asymmetric information, volatility components and the volume–volatility relationship for the CAC40 stocks. (2016). Slim, Skander ; Dahmene, Meriam . In: Global Finance Journal. RePEc:eee:glofin:v:29:y:2016:i:c:p:70-84.

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2016Intraday volatility interaction between the crude oil and equity markets. (2016). Sharma, Susan ; Narayan, Paresh ; Bach, Dinh Hoang . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:1-13.

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2016Institutional investment, equity volume and volatility spillover: Causalities and asymmetries. (2016). Chakraborty, Sandip ; Kakani, Ram Kumar . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:44:y:2016:i:c:p:1-20.

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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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2016Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:1-9.

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2016Volatility and quantile forecasts by realized stochastic volatility models with generalized hyperbolic distribution. (2016). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:437-457.

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2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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2016Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?. (2016). Fuertes, Ana-Maria ; Fernandez-Rodriguez, Fernando . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:695-715.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017A vector heterogeneous autoregressive index model for realized volatility measures. (2017). Hecq, Alain ; Guardabascio, Barbara ; Cubadda, Gianluca. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:337-344.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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More than 100 citations found, this list is not complete...

Works by Sébastien Laurent:


YearTitleTypeCited
2014Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity In: CREATES Research Papers.
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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics.
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2015Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: CORE Discussion Papers.
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2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
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2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics.
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2002 G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models. In: Journal of Economic Surveys.
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2016On the Univariate Representation of BEKK Models with Common Factors In: Journal of Time Series Econometrics.
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2012On the Univariate Representation of BEKK Models with Common Factors.(2012) In: Research Memorandum.
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1999Capital humain, emploi et revenus du travail: Belgique, 1992 In: Brussels Economic Review.
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2000Labsentéisme dans une institution hospitalière: les facteurs déterminants In: Brussels Economic Review.
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2001Limpact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar In: Revue économique.
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2001Limpact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar.(2001) In: Revue Économique.
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2001Capital humain, emploi et salaire en Belgique et dans ses régions In: Reflets et perspectives de la vie économique.
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2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers.
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2013On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics.
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2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
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2001Value-at-risk for long and short trading positions In: CORE Discussion Papers.
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Value-at-Risk for long and short trading positions.() In: CORE Discussion Papers RP.
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2003Value-at-risk for long and short trading positions.(2003) In: Journal of Applied Econometrics.
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2002A new class of multivariate skew densities, with application to GARCH models In: CORE Discussion Papers.
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2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
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2003Market risk in commodity markets: a VaR approach In: CORE Discussion Papers.
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Market risk in commodity markets: a VaR approach.() In: CORE Discussion Papers RP.
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2003Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics.
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2003Multivariate GARCH models: a survey In: CORE Discussion Papers.
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Multivariate GARCH models: a survey.() In: CORE Discussion Papers RP.
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2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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2004Central Bank forex interventions assessed using realized moments In: CORE Discussion Papers.
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2009Central bank FOREX interventions assessed using realized moments.(2009) In: Journal of International Financial Markets, Institutions and Money.
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2003Central Bank Forex Interventions Assessed Using Realized Moments.(2003) In: Research Memorandum.
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2004Bridging the gap between Ox and Gauss using OxGauss In: CORE Discussion Papers.
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2005Bridging the gap between Ox and Gauss using OxGauss.(2005) In: Journal of Applied Econometrics.
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2004Bridging the Gap Between Ox and Gauss using OxGauss.(2004) In: Research Memorandum.
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2009Consistent ranking of multivariate volatility models In: CORE Discussion Papers.
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2010On the forecasting accuracy of multivariate GARCH models In: CORE Discussion Papers.
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paper56
2010On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche.
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2012On the forecasting accuracy of multivariate GARCH models.(2012) In: Journal of Applied Econometrics.
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2011Volatility models In: CORE Discussion Papers.
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paper23
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis In: CORE Discussion Papers RP.
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paper37
2003Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis.(2003) In: European Economic Review.
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2003Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis.(2003) In: ULB Institutional Repository.
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2003Central bank interventions and jumps in double long memory models of daily exchange rates.(2003) In: Journal of Empirical Finance.
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2003Central Bank interventions and jumps in double long memory models of daily exchange rates.(2003) In: ULB Institutional Repository.
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Modelling daily Value-at-Risk using realized volatility and ARCH type models. In: CORE Discussion Papers RP.
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2004Modelling daily Value-at-Risk using realized volatility and ARCH type models.(2004) In: Journal of Empirical Finance.
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2002Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models.(2002) In: Computing in Economics and Finance 2002.
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2001Modelling daily value-at-risk using realized volatility and arch type models.(2001) In: Research Memorandum.
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1980The impact of Central Bank FX interventions on currency components In: CORE Discussion Papers RP.
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paper10
2007The Impact of Central Bank FX Interventions on Currency Components.(2007) In: Journal of Financial Econometrics.
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2007The impact of Central Bank FX interventions on currency components.(2007) In: ULB Institutional Repository.
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2009Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan.(2009) In: Journal of International Financial Markets, Institutions and Money.
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2010Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance.
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Jumps, cojumps and macro announcements In: CORE Discussion Papers RP.
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paper80
2007Jumps, cojumps and macro announcements.(2007) In: Working Papers.
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2011Jumps, cojumps and macro announcements.(2011) In: Journal of Applied Econometrics.
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Volatility forecasts evaluation and comparison In: CORE Discussion Papers RP.
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Outlyingness weighted covariation In: CORE Discussion Papers RP.
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2011Outlyingness Weighted Covariation.(2011) In: Journal of Financial Econometrics.
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2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence In: ESSEC Working Papers.
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2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.(2015) In: Working Papers.
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2015Long memory through marginalization of large systems and hidden cross-section dependence.(2015) In: Research Memorandum.
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2008Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach In: Working Papers ECARES.
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2000Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates In: Econometric Society World Congress 2000 Contributed Papers.
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2000Structural change and long memory in volatility: new evidence from daily exchange rates.(2000) In: ULB Institutional Repository.
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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach In: Computational Statistics & Data Analysis.
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2012Testing conditional asymmetry: A residual-based approach In: Journal of Economic Dynamics and Control.
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2012Testing conditional asymmetry. A residual based approach.(2012) In: ULB Institutional Repository.
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2011Robust estimation of intraweek periodicity in volatility and jump detection In: Journal of Empirical Finance.
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article36
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
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2015Which continuous-time model is most appropriate for exchange rates? In: Journal of Banking & Finance.
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2013Which continuous-time model is most appropriate for exchange rates?.(2013) In: Working Papers.
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2015Which continuous-time model is most appropriate for exchange rates?.(2015) In: Post-Print.
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2001Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data In: Journal of Policy Modeling.
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2013Econometric modeling of exchange rate volatility and jumps In: Chapters.
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2012Econometric modeling of exchange rate volatility and jumps.(2012) In: Working Papers.
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2007Central bank intervention and exchange rate volatility, its continuous and jump components In: Working Papers.
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2007Central bank intervention and exchange rate volatility, its continuous and jump components.(2007) In: International Journal of Finance & Economics.
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2007Central Bank intervention and exchange rate volatility: its continuous and jump components.(2007) In: ULB Institutional Repository.
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2016Introduction to the special issue on recent developments in Financial Econometrics In: Post-Print.
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2014Estimating and forecasting ARCH models using G@RCH 6 In: Post-Print.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models In: Post-Print.
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2015Risk Measure Inference In: Working Papers.
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2014Do We Need Ultra-High Frequency Data to Forecast Variances? In: Working Papers.
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2004Analytical Derivates of the APARCH Model In: Computational Economics.
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2011Common Intraday Periodicity In: Journal of Financial Econometrics.
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2011Common intraday periodicity.(2011) In: Research Memorandum.
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2000La persistance des chocs de volatilité sur le marché des changes sest-elle modifée depuis le debut des annees 1980 ? In: Revue Économique.
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2001G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models In: Computing in Economics and Finance 2001.
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2002Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002.
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2002Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates In: Applied Financial Economics.
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2002Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates.(2002) In: ULB Institutional Repository.
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2012Do jumps mislead the FX market? In: Quantitative Finance.
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2013Central bank intervention in the foreign exchange markets assessed using realized moments In: ULB Institutional Repository.
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2004Have sequential interventions of Central Banks in foreign exchange been effective ? In: ULB Institutional Repository.
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2000La persistance des chocs de volatilité sur le marché des changes sest-elle modifiée depuis le début des années quatre-vingts ? In: ULB Institutional Repository.
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2011On the Univariate Representation of Multivariate Volatility Models with Common Factors In: Research Memorandum.
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2007The information content of implied volatility in light of the jump/continuous decomposition of realized volatility In: Journal of Futures Markets.
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