Sébastien Laurent : Citation Profile

Are you Sébastien Laurent?

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

17

H index

23

i10 index

1664

Citations

RESEARCH PRODUCTION:

38

Articles

60

Papers

1

Chapters

RESEARCH ACTIVITY:

   37 years (1980 - 2017). See details.
   Cites by year: 44
   Journals where Sébastien Laurent has often published
   Relations with other researchers
   Recent citing documents: 179.    Total self citations: 36 (2.12 %)

EXPERT IN:

   Financial Econometrics

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla169
   Updated: 2017-08-05    RAS profile: 2017-07-05    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Violante, Francesco (5)

Hecq, Alain (5)

Palm, Franz (4)

Chevillon, Guillaume (3)

Quaedvlieg, Rogier (3)

Neely, Christopher (3)

Erdemlioglu, Deniz (3)

Hafner, Christian (3)

Veredas, David (2)

Hurlin, Christophe (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)

Asai, Manabu (29)

Degiannakis, Stavros (25)

Chang, Chia-Lin (22)

Bauwens, Luc (22)

Hafner, Christian (20)

Rombouts, Jeroen (20)

Dungey, Mardi (19)

Louzis, Dimitrios (17)

Ruiz, Esther (17)

Cites to:

Bollerslev, Tim (82)

Andersen, Torben (57)

Engle, Robert (41)

Diebold, Francis (40)

Beine, Michel (25)

Palm, Franz (22)

Neely, Christopher (22)

Shephard, Neil (21)

Lunde, Asger (21)

Hansen, Peter (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 Applied Econometrics3
Journal of Financial Econometrics3
Revue conomique2
Brussels Economic Review2
Journal of International Financial Markets, Institutions and Money2
Journal of Applied Econometrics2
Journal of Econometrics2

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
Computing in Economics and Finance 2002 / Society for Computational Economics3
Working Papers / HAL3

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2016Multivariate moments expansion density: Application of the dynamic equicorrelation model. (2016). Iguez, Trino-Manuel ; Perote, Javier . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s216-s232.

Full description at Econpapers || Download paper

2016Between the hammer and the anvil: The impact of economic sanctions and oil prices on Russia’s ruble. (2016). Ulbricht, Dirk ; Kholodilin, Konstantin ; Fidrmuc, Jarko ; Dreger, Christian. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:44:y:2016:i:2:p:295-308.

Full description at Econpapers || Download paper

2016Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. (2016). Todorov, Viktor ; Li, Sophia Zhengzi ; Bollerslev, Tim . In: Journal of Financial Economics. RePEc:eee:jfinec:v:120:y:2016:i:3:p:464-490.

Full description at Econpapers || Download paper

2016Commodity returns co-movements: Fundamentals or “style” effect?. (2016). Moussa, Zakaria ; Darné, Olivier ; Darne, Olivier ; Charlot, Philippe . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:68:y:2016:i:c:p:130-160.

Full description at Econpapers || Download paper

2017The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach. (2017). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Bonato, Matteo . In: Resources Policy. RePEc:eee:jrpoli:v:51:y:2017:i:c:p:77-84.

Full description at Econpapers || Download paper

2016Modeling volatility using state space models with heavy tailed distributions. (2016). de Pinho, Frank M ; Franco, Glaura C ; Silva, Ralph S. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:119:y:2016:i:c:p:108-127.

Full description at Econpapers || Download paper

2016Multifractal detrended fluctuation analysis: Practical applications to financial time series. (2016). Thompson, James R ; Wilson, James R. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:126:y:2016:i:c:p:63-88.

Full description at Econpapers || Download paper

2016The informative role of trading volume in an expanding spot and futures market. (2016). Bhaumik, Sumon ; Karanasos, M ; Kartsaklas, A. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:35:y:2016:i:c:p:24-40.

Full description at Econpapers || Download paper

2016A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets. (2016). Charfeddine, Lanouar ; Benlagha, Noureddine . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:37-38:y:2016:i::p:168-189.

Full description at Econpapers || Download paper

2016Long memory and multifractality: A joint test. (2016). Onali, Enrico ; Goddard, John . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:451:y:2016:i:c:p:288-294.

Full description at Econpapers || Download paper

2017Analysis of the efficiency–integration nexus of Japanese stock market. (2017). Aun, Syed ; Arshad, Shaista . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:296-308.

Full description at Econpapers || Download paper

2017Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach. (2017). Liu, Zhixue ; Gu, Huaying ; Weng, Yingliang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:460-472.

Full description at Econpapers || Download paper

2017The dynamic conditional relationship between stock market returns and implied volatility. (2017). Park, Sung Y ; Song, Jeongseok ; Ryu, Doojin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:638-648.

Full description at Econpapers || Download paper

2016Hedging bank market risk with futures and forwards. (2016). Mun, Kyung-Chun . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:112-125.

Full description at Econpapers || Download paper

2016BRIC or CBRI: It just doesn’t sound as sexy, does it?. (2016). Delcoure, Natalya ; Singh, Harmeet . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:230-239.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]		paper3
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2015Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article60
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60		paper
2002 G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models. In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article42
2016On the Univariate Representation of BEKK Models with Common Factors In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article3
2012On the Univariate Representation of BEKK Models with Common Factors.(2012) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
1999Capital humain, emploi et revenus du travail: Belgique, 1992 In: Brussels Economic Review.
[Full Text][Citation analysis]		article2
2000Labsentéisme dans une institution hospitalière: les facteurs déterminants In: Brussels Economic Review.
[Full Text][Citation analysis]		article0
2001Limpact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar In: Revue économique.
[Full Text][Citation analysis]		article5
2001Limpact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar.(2001) In: Revue Économique.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2001Capital humain, emploi et salaire en Belgique et dans ses régions In: Reflets et perspectives de la vie économique.
[Full Text][Citation analysis]		article4
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper41
2013On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		article
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
2001Value-at-risk for long and short trading positions In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper128
Value-at-Risk for long and short trading positions.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 128		paper
2003Value-at-risk for long and short trading positions.(2003) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 128		article
2002A new class of multivariate skew densities, with application to GARCH models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper33
2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
[Citation analysis]
This paper has another version. Agregated cites: 33		paper
2003Market risk in commodity markets: a VaR approach In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper81
Market risk in commodity markets: a VaR approach.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 81		paper
2003Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 81		article
2003Multivariate GARCH models: a survey In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper614
Multivariate GARCH models: a survey.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 614		paper
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 614		article
2004Central Bank forex interventions assessed using realized moments In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper22
Central bank FOREX interventions assessed using realized moments.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2009Central bank FOREX interventions assessed using realized moments.(2009) In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		article
2003Central Bank Forex Interventions Assessed Using Realized Moments.(2003) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2004Bridging the gap between Ox and Gauss using OxGauss In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper1
2005Bridging the gap between Ox and Gauss using OxGauss.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2004Bridging the Gap Between Ox and Gauss using OxGauss.(2004) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2009Consistent ranking of multivariate volatility models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper7
2010On the forecasting accuracy of multivariate GARCH models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper52
2010On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 52		paper
2012On the forecasting accuracy of multivariate GARCH models.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 52		article
2011Volatility models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper23
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper37
2003Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis.(2003) In: European Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		article
2003Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis.(2003) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 37		paper
Central bank interventions and jumps in double long memory models of daily exchange rates In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper39
2003Central bank interventions and jumps in double long memory models of daily exchange rates.(2003) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		article
2003Central Bank interventions and jumps in double long memory models of daily exchange rates.(2003) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 39		paper
Modelling daily Value-at-Risk using realized volatility and ARCH type models. In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper139
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models.(2004) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139		article
2002Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models.(2002) In: Computing in Economics and Finance 2002.
[Citation analysis]
This paper has another version. Agregated cites: 139		paper
2001Modelling daily value-at-risk using realized volatility and arch type models.(2001) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 139		paper
1980The impact of Central Bank FX interventions on currency components In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper9
2007The Impact of Central Bank FX Interventions on Currency Components.(2007) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		article
2007The impact of Central Bank FX interventions on currency components.(2007) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 9		paper
Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper9
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		article
Trading activity, realized volatility and jumps In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper39
2010Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		article
Jumps, cojumps and macro announcements In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper78
2007Jumps, cojumps and macro announcements.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 78		paper
2011Jumps, cojumps and macro announcements.(2011) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 78		article
Volatility forecasts evaluation and comparison In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper1
Outlyingness weighted covariation In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper9
2011Outlyingness Weighted Covariation.(2011) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		article
2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence In: ESSEC Working Papers.
[Full Text][Citation analysis]		paper1
2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2015Long memory through marginalization of large systems and hidden cross-section dependence.(2015) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2008Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach In: Working Papers ECARES.
[Full Text][Citation analysis]		paper0
2000Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper15
2000Structural change and long memory in volatility: new evidence from daily exchange rates.(2000) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 15		paper
2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article0
2012Testing conditional asymmetry: A residual-based approach In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article6
2012Testing conditional asymmetry. A residual based approach.(2012) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 6		paper
2011Robust estimation of intraweek periodicity in volatility and jump detection In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article36
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article15
2015Which continuous-time model is most appropriate for exchange rates? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article1
2013Which continuous-time model is most appropriate for exchange rates?.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2001Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data In: Journal of Policy Modeling.
[Full Text][Citation analysis]		article2
2013Econometric modeling of exchange rate volatility and jumps In: Chapters.
[Full Text][Citation analysis]		chapter2
2012Econometric modeling of exchange rate volatility and jumps.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2007Central bank intervention and exchange rate volatility, its continuous and jump components In: Working Papers.
[Full Text][Citation analysis]		paper40
2007Central bank intervention and exchange rate volatility, its continuous and jump components.(2007) In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		article
2007Central Bank intervention and exchange rate volatility: its continuous and jump components.(2007) In: ULB Institutional Repository.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		paper
2015Risk Measure Inference In: Working Papers.
[Full Text][Citation analysis]		paper4
2014Do We Need Ultra-High Frequency Data to Forecast Variances? In: Working Papers.
[Full Text][Citation analysis]		paper0
2004Analytical Derivates of the APARCH Model In: Computational Economics.
[Full Text][Citation analysis]		article11
2011Common Intraday Periodicity In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
2011Common intraday periodicity.(2011) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2000La persistance des chocs de volatilité sur le marché des changes sest-elle modifée depuis le debut des annees 1980 ? In: Revue Économique.
[Full Text][Citation analysis]		article0
2001G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models In: Computing in Economics and Finance 2001.
[Full Text][Citation analysis]		paper14
2002Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002.
[Citation analysis]		paper0
2002Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates In: Applied Financial Economics.
[Full Text][Citation analysis]		article16
2002Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates.(2002) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 16		paper
2012Do jumps mislead the FX market? In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2013Central bank intervention in the foreign exchange markets assessed using realized moments In: ULB Institutional Repository.
[Full Text][Citation analysis]		paper0
2004Have sequential interventions of Central Banks in foreign exchange been effective ? In: ULB Institutional Repository.
[Citation analysis]		paper3
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.
[Citation analysis]		paper0
2011On the Univariate Representation of Multivariate Volatility Models with Common Factors In: Research Memorandum.
[Full Text][Citation analysis]		paper0
2007The information content of implied volatility in light of the jump/continuous decomposition of realized volatility In: Journal of Futures Markets.
[Full Text][Citation analysis]		article11

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated June, 1st 2017. Contact: CitEc Team