23
H index
32
i10 index
3088
Citations
Aix-Marseille Université | 23 H index 32 i10 index 3088 Citations RESEARCH PRODUCTION: 48 Articles 97 Papers 2 Chapters RESEARCH ACTIVITY: 25 years (1999 - 2024). See details. EXPERT IN: Financial Econometrics MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pla169 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Sébastien Laurent. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2024 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2023 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
2023 | Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952. Full description at Econpapers || Download paper | |
2023 | A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs. (2023). Khorrami, Farshad ; Krishnamurthy, Prashanth ; Fu, Hao ; Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2301.10869. Full description at Econpapers || Download paper | |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper | |
2023 | Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406. Full description at Econpapers || Download paper | |
2023 | Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297. Full description at Econpapers || Download paper | |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper | |
2023 | Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers || Download paper | |
2023 | A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484. Full description at Econpapers || Download paper | |
2023 | Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169. Full description at Econpapers || Download paper | |
2023 | The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis. (2023). Ampountolas, Apostolos. In: Papers. RePEc:arx:papers:2307.09137. Full description at Econpapers || Download paper | |
2024 | Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958. Full description at Econpapers || Download paper | |
2023 | Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061. Full description at Econpapers || Download paper | |
2023 | Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8. Full description at Econpapers || Download paper | |
2023 | Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27. Full description at Econpapers || Download paper | |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper | |
2023 | Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386. Full description at Econpapers || Download paper | |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper | |
2023 | Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797. Full description at Econpapers || Download paper | |
2023 | Laplacian-energy-like measure: Does it improve the Cross-Sectional Absolute Deviation herding model?. (2023). Yang, Xin ; Deng, Yanchen ; Cai, Yaqian ; Huang, Chuangxia. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002857. Full description at Econpapers || Download paper | |
2023 | Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463. Full description at Econpapers || Download paper | |
2023 | Asymmetric volatility impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426. Full description at Econpapers || Download paper | |
2023 | Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520. Full description at Econpapers || Download paper | |
2023 | A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543. Full description at Econpapers || Download paper | |
2023 | Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64. Full description at Econpapers || Download paper | |
2023 | Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086. Full description at Econpapers || Download paper | |
2023 | ETF Basket-Adjusted Covariance estimation. (2023). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171. Full description at Econpapers || Download paper | |
2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). TrucÃos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper | |
2023 | Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29. Full description at Econpapers || Download paper | |
2023 | Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46. Full description at Econpapers || Download paper | |
2023 | Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000425. Full description at Econpapers || Download paper | |
2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper | |
2023 | The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164. Full description at Econpapers || Download paper | |
2023 | Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321. Full description at Econpapers || Download paper | |
2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper | |
2023 | Attention to oil prices and its impact on the oil, gold and stock markets and their covariance. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s014098832300141x. Full description at Econpapers || Download paper | |
2023 | Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360. Full description at Econpapers || Download paper | |
2023 | Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033. Full description at Econpapers || Download paper | |
2023 | Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach. (2023). Brooks, Robert ; Hasanov, Akram Shavkatovich ; Vellachami, Sanggetha. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002314. Full description at Econpapers || Download paper | |
2023 | Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265. Full description at Econpapers || Download paper | |
2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper | |
2023 | Forecasting Bitcoin with technical analysis: A not-so-random forest?. (2023). Djakovic, Vladimir ; Adcock, Robert ; Kukolj, Dragan ; Gradojevic, Nikola. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:1-17. Full description at Econpapers || Download paper | |
2023 | Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404. Full description at Econpapers || Download paper | |
2023 | DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955. Full description at Econpapers || Download paper | |
2023 | Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096. Full description at Econpapers || Download paper | |
2023 | Projected Dynamic Conditional Correlations. (2023). Brownlees, Christian ; Llorens-Terrazas, Jordi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1761-1776. Full description at Econpapers || Download paper | |
2023 | Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669. Full description at Econpapers || Download paper | |
2023 | Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289. Full description at Econpapers || Download paper | |
2023 | Exchange rate volatility and the effectiveness of FX interventions: The case of Chile. (2023). Pia, Marco ; Jara, Alejandro. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000030. Full description at Econpapers || Download paper | |
2023 | COVID-19 and stock returns: Evidence from the Markov switching dependence approach. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000089. Full description at Econpapers || Download paper | |
2023 | Global economic uncertainty and the Chinese stock market: Assessing the impacts of global indicators. (2023). Cui, Can ; Zhang, Yueyan ; Bai, Jiancheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000752. Full description at Econpapers || Download paper | |
2023 | Network effects and store-of-value features in the cryptocurrency market. (2023). Adelopo, Ismail ; Luo, Xiaojun ; Bakhtiar, Tiam. In: Technology in Society. RePEc:eee:teinso:v:74:y:2023:i:c:s0160791x23001252. Full description at Econpapers || Download paper | |
2023 | Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Changes in the Polish Coal Sector Economic Situation with the Background of the European Union Energy Security and Eco-Efficiency Policy. (2023). Holden, Lisa ; Bedycka-Borawska, Aneta ; Borawski, Piotr. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:2:p:726-:d:1028725. Full description at Econpapers || Download paper | |
2023 | Scalar Measures of Volatility and Dependence for the Multivariate Models with Applications to Asian Financial Markets. (2023). Bera, Anil K ; Kim, Sangwhan. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:212-:d:1108433. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | A New Neural Network Approach for Predicting the Volatility of Stock Market. (2023). Kim, Geonwoo ; Koo, Eunho. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10261-7. Full description at Econpapers || Download paper | |
2023 | The two-component Beta-t-QVAR-M-lev: a new forecasting model. (2023). Blazsek, Szabolcs ; Cardia, Michel Ferreira ; Sheng, Hsia Hua ; Fuerst, Franz ; Arestis, Philip. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00431-4. Full description at Econpapers || Download paper | |
2023 | Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation. (2023). Killian, Sheila ; Cummins, Mark ; McCullagh, Orla. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:3:d:10.1057_s41261-022-00199-z. Full description at Econpapers || Download paper | |
2023 | Examining volatility and spillover effects between markets for sovereign bonds of African countries and the world’s long term interest rate. (2023). Debalke, Negash Mulatu. In: MPRA Paper. RePEc:pra:mprapa:117491. Full description at Econpapers || Download paper | |
2023 | The determinants of the dynamic correlation between foreign exchange and equity markets: Cross-Country comparisons. (2023). Bonga-Bonga, Lumengo ; Tshikalange, Mulanga. In: MPRA Paper. RePEc:pra:mprapa:118401. Full description at Econpapers || Download paper | |
2023 | Relative Signed Jump and Future Stock Returns. (2023). Ullah, Wali ; Sharif, Saqib ; Rehman, Seema. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2023:i:1:p:25-45. Full description at Econpapers || Download paper | |
2023 | The Consumption Response to Labour Income Changes. (2023). Weytjens, Johannes ; Schoors, Koen ; Boudt, Kris ; van den Heuvel, Milan. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:23/1067. Full description at Econpapers || Download paper | |
2023 | Heterogeneous tail generalized common factor modeling. (2023). Polak, Pawe ; Paolella, Marc S ; Naf, Jeffrey ; Hediger, Simon. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z. Full description at Econpapers || Download paper | |
2023 | Research on cojumps of electronic commerce overnight factors in volatility prediction based on joint BW test. (2023). Wang, Zhiqiang ; Xiong, Haifang ; Deng, Liling. In: Electronic Commerce Research. RePEc:spr:elcore:v:23:y:2023:i:1:d:10.1007_s10660-022-09545-9. Full description at Econpapers || Download paper | |
2023 | Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1. Full description at Econpapers || Download paper | |
2023 | Diversification evidence of bitcoin and gold from wavelet analysis. (2023). Zhang, Changyong ; Husain, Afzol ; Bhuiyan, Rubaiyat Ahsan. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00495-1. Full description at Econpapers || Download paper | |
2023 | Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange. (2023). Kadioglu, Eyup ; Frommel, Michael. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00500-7. Full description at Econpapers || Download paper | |
2023 | Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets. (2023). Kambouroudis, Dimos ; McMillan, David G ; Sahiner, Mehmet. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:3:d:10.1007_s12197-023-09629-8. Full description at Econpapers || Download paper | |
2023 | Buy, sell or rent the farm: succession planning and the future of farming on the Great Plains. (2023). Nolan, James F ; Schoney, Richard A ; Su, Chi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00381-0. Full description at Econpapers || Download paper | |
2023 | Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w. Full description at Econpapers || Download paper | |
2023 | The effect of intraday periodicity on realized volatility measures. (2023). Kellermann, Janosch ; Golosnoy, Vasyl ; Dette, Holger. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:3:d:10.1007_s00184-022-00875-0. Full description at Econpapers || Download paper | |
2023 | Bayesian inference of multivariate-GARCH-BEKK models. (2023). Nur, Darfiana ; Livingston, G C. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01360-6. Full description at Econpapers || Download paper | |
2023 | Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051. Full description at Econpapers || Download paper | |
2023 | A Truncated Mixture Transition Model for Interval-valued Time Series. (2023). Luo, Yun ; Gonzalez-Rivera, Gloria. In: Working Papers. RePEc:ucr:wpaper:202315. Full description at Econpapers || Download paper | |
2023 | A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information. (2023). Li, Ziyang ; Chevallier, Julien ; M. I. M. Wahab, ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:60-75. Full description at Econpapers || Download paper | |
2023 | Jump forecasting in foreign exchange markets: A high?frequency analysis. (2023). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Uzun, Sevcan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:3:p:578-624. Full description at Econpapers || Download paper | |
2023 | El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach. (2023). Pierdzioch, Christian ; Gupta, Rangan ; Epni, Ouzhan ; Bonato, Matteo. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:785-801. Full description at Econpapers || Download paper | |
2023 | A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007. Full description at Econpapers || Download paper | |
2023 | A new model for forecasting VaR and ES using intraday returns aggregation. (2023). Li, Handong ; Song, Shijia. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1039-1054. Full description at Econpapers || Download paper | |
2023 | Impact of crude oil volatility jumps on sustainable investments: Evidence from India. (2023). Uddin, Gazi Salah ; Park, Donghyun ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1450-1468. Full description at Econpapers || Download paper | |
2023 | Optimal futures hedging by using realized semicovariances: The information contained in signed high?frequency returns. (2023). Lai, Yusheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:677-701. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2014 | Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
2017 | Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2017 | Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2015 | Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2016 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2017 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2016 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2017 | Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2017 | WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2017 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2018 | Volatility Estimation and Jump Detection for drift-diffusion Processes In: AMSE Working Papers. [Full Text][Citation analysis] | paper | 6 |
2020 | Volatility estimation and jump detection for drift–diffusion processes.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2020 | Volatility estimation and jump detection for drift–diffusion processes.(2020) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2018 | Volatility Estimation and Jump Detection for drift-diffusion Processes.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2018 | Generating Univariate Fractional Integration within a Large VAR(1) In: AMSE Working Papers. [Full Text][Citation analysis] | paper | 7 |
2018 | Generating univariate fractional integration within a large VAR(1).(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
2018 | Generating univariate fractional integration within a large VAR(1).(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2018 | Generating Univariate Fractional Integration within a Large VAR(1).(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2018 | Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers. [Full Text][Citation analysis] | paper | 11 |
2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2018 | Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2011 | Volatility Models In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 26 |
2012 | Volatility Models.(2012) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
2011 | Volatility models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
2012 | Testing conditional asymmetry: A residual-based approach In: LIDAM Reprints ISBA. [Citation analysis] | paper | 8 |
2012 | Testing conditional asymmetry: A residual-based approach.(2012) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2012 | Testing conditional asymmetry. A residual based approach.(2012) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2021 | Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs In: LIDAM Reprints LFIN. [Citation analysis] | paper | 0 |
2021 | Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs.(2021) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2021 | Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs.(2021) In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
2005 | A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 131 |
2005 | A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 131 | 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] | article | 3 |
2016 | On the Univariate Representation of BEKK Models with Common Factors In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 8 |
2016 | On the Univariate Representation of BEKK Models with Common Factors.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2012 | On the univariate representation of BEKK models with common factors.(2012) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
1999 | Capital humain, emploi et revenus du travail: Belgique, 1992 In: Brussels Economic Review. [Full Text][Citation analysis] | article | 5 |
2000 | Labsentéisme dans une institution hospitalière: les facteurs déterminants In: Brussels Economic Review. [Full Text][Citation analysis] | article | 0 |
2001 | Limpact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar In: Revue économique. [Full Text][Citation analysis] | article | 10 |
2000 | L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar.(2000) In: Documents de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2001 | Limpact 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 nother version. Agregated cites: 10 | article | |
2001 | Capital humain, emploi et salaire en Belgique et dans ses régions In: Reflets et perspectives de la vie économique. [Full Text][Citation analysis] | article | 4 |
2009 | On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 96 |
2013 | On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 96 | article | |
2009 | On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 96 | paper | |
2001 | Value-at-risk for long and short trading positions In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 197 |
2003 | Value-at-Risk for long and short trading positions.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 197 | paper | |
2003 | Value-at-risk for long and short trading positions.(2003) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 197 | article | |
2002 | A new class of multivariate skew densities, with application to GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 40 |
2002 | A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
2003 | Market risk in commodity markets: a VaR approach In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 136 |
2003 | Market risk in commodity markets: a VaR approach.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 136 | paper | |
2003 | Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 136 | article | |
2003 | Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1086 |
2006 | Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1086 | paper | |
2006 | Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1086 | article | |
2006 | Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1086 | article | |
2004 | Central Bank forex interventions assessed using realized moments In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 23 |
2009 | Central bank FOREX interventions assessed using realized moments.(2009) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2009 | Central bank FOREX interventions assessed using realized moments.(2009) In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
2003 | Central bank FOREX interventions assessed using realized moments.(2003) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2004 | Bridging the gap between Ox and Gauss using OxGauss In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
2005 | Bridging the gap between Ox and Gauss using OxGauss.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2004 | Bridging the gap between Ox and Gauss using OxGauss.(2004) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2005 | Bridging the gap between Ox and Gauss using OxGauss.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2009 | Consistent ranking of multivariate volatility models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 7 |
2010 | On the forecasting accuracy of multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 131 |
2010 | On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 131 | paper | |
2012 | On the forecasting accuracy of multivariate GARCH models.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 131 | article | |
2022 | We modeled long memory with just one lag! In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
2023 | We modeled long memory with just one lag!.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2023 | We modeled long memory with just one lag!.(2023) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2003 | Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 67 |
2003 | Official 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 nother version. Agregated cites: 67 | article | |
2003 | Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis.(2003) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 67 | paper | |
2003 | Central bank interventions and jumps in double long memory models of daily exchange rates In: LIDAM Reprints CORE. [Citation analysis] | paper | 50 |
2003 | Central 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 nother version. Agregated cites: 50 | article | |
2003 | Central Bank interventions and jumps in double long memory models of daily exchange rates.(2003) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 50 | paper | |
2004 | Modelling daily Value-at-Risk using realized volatility and ARCH type models. In: LIDAM Reprints CORE. [Citation analysis] | paper | 227 |
2004 | Modelling daily Value-at-Risk using realized volatility and ARCH type models.(2004) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 227 | article | |
2002 | Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has nother version. Agregated cites: 227 | paper | |
2001 | Modelling daily value-at-risk using realized volatility and arch type models.(2001) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 227 | paper | |
2006 | The impact of Central Bank FX interventions on currency components In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 13 |
2007 | The Impact of Central Bank FX Interventions on Currency Components.(2007) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
2007 | The impact of Central Bank FX interventions on currency components.(2007) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
2009 | Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 12 |
2009 | Does 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 nother version. Agregated cites: 12 | article | |
2010 | Trading activity, realized volatility and jumps In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 97 |
2010 | Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 97 | article | |
2011 | Jumps, cojumps and macro announcements In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 188 |
2007 | Jumps, cojumps and macro announcements.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 188 | paper | |
2011 | Jumps, cojumps and macro announcements.(2011) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 188 | article | |
2012 | Volatility forecasts evaluation and comparison In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 10 |
2011 | Outlyingness weighted covariation In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 30 |
2011 | Outlyingness Weighted Covariation.(2011) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
2022 | UNIT ROOT TEST WITH HIGH-FREQUENCY DATA In: Econometric Theory. [Full Text][Citation analysis] | article | 4 |
2022 | Unit Root Test with High-Frequency Data.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2015 | Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence In: ESSEC Working Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2015 | Long memory through marginalization of large systems and hidden cross-section dependence.(2015) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2008 | Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
2000 | Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 24 |
2000 | Structural change and long memory in volatility: new evidence from daily exchange rates.(2000) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 24 | paper | |
2016 | Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 44 |
2016 | Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
2023 | Quasi score-driven models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
2023 | Quasi score-driven models.(2023) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2024 | Autoregressive conditional betas In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
2011 | Robust estimation of intraweek periodicity in volatility and jump detection In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 87 |
2013 | Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 43 |
2015 | Which continuous-time model is most appropriate for exchange rates? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
2013 | Which continuous-time model is most appropriate for exchange rates?.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2015 | Which continuous-time model is most appropriate for exchange rates?.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2001 | Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data In: Journal of Policy Modeling. [Full Text][Citation analysis] | article | 2 |
2013 | Econometric modeling of exchange rate volatility and jumps In: Chapters. [Full Text][Citation analysis] | chapter | 17 |
2012 | Econometric modeling of exchange rate volatility and jumps.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2000 | Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions In: Documents de recherche. [Full Text][Citation analysis] | paper | 0 |
2007 | Central bank intervention and exchange rate volatility, its continuous and jump components In: Working Papers. [Full Text][Citation analysis] | paper | 59 |
2007 | Central 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 nother version. Agregated cites: 59 | article | |
2007 | Central Bank intervention and exchange rate volatility: its continuous and jump components.(2007) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
2016 | Do We Need High Frequency Data to Forecast Variances? In: Post-Print. [Full Text][Citation analysis] | paper | 5 |
2016 | Introduction to the special issue on recent developments in Financial Econometrics In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
2017 | Risk Measure Inference In: Post-Print. [Citation analysis] | paper | 12 |
2015 | Risk Measure Inference.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2017 | Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2014 | Estimating and forecasting ARCH models using G@RCH 6 In: Post-Print. [Citation analysis] | paper | 0 |
2020 | Jumps et modèles de type GARCH (Chapitre 3) In: Post-Print. [Citation analysis] | paper | 0 |
2014 | Do We Need Ultra-High Frequency Data to Forecast Variances? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Analytical Derivates of the APARCH Model In: Computational Economics. [Full Text][Citation analysis] | article | 14 |
2011 | Common Intraday Periodicity In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 6 |
2011 | Common intraday periodicity.(2011) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2000 | La 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] | article | 0 |
2001 | G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models In: Computing in Economics and Finance 2001. [Full Text][Citation analysis] | paper | 35 |
2002 | Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
2002 | Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates In: Applied Financial Economics. [Full Text][Citation analysis] | article | 28 |
2002 | Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates.(2002) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 28 | paper | |
2012 | Do jumps mislead the FX market? In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
2020 | A New Class of Robust Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2007 | Central bank intervention in the foreign exchange markets assessed using realized moments In: ULB Institutional Repository. [Full Text][Citation analysis] | paper | 0 |
2004 | Have sequential interventions of Central Banks in foreign exchange been effective ? In: ULB Institutional Repository. [Citation analysis] | paper | 3 |
2000 | La 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] | paper | 0 |
2001 | Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse In: Research Memorandum. [Full Text][Citation analysis] | paper | 5 |
2004 | Minimal manipulability: anonymity and surjectivity In: Research Memorandum. [Full Text][Citation analysis] | paper | 1 |
2011 | On the univariate representation of multivariate volatility models with common factors In: Research Memorandum. [Full Text][Citation analysis] | paper | 0 |
2007 | The information content of implied volatility in light of the jump/continuous decomposition of realized volatility In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 39 |
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