Sébastien Laurent : Citation Profile

Are you Sébastien Laurent?

Aix-Marseille Université (85% share)
Université d'Aix-Marseille AMU (15% share)

19

H index

26

i10 index

2103

Citations

RESEARCH PRODUCTION:

41

Articles

80

Papers

1

Chapters

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 110
   Journals where Sébastien Laurent has often published
   Relations with other researchers
   Recent citing documents: 324.    Total self citations: 43 (2 %)

EXPERT IN:

   Financial Econometrics

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pla169
   Updated: 2019-10-15    RAS profile: 2019-03-25    
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Relations with other researchers

Works with:

Hecq, Alain (9)

Chevillon, Guillaume (7)

Quaedvlieg, Rogier (6)

darolles, serge (6)

Violante, Francesco (5)

Hurlin, Christophe (5)

Francq, Christian (5)

Hafner, Christian (4)

Palm, Franz (4)

Erdemlioglu, Deniz (3)

Smeekes, Stephan (3)

Neely, Christopher (3)

BANULESCU-RADU, Denisa (2)

Shi, Shuping (2)

Boudt, Kris (2)

Candelon, Bertrand (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 (105)

Caporin, Massimiliano (72)

Degiannakis, Stavros (48)

Asai, Manabu (36)

Chang, Chia-Lin (26)

Dungey, Mardi (24)

Ruiz, Esther (23)

Rombouts, Jeroen (22)

Bauwens, Luc (22)

Angelidis, Timotheos (21)

Hafner, Christian (20)

Cites to:

Bollerslev, Tim (82)

Andersen, Torben (57)

Engle, Robert (40)

Diebold, Francis (39)

Beine, Michel (25)

Neely, Christopher (23)

Shephard, Neil (23)

Palm, Franz (23)

Lunde, Asger (20)

Barndorff-Nielsen, Ole (19)

Hansen, Peter (19)

Main data

Where Sébastien Laurent has published?

Journals with more than one article published# docs
Journal of Empirical Finance4
Journal of Econometrics4
Journal of Applied Econometrics3
Journal of Financial Econometrics3
Brussels Economic Review2
Journal of Applied Econometrics2
Journal of International Financial Markets, Institutions and Money2
Revue Économique2

Working Papers Series with more than one paper published# docs
Post-Print / HAL11
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles10
Working Papers / HAL6
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
AMSE Working Papers / Aix-Marseille School of Economics, France3
Documents de recherche / Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne2

Recent works citing Sébastien Laurent (2018 and 2017)

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

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2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

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2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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2017Asymmetric Price Volatility Interaction between U.S. Food and Energy Markets. (2017). Saghaian, Sayed H ; Chen, BO ; Walters, Cory G ; Nemati, Mehdi . In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258240.

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

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

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2018When panic makes you blind: a chaotic route to systemic risk. (2018). Mazzarisi, Piero ; Marmi, Stefano ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1805.00785.

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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

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2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2019Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2017Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products. (2017). Mabrouk, Samir. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:63-80.

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2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina. In: Working Papers Series. RePEc:bcb:wpaper:466.

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2018Asset price volatility in EU-6 economies: how large is the role played by the ECB?. (2018). Colabella, Andrea ; Ciarlone, Alessio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1175_18.

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

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2017Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach. (2017). Gupta, Rakesh ; Jithendranathan, Thadavillil ; Yang, Junhao . In: Australian Economic Papers. RePEc:bla:ausecp:v:56:y:2017:i:2:p:134-162.

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2017DYNAMICS BETWEEN NORTH AMERICAN AND EUROPEAN AGRICULTURAL FUTURES PRICES DURING TURMOIL AND FINANCIALIZATION. (2017). Ledebur, Ernst-Oliver ; Bohl, Martin T ; Adammer, Philipp . In: Bulletin of Economic Research. RePEc:bla:buecrs:v:69:y:2017:i:1:p:57-76.

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2019Jockeying for Position in CEO Letters: Impression Management and Sentiment Analytics. (2019). Boudt, Kris ; Thewissen, James. In: Financial Management. RePEc:bla:finmgt:v:48:y:2019:i:1:p:77-115.

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2018Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility. (2018). Schneller, D ; Hamid, A ; Heiden, M. In: German Economic Review. RePEc:bla:germec:v:19:y:2018:i:2:p:209-236.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

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2017Functional Generalized Autoregressive Conditional Heteroskedasticity. (2017). Horvath, Lajos ; Pellatt, Daniel F ; Aue, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:1:p:3-21.

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2017How Has the Behavior of Cross-Market Correlations Altered During Financial and Debt Crises?. (2017). demiralay, sercan ; Ulusoy, Veysel. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:765-794.

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

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

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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2018Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/6.

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2018FORWARD BIAS, UNCOVERED INTEREST PARITY AND RELATED PUZZLES: THE ROLE OF MONETARY POLICY. (2015). Pippenger, John . In: University of California at Santa Barbara, Economics Working Paper Series. RePEc:cdl:ucsbec:qt2cm6p186.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2017Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2017). Crisóstomo, Ricardo ; Crisostomo, Ricardo ; Couso, Lorena. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_67en.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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

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2017FUTURES-BASED MEASURES OF MONETARY POLICY AND JUMP RISK. (2017). Inekwe, John ; Nkwoma, Inekwe John . In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:02:p:384-405_00.

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

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2018Value-at-Risk prediction using option-implied risk measures. (2018). Schindelhauer, Kai ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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

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

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hallin, Marc ; Trucios-Maza, Carlos Cesar ; Hotta, Luis K ; Zevallos, Mauricio. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2017Causal Effects and Dynamic Relationship between Exchange Rate Volatility and Economic Development in Liberia. (2017). Gbatu, Abimelech Paye ; Repha, Isaac Yak ; Wesseh, Presley K ; Wang, Zhen. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-17.

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2018Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities. (2018). Buberkoku, Onder. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-6.

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2019Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets. (2019). Santillan-Salgado, Roberto J ; de Jesus-Gutierrez, Raul. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-12.

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2019Volatility Spillovers among the Cryptocurrency Time Series. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-7.

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2017The Interrelationship between Crude Oil Price Volatility and Money Market Rate Volatility in a Developing, Oil-Producing Economy. (2017). Kalu O., Emenike. In: Eastern European Business and Economics Journal. RePEc:eeb:articl:v:3:y:2017:n:1:p:28-47.

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2018Anticipating electricity prices for future needs – Implications for liberalised retail markets. (2018). Allan, Tian Sheng ; le Ng, Jia. In: Applied Energy. RePEc:eee:appene:v:212:y:2018:i:c:p:244-264.

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2018New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi. In: Applied Energy. RePEc:eee:appene:v:229:y:2018:i:c:p:1202-1217.

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2019When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

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2019Value-at-risk methodologies for effective energy portfolio risk management. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:62:y:2019:i:c:p:197-212.

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

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

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2017Generalized Method of Moment estimation of multivariate multifractal models. (2017). Liu, Ruipeng ; Lux, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:136-148.

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2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

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2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

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2018Systemic risk in the US: Interconnectedness as a circuit breaker. (2018). Dungey, Mardi ; Veredas, David ; Luciani, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:305-315.

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2018Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sharma, Amit ; Sadorsky, Perry. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:278-295.

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2018Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses. (2018). Tsuji, Chikashi. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:167-185.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2018Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas. (2018). de Oliveira, Felipe A ; Da, Cassio ; de Jesus, Diego P ; Maia, Sinezio F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:83-100.

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2018The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market. (2018). della Chang, Jui-Chuan . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:15-28.

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2019Investor trading behavior on agricultural future prices. (2019). Huang, Jialiang ; Zhang, Rixin ; Zhou, Liyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:365-379.

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2019Evaluation of multivariate GARCH models in an optimal asset allocation framework. (2019). Hasim, Haslifah M ; Vrontos, Spyridon ; Abdul, Nor Syahilla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:568-596.

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2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

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

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

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

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2019Testing for structural breaks in factor copula models. (2019). Wied, Dominik ; Stark, Florian ; Manner, Hans. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:324-345.

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2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

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2019A Harris process to model stochastic volatility. (2019). Mena, Ramses H ; Anzarut, Michelle. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:151-169.

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

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

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

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

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2018Loss functions for Loss Given Default model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:1:p:348-360.

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

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2018A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

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2018Risk contribution of the Chinese stock market to developed markets in the post-crisis period. (2018). Yu, Honghai ; Du, Donglei ; Sun, Boyang ; Fang, Libing. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:87-97.

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

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

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

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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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2018Multivariate models with long memory dependence in conditional correlation and volatility. (2018). Dark, Jonathan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:162-180.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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

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

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

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

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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.
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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Post-Print.
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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.
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2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
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This paper has another version. Agregated cites: 0		article
2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
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This paper has another version. Agregated cites: 0		paper
2018Volatility Estimation and Jump Detection for drift-diffusion Processes In: AMSE Working Papers.
[Full Text][Citation analysis]		paper0
2018Volatility Estimation and Jump Detection for drift-diffusion Processes.(2018) In: Working Papers.
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2018Generating Univariate Fractional Integration within a Large VAR(1) In: AMSE Working Papers.
[Full Text][Citation analysis]		paper2
2018Generating univariate fractional integration within a large VAR(1).(2018) In: Journal of Econometrics.
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2018Generating univariate fractional integration within a large VAR(1).(2018) In: Post-Print.
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2018Generating Univariate Fractional Integration within a Large VAR(1).(2018) In: Working Papers.
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This paper has another version. Agregated cites: 2		paper
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
[Full Text][Citation analysis]		paper0
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics.
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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers.
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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper.
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This paper has another version. Agregated cites: 0		paper
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]		article83
2005A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: CORE Discussion Papers RP.
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2002 G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models. In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article48
2016On the Univariate Representation of BEKK Models with Common Factors In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article5
2016On the Univariate Representation of BEKK Models with Common Factors.(2016) In: Post-Print.
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2012On the Univariate Representation of BEKK Models with Common Factors.(2012) In: Research Memorandum.
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1999Capital humain, emploi et revenus du travail: Belgique, 1992 In: Brussels Economic Review.
[Full Text][Citation analysis]		article3
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]		article7
2000L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar.(2000) In: Documents de recherche.
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2001Limpact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar.(2001) In: Revue Économique.
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2001Capital humain, emploi et salaire en Belgique et dans ses régions In: Reflets et perspectives de la vie économique.
[Full Text][Citation analysis]		article4
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper57
2013On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
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2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
[Full Text][Citation analysis]
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2001Value-at-risk for long and short trading positions In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper160
2003Value-at-Risk for long and short trading positions.(2003) In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
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2003Value-at-risk for long and short trading positions.(2003) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
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2002A new class of multivariate skew densities, with application to GARCH models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper34
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: 34		paper
2003Market risk in commodity markets: a VaR approach In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper99
2003Market risk in commodity markets: a VaR approach.(2003) In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
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2003Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 99		article
2003Multivariate GARCH models: a survey In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper760
2006Multivariate GARCH models: a survey.(2006) In: CORE Discussion Papers RP.
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2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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2004Central Bank forex interventions assessed using realized moments In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper23
2009Central bank FOREX interventions assessed using realized moments.(2009) In: CORE Discussion Papers RP.
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2009Central bank FOREX interventions assessed using realized moments.(2009) In: Journal of International Financial Markets, Institutions and Money.
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2003Central Bank Forex Interventions Assessed Using Realized Moments.(2003) In: Research Memorandum.
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2004Bridging the gap between Ox and Gauss using OxGauss In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper1
2005Bridging the gap between Ox and Gauss using OxGauss.(2005) In: Journal of Applied Econometrics.
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2004Bridging the Gap Between Ox and Gauss using OxGauss.(2004) In: Research Memorandum.
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2009Consistent ranking of multivariate volatility models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper7
2010On the forecasting accuracy of multivariate GARCH models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper82
2010On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 82		paper
2012On the forecasting accuracy of multivariate GARCH models.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 82		article
2011Volatility models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper23
2003Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper43
2003Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis.(2003) In: European Economic Review.
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2003Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis.(2003) In: ULB Institutional Repository.
[Citation analysis]
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2003Central bank interventions and jumps in double long memory models of daily exchange rates In: CORE Discussion Papers RP.
[Citation analysis]		paper46
2003Central bank interventions and jumps in double long memory models of daily exchange rates.(2003) In: Journal of Empirical Finance.
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2003Central Bank interventions and jumps in double long memory models of daily exchange rates.(2003) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 46		paper
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models. In: CORE Discussion Papers RP.
[Citation analysis]		paper178
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models.(2004) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 178		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: 178		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: 178		paper
2006The impact of Central Bank FX interventions on currency components In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper11
2007The Impact of Central Bank FX Interventions on Currency Components.(2007) In: Journal of Financial Econometrics.
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2007The impact of Central Bank FX interventions on currency components.(2007) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 11		paper
2009Does 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]		paper11
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: 11		article
2010Trading activity, realized volatility and jumps In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper49
2010Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance.
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2011Jumps, cojumps and macro announcements In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper108
2007Jumps, cojumps and macro announcements.(2007) In: Working Papers.
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2011Jumps, cojumps and macro announcements.(2011) In: Journal of Applied Econometrics.
[Citation analysis]
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2012Volatility forecasts evaluation and comparison In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper3
2011Outlyingness weighted covariation In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper19
2011Outlyingness Weighted Covariation.(2011) In: Journal of Financial Econometrics.
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2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence In: ESSEC Working Papers.
[Full Text][Citation analysis]		paper1
2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.(2015) In: Working Papers.
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2015Long memory through marginalization of large systems and hidden cross-section dependence.(2015) In: Research Memorandum.
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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]		paper17
2000Structural change and long memory in volatility: new evidence from daily exchange rates.(2000) In: ULB Institutional Repository.
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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article10
2016Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach.(2016) In: Post-Print.
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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.
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2011Robust estimation of intraweek periodicity in volatility and jump detection In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article44
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article26
2015Which continuous-time model is most appropriate for exchange rates? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article2
2013Which continuous-time model is most appropriate for exchange rates?.(2013) In: Working Papers.
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2015Which continuous-time model is most appropriate for exchange rates?.(2015) In: Post-Print.
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2001Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data In: Journal of Policy Modeling.
[Full Text][Citation analysis]		article2
2013Econometric modeling of exchange rate volatility and jumps In: Chapters.
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2012Econometric modeling of exchange rate volatility and jumps.(2012) In: Working Papers.
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2000Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions In: Documents de recherche.
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2007Central bank intervention and exchange rate volatility, its continuous and jump components In: Working Papers.
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2007Central bank intervention and exchange rate volatility, its continuous and jump components.(2007) In: International Journal of Finance & Economics.
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2007Central Bank intervention and exchange rate volatility: its continuous and jump components.(2007) In: ULB Institutional Repository.
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2016Do We Need High Frequency Data to Forecast Variances? In: Post-Print.
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2016Introduction to the special issue on recent developments in Financial Econometrics In: Post-Print.
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2017Risk Measure Inference In: Post-Print.
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2015Risk Measure Inference.(2015) In: Working Papers.
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2017Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics.
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2014Estimating and forecasting ARCH models using G@RCH 6 In: Post-Print.
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2014Do We Need Ultra-High Frequency Data to Forecast Variances? In: Working Papers.
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2004Analytical Derivates of the APARCH Model In: Computational Economics.
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2011Common Intraday Periodicity In: Journal of Financial Econometrics.
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2011Common intraday periodicity.(2011) In: Research Memorandum.
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2000La persistance des chocs de volatilité sur le marché des changes sest-elle modifée depuis le debut des annees 1980 ? In: Revue Économique.
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2001G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models In: Computing in Economics and Finance 2001.
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2002Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002.
[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]		article21
2002Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates.(2002) In: ULB Institutional Repository.
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2012Do jumps mislead the FX market? In: Quantitative Finance.
[Full Text][Citation analysis]		article1
2007Central 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.
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2007The information content of implied volatility in light of the jump/continuous decomposition of realized volatility In: Journal of Futures Markets.
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