Sébastien Laurent : Citation Profile

Are you Sébastien Laurent?

Aix-Marseille Université

23

H index

29

i10 index

2884

Citations

RESEARCH PRODUCTION:

45

Articles

96

Papers

2

Chapters

RESEARCH ACTIVITY:

   23 years (1999 - 2022). See details.
   Cites by year: 125
   Journals where Sébastien Laurent has often published
   Relations with other researchers
   Recent citing documents: 240.    Total self citations: 51 (1.74 %)

EXPERT IN:

   Financial Econometrics

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   Permalink: http://citec.repec.org/pla169
   Updated: 2023-01-28    RAS profile: 2023-01-19    
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Relations with other researchers

Works with:

Francq, Christian (6)

Shi, Shuping (6)

darolles, serge (5)

Chevillon, Guillaume (5)

Violante, Francesco (4)

Quaedvlieg, Rogier (4)

Hafner, Christian (4)

Hecq, Alain (4)

LECOURT, Christelle (3)

Smeekes, Stephan (2)

Hurlin, Christophe (2)

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

Is cited by:

McAleer, Michael (86)

Degiannakis, Stavros (67)

Caporin, Massimiliano (62)

GUPTA, RANGAN (42)

Asai, Manabu (32)

Bauwens, Luc (32)

Darné, Olivier (29)

Ruiz, Esther (28)

Hafner, Christian (27)

Angelidis, Timotheos (27)

Chang, Chia-Lin (25)

Cites to:

Bollerslev, Tim (91)

Andersen, Torben (61)

Diebold, Francis (42)

Engle, Robert (31)

Beine, Michel (30)

Palm, Franz (29)

Shephard, Neil (28)

Lunde, Asger (27)

Hansen, Peter (27)

Barndorff-Nielsen, Ole (26)

Neely, Christopher (26)

Main data

Where Sébastien Laurent has published?

Journals with more than one article published# docs
Journal of Econometrics5
Journal of Applied Econometrics4
Journal of Empirical Finance4
Journal of Applied Econometrics3
The Journal of Financial Econometrics3
Econometric Theory2
Journal of International Financial Markets, Institutions and Money2
Brussels Economic Review2
Revue conomique2

Working Papers Series with more than one paper published# docs
Post-Print / HAL16
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles10
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)8
Working Papers / HAL6
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
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
Documents de recherche / Centre d'tudes des Politiques conomiques (EPEE), Universit d'Evry Val d'Essonne2

Recent works citing Sébastien Laurent (2022 and 2021)

YearTitle of citing document
2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: CREATES Research Papers. RePEc:aah:create:2021-05.

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2022A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2021A GARCH Tutorial with R. (2021). Perlin, Marcelo ; Vancin, Daniel Francisco ; Mastella, Mauro ; Ramos, Henrique Pinto. In: RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration). RePEc:abg:anprac:v:25:y:2021:i:1:1420.

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2021Time-varying volatility spillover of foreign exchange rate in three Asian markets: Based on DCC-GARCH approach. (2021). Sahoo, Malayaranjan ; Mishra, Amritkant ; Srivastava, Purwa ; Gupta, Mohini. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(629):y:2021:i:4(629):p:105-120.

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2021Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:1912.09002.

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2022Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

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2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules. (2021). Alexander, Carol ; Coulon, Michael ; Han, Yang ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2101.12693.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021Volatility Modeling of Stocks from Selected Sectors of the Indian Economy Using GARCH. (2021). Dutta, Abhishek ; Mehtab, Sidra ; Sen, Jaydip. In: Papers. RePEc:arx:papers:2105.13898.

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2021Price graphs: Utilizing the structural information of financial time series for stock prediction. (2021). Chen, Xueyuan ; Xu, KE ; Wu, Junran ; Zhao, Jichang ; Li, Shangzhe. In: Papers. RePEc:arx:papers:2106.02522.

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2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518.

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2021Closed-form portfolio optimization under GARCH models. (2021). Zagst, Rudi ; Gollart, Maximilian ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2109.00433.

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2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

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2022CTMSTOU driven markets: simulated environment for regime-awareness in trading policies. (2022). Balch, Tucker ; Moulin, Aymeric ; Amrouni, Selim. In: Papers. RePEc:arx:papers:2202.00941.

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2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

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2022Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285.

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2022Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806.

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2022Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2022A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2022Estimating value at risk: LSTM vs. GARCH. (2022). Schmidt, Thorsten ; Safarveisi, Sajad ; Pitera, Marcin ; Ormaniec, Weronika. In: Papers. RePEc:arx:papers:2207.10539.

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2022Change 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.

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2022Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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2021Interdependence among West African stock markets: A dimension of regional financial integration. (2021). Kalu O., Emenike. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:288-299.

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2021Oil price shocks, real economic activity and uncertainty. (2021). Suardi, Sandy ; Darne, Olivier ; Chua, Chew Lian ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:364-392.

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2022A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683.

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2022Economic forecasts, anchoring bias, and stock returns. (2022). Yu, Han ; Dutta, Sandip ; Birz, Gene. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:169-191.

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2021Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings. (2021). GUPTA, RANGAN ; Wohar, Mark E ; Kanda, Patrick. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:324-335.

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2021The profitability of trading on large Lévy jumps. (2021). Pan, Zheyao ; Gray, Phil ; Chan, Kam Fong. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:627-635.

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2022Periodicity of trading activity in foreign exchange markets. (2022). Chen, Tao ; Chang, Haodong. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:445-465.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022On the Relationship between Uhlig Extended and beta?Bartlett Processes. (2022). Irie, Kaoru ; Pea, Victor. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:147-153.

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2022Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665.

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2022Dynamic correlation between crude oil and agricultural futures markets. (2022). Kang, Hanwen ; Yan, BO ; Chen, Zhuo. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:3:p:1798-1849.

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2021Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages. (2021). Hiroyuki, Kawakatsu. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:33-52:n:7.

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2021Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2.

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2021Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas. (2021). Violante, Francesco ; Grassi, Stefano. In: Working Papers. RePEc:crs:wpaper:2021-05.

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2022Econometric Analysis of Asset Price Bubbles. (2022). Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2331.

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2021Oil Price Volatility Models during Coronavirus Crisis: Testing with Appropriate Models Using Further Univariate GARCH and Monte Carlo Simulation Models. (2021). Hadhek, Zouhaier ; Bouazizi, Tarek ; Lassoued, Mongi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-35.

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2022Do Energy and Gold Markets Interact with Islamic Stocks? Evidence from the Asia-Pacific Markets. (2022). Usmonov, Jaloliddin ; Mukhamedov, Farkhod ; Avazkhodjaev, Salokhiddin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-03-21.

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2021Assessing the performance of deep learning models for multivariate probabilistic energy forecasting. (2021). Honkapuro, Samuli ; Kaarna, Arto ; Lensu, Lasse ; Kuronen, Toni ; Mashlakov, Aleksei. In: Applied Energy. RePEc:eee:appene:v:285:y:2021:i:c:s0306261920317748.

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2022Option pricing of carbon asset and its application in digital decision-making of carbon asset. (2022). Kong, Chuimin ; Zhang, Xiling ; Sun, Huaping ; Tian, Lixin ; Liu, Yue. In: Applied Energy. RePEc:eee:appene:v:310:y:2022:i:c:s0306261921016160.

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2021Spillover across sovereign bond markets between the US and ASEAN4 economies. (2021). Nguyen, Huy Toan ; Yiu, Matthew S ; Tsang, Andrew. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000725.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2021Analyzing causality between epidemics and oil prices: Role of the stock market. (2021). Gong, Qiang ; Jang, Chyi-Lu ; Chang, Chun-Ping ; Sui, BO. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:70:y:2021:i:c:p:148-158.

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2021Oil and precious metals: Volatility transmission, hedging, and safe haven analysis from the Asian crisis to the COVID-19 crisis. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Nekhili, Ramzi ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:73-96.

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2022Are high frequency traders responsible for extreme price movements?. (2022). Westerholm, Joakim P ; Prodromou, Tina. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:94-111.

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2021Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?. (2021). Rude, James ; Qiu, Feng ; An, Henry. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001413.

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2021Market instability and technical trading at high frequency: Evidence from NASDAQ stocks. (2021). Vargas, Nicolas ; Petitjean, Mikael ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001814.

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2021Fundamental volatility and informative trading volume in a rational expectations equilibrium. (2021). Mao, Yipeng ; Luo, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002522.

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2022Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881.

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2022Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x.

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2022Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281.

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2021Evidence on time-varying inflation synchronization. (2021). Szafranek, Karol. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:1-13.

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2021Jump Interdependencies: Stochastic linkages among international stock markets. (2021). Prasanna, Krishna ; Kshatriya, Saranya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000528.

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2021Forecasting the Value-at-Risk of REITs using realized volatility jump models. (2021). Odusami, Babatunde O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000589.

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2021The effects of FX-interventions on forecasters disagreement: A mixed data sampling view. (2021). Iregui, Ana ; Holmes, Mark ; Otero, Jesus. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001285.

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2022Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction. (2022). Gao, Tianqing ; Mei, Xiaowen ; Pan, Qunxing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001947.

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2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

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2021The continuous-time limit of score-driven volatility models. (2021). Livieri, Giulia ; Flandoli, Franco ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:655-675.

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2022Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227.

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2022Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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2021Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley . In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94.

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2021Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence. (2021). Lucas, Andre ; van Vlodrop, Andries C ; Blasques, Francisco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:47-57.

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2022High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203.

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2022Correcting Intraday Periodicity Bias in Realized Volatility Measures. (2022). Kellermann, Janosch ; Golosnoy, Vasyl ; Dette, Holger. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:36-52.

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2021Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty. (2021). Xie, Tian ; Qiu, Yue ; Wang, Zongrun ; Zhang, Xinyu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:179-201.

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2021Stochastic volatility: A tale of co-jumps, non-normality, GMM and high frequency data. (2021). Ewald, Christian-Oliver ; Zou, Yihan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:37-52.

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2021Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions. (2021). Patra, Saswat. In: Energy Economics. RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321003406.

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2021Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting. (2021). Lee, Chien-Chiang ; Liu, Min. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004874.

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2022Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?. (2022). Wang, LU ; Wu, Jiangbin ; Cao, Yang ; Hong, Yanran. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002237.

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2022Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China. (2022). Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002730.

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2021Hedging stocks with oil. (2021). Wagner, Niklas F ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319301914.

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2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

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2022Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19. (2022). Jamasb, Tooraj ; Nepal, Rabindra ; Farid, Saqib ; Naeem, Muhammad Abubakr ; Arif, Muhammad. In: Energy Policy. RePEc:eee:enepol:v:168:y:2022:i:c:s0301421522003275.

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2021Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market. (2021). Verling, Trude Haugsvaer ; Bogaard, Katinka ; Botterud, Audun ; Negash, Ahlmahz ; Fleten, Stein-Erik ; Stein- Erik Fleten, ; Westgaard, Sjur. In: Energy. RePEc:eee:energy:v:214:y:2021:i:c:s0360544220319034.

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2022Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments. (2022). Maghyereh, Aktham ; Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pb:s036054422101999x.

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2022The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526.

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2021Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491.

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2021VCRIX — A volatility index for crypto-currencies. (2021). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Kim, Alisa. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002416.

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2022Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?. (2022). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad ; Benkraiem, Ramzi. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s105752192200151x.

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2022Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002137.

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2022Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320.

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2022What drives cross-market correlations during the United States Q.E.?. (2022). Vo, Xuan Vinh ; Do, Hung Xuan ; Brooks, Robert ; Yip, Pick Schen. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002721.

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2021Modeling dynamic higher moments of crude oil futures. (2021). Li, Chao ; Wang, Tianyi ; Liang, Fang ; Huang, Zhuo. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319302727.

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2021Do economic news releases affect tail risk? Evidence from an emerging market. (2021). Siriopoulos, Costas ; Tsagkanos, Athanasios ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030297x.

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2021Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets. (2021). Choudhury, Tonmoy ; Campbell, Ross ; Kinateder, Harald. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000325.

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2022A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”. (2022). Roxana, Ioan ; Maria, Dima Tefana ; Bogdan, Dima. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002154.

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2022Modeling and forecasting firm-specific volatility: The role of asymmetry and long-memory. (2022). Gonzalez-Pla, Francisco ; Lovreta, Lidija. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001933.

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2022U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?. (2022). Mei, Dexiang ; Xie, Yutang. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002689.

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2021Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962.

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2021On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities. (2021). Yfanti, S ; Karanasos, M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000111.

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2021Pan-African banks, banking interconnectivity: A new systemic risk measure in the WAEMU. (2021). Kanga, Kouame Desire ; Sene, Babacar ; Saidane, Dhafer. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001220.

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2022Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. (2022). Roestel, Jan ; Herwartz, Helmut. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000531.

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2022Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993.

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2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

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2021Multivariate volatility forecasts for stock market indices. (2021). Croux, Christophe ; Rombouts, Jeroen ; Wilms, Ines. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:484-499.

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2021A dynamic conditional approach to forecasting portfolio weights. (2021). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126.

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2021Identification of volatility proxies as expectations of squared financial returns. (2021). Sucarrat, Genaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1677-1690.

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2021Volatility forecasting in European government bond markets. (2021). Ozbekler, Ali Gencay ; Triantafyllou, Athanasios ; Kontonikas, Alexandros. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1691-1709.

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

Works by Sébastien Laurent:

YearTitleTypeCited
2014Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity In: CREATES Research Papers.
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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics.
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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.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA.
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2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE.
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2017Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE.
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2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
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2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
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2018Volatility Estimation and Jump Detection for drift-diffusion Processes In: AMSE Working Papers.
[Full Text][Citation analysis]		paper3
2020Volatility estimation and jump detection for drift–diffusion processes.(2020) In: Journal of Econometrics.
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2020Volatility estimation and jump detection for drift–diffusion processes.(2020) In: Post-Print.
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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]		paper6
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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2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
[Full Text][Citation analysis]		paper8
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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2011Volatility Models In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper26
2012Volatility Models.(2012) In: LIDAM Reprints ISBA.
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2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
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2012Testing conditional asymmetry: A residual-based approach In: LIDAM Reprints ISBA.
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2012Testing conditional asymmetry: A residual-based approach.(2012) In: Journal of Economic Dynamics and Control.
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2012Testing conditional asymmetry. A residual based approach.(2012) In: ULB Institutional Repository.
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2021Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs In: LIDAM Reprints LFIN.
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2021Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs.(2021) In: Post-Print.
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2021Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs.(2021) In: Dynamic Modeling and Econometrics in Economics and Finance.
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2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics.
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2005A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: LIDAM Reprints CORE.
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2002G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article2
2016On the Univariate Representation of BEKK Models with Common Factors In: Journal of Time Series Econometrics.
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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]		article4
2000Labsentéisme dans une institution hospitalière: les facteurs déterminants In: Brussels Economic Review.
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2001Limpact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar In: Revue économique.
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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.
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2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers.
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2013On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics.
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2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
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2001Value-at-risk for long and short trading positions In: LIDAM Discussion Papers CORE.
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2003Value-at-Risk for long and short trading positions.(2003) In: LIDAM Reprints CORE.
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2003Value-at-risk for long and short trading positions.(2003) In: Journal of Applied Econometrics.
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2002A new class of multivariate skew densities, with application to GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper40
2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
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2003Market risk in commodity markets: a VaR approach In: LIDAM Discussion Papers CORE.
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2003Market risk in commodity markets: a VaR approach.(2003) In: LIDAM Reprints CORE.
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2003Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics.
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2003Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE.
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2006Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE.
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2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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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: LIDAM Discussion Papers CORE.
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2009Central bank FOREX interventions assessed using realized moments.(2009) In: LIDAM Reprints CORE.
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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: LIDAM Discussion Papers CORE.
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2005Bridging the gap between Ox and Gauss using OxGauss.(2005) In: Journal of Applied Econometrics.
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2004Bridging the gap between Ox and Gauss using OxGauss.(2004) In: Research Memorandum.
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2005Bridging the gap between Ox and Gauss using OxGauss.(2005) In: Journal of Applied Econometrics.
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2009Consistent ranking of multivariate volatility models In: LIDAM Discussion Papers CORE.
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2010On the forecasting accuracy of multivariate GARCH models In: LIDAM Discussion Papers CORE.
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2010On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche.
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2012On the forecasting accuracy of multivariate GARCH models.(2012) In: Journal of Applied Econometrics.
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2022We modeled long memory with just one lag! In: LIDAM Discussion Papers CORE.
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2003Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis In: LIDAM Reprints CORE.
[Full Text][Citation analysis]		paper64
2003Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis.(2003) In: European Economic Review.
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2003Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis.(2003) In: ULB Institutional Repository.
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2003Central bank interventions and jumps in double long memory models of daily exchange rates In: LIDAM Reprints CORE.
[Citation analysis]		paper50
2003Central bank interventions and jumps in double long memory models of daily exchange rates.(2003) In: Journal of Empirical Finance.
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2003Central Bank interventions and jumps in double long memory models of daily exchange rates.(2003) In: ULB Institutional Repository.
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2004Modelling daily Value-at-Risk using realized volatility and ARCH type models. In: LIDAM Reprints CORE.
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2004Modelling daily Value-at-Risk using realized volatility and ARCH type models.(2004) In: Journal of Empirical Finance.
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2002Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models.(2002) In: Computing in Economics and Finance 2002.
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2001Modelling daily value-at-risk using realized volatility and arch type models.(2001) In: Research Memorandum.
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2006The impact of Central Bank FX interventions on currency components In: LIDAM Reprints CORE.
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2007The Impact of Central Bank FX Interventions on Currency Components.(2007) In: The Journal of Financial Econometrics.
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2007The impact of Central Bank FX interventions on currency components.(2007) In: ULB Institutional Repository.
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2009Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan In: LIDAM Reprints CORE.
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2009Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan.(2009) In: Journal of International Financial Markets, Institutions and Money.
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2010Trading activity, realized volatility and jumps In: LIDAM Reprints CORE.
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2010Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance.
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2011Jumps, cojumps and macro announcements In: LIDAM Reprints CORE.
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2007Jumps, cojumps and macro announcements.(2007) In: Working Papers.
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2011Jumps, cojumps and macro announcements.(2011) In: Journal of Applied Econometrics.
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2012Volatility forecasts evaluation and comparison In: LIDAM Reprints CORE.
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2011Outlyingness weighted covariation In: LIDAM Reprints CORE.
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2011Outlyingness Weighted Covariation.(2011) In: The Journal of Financial Econometrics.
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2022UNIT ROOT TEST WITH HIGH-FREQUENCY DATA In: Econometric Theory.
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2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence In: ESSEC Working Papers.
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2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.(2015) In: Working Papers.
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2015Long memory through marginalization of large systems and hidden cross-section dependence.(2015) In: Research Memorandum.
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2008Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach In: Working Papers ECARES.
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2000Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates In: Econometric Society World Congress 2000 Contributed Papers.
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2000Structural change and long memory in volatility: new evidence from daily exchange rates.(2000) In: ULB Institutional Repository.
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2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach In: Computational Statistics & Data Analysis.
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2016Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach.(2016) In: Post-Print.
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2011Robust estimation of intraweek periodicity in volatility and jump detection In: Journal of Empirical Finance.
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2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
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2015Which continuous-time model is most appropriate for exchange rates? In: Journal of Banking & Finance.
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2013Which continuous-time model is most appropriate for exchange rates?.(2013) In: Working Papers.
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2015Which continuous-time model is most appropriate for exchange rates?.(2015) In: Post-Print.
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2001Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data In: Journal of Policy Modeling.
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2013Econometric modeling of exchange rate volatility and jumps In: Chapters.
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2012Econometric modeling of exchange rate volatility and jumps.(2012) In: Working Papers.
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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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2001The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility [Limpact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-d In: Post-Print.
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2020Jumps et modèles de type GARCH (Chapitre 3) 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: The Journal of Financial Econometrics.
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2011Common intraday periodicity.(2011) In: Research Memorandum.
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2000La persistance des chocs de volatilité sur le marché des changes sest-elle modifée depuis le debut des annees 1980 ? In: Revue Économique.
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2001G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models In: Computing in Economics and Finance 2001.
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2002Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002.
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2002Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates In: Applied Financial Economics.
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