Sébastien Laurent : Citation Profile

Are you Sébastien Laurent?

Aix-Marseille Université

23

H index

33

i10 index

3076

Citations

RESEARCH PRODUCTION:

45

Articles

96

Papers

2

Chapters

RESEARCH ACTIVITY:

   23 years (1999 - 2022). See details.
   Cites by year: 133
   Journals where Sébastien Laurent has often published
   Relations with other researchers
   Recent citing documents: 96.    Total self citations: 51 (1.63 %)

EXPERT IN:

   Financial Econometrics

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   Permalink: http://citec.repec.org/pla169
   Updated: 2024-01-16    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Shi, Shuping (4)

LECOURT, Christelle (3)

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

Is cited by:

Degiannakis, Stavros (67)

Caporin, Massimiliano (67)

GUPTA, RANGAN (48)

Bauwens, Luc (35)

Asai, Manabu (33)

Darné, Olivier (29)

Ruiz, Esther (28)

Angelidis, Timotheos (27)

Nguyen, Duc Khuong (27)

Hafner, Christian (27)

Beine, Michel (25)

Cites to:

Bollerslev, Tim (91)

Andersen, Torben (61)

Diebold, Francis (42)

Engle, Robert (31)

Beine, Michel (31)

Palm, Franz (29)

Shephard, Neil (29)

Hansen, Peter (27)

Lunde, Asger (27)

Neely, Christopher (26)

LECOURT, Christelle (20)

Main data

Where Sébastien Laurent has published?

Journals with more than one article published# docs
Journal of Econometrics5
Journal of Empirical Finance4
Journal of Applied Econometrics4
Journal of Applied Econometrics3
The Journal of Financial Econometrics3
Revue Économique2
Econometric Theory2
Brussels Economic Review2
Journal of International Financial Markets, Institutions and Money2

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 / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
LIDAM Discussion Papers ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
Documents de recherche / Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne2

Recent works citing Sébastien Laurent (2024 and 2023)

YearTitle of citing document
2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023A 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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2023Change 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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2023A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs. (2023). Khorrami, Farshad ; Krishnamurthy, Prashanth ; Fu, Hao ; Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2301.10869.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications. (2023). Shi, Shuping ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2303.13406.

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2023Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2023A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484.

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2023Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169.

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2023The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis. (2023). Ampountolas, Apostolos. In: Papers. RePEc:arx:papers:2307.09137.

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2023Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958.

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2023Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061.

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2023Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2023). Neely, Christopher ; Boudt, Kris ; Laurent, S'Ebastien ; Bouamara, Nabil. In: Papers. RePEc:arx:papers:2309.15705.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2023Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797.

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2023Laplacian-energy-like measure: Does it improve the Cross-Sectional Absolute Deviation herding model?. (2023). Yang, Xin ; Deng, Yanchen ; Cai, Yaqian ; Huang, Chuangxia. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002857.

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2023Is a co-jump in prices a sparse jump?. (2023). Li, Handong ; Song, Shijia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000463.

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2023Asymmetric volatility impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426.

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2023Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Quasi score-driven models. (2023). Laurent, Sebastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:251-275.

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2023Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64.

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2023Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086.

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2023ETF Basket-Adjusted Covariance estimation. (2023). Vanduffel, Steven ; Boudt, Kris ; Sauri, Orimar ; Dragun, Kirill. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1144-1171.

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2023We modeled long memory with just one lag!. (2023). Chevillon, Guillaume ; Bauwens, Luc ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2023Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46.

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2023Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000425.

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2023Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2023Attention to oil prices and its impact on the oil, gold and stock markets and their covariance. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s014098832300141x.

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2023Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360.

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2023Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033.

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2023Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach. (2023). Brooks, Robert ; Hasanov, Akram Shavkatovich ; Vellachami, Sanggetha. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002314.

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2023Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023Forecasting Bitcoin with technical analysis: A not-so-random forest?. (2023). Djakovic, Vladimir ; Adcock, Robert ; Kukolj, Dragan ; Gradojevic, Nikola. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:1-17.

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2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

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2023DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669.

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2023Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289.

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2023Exchange rate volatility and the effectiveness of FX interventions: The case of Chile. (2023). Pia, Marco ; Jara, Alejandro. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:4:y:2023:i:2:s2666143823000030.

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2023In search of hedges and safe havens during the COVID?19 pandemic: Gold versus Bitcoin, oil, and oil uncertainty. (2023). Makram, Beljid ; Chaibi, Anis ; Boubaker, Sabri ; Al-Nassar, Nassar S. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:318-332.

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2023COVID-19 and stock returns: Evidence from the Markov switching dependence approach. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000089.

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2023Global economic uncertainty and the Chinese stock market: Assessing the impacts of global indicators. (2023). Cui, Can ; Zhang, Yueyan ; Bai, Jiancheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000752.

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2023Network effects and store-of-value features in the cryptocurrency market. (2023). Adelopo, Ismail ; Luo, Xiaojun ; Bakhtiar, Tiam. In: Technology in Society. RePEc:eee:teinso:v:74:y:2023:i:c:s0160791x23001252.

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2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2023Changes in the Polish Coal Sector Economic Situation with the Background of the European Union Energy Security and Eco-Efficiency Policy. (2023). Holden, Lisa ; Bedycka-Borawska, Aneta ; Borawski, Piotr. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:2:p:726-:d:1028725.

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2023Scalar Measures of Volatility and Dependence for the Multivariate Models with Applications to Asian Financial Markets. (2023). Bera, Anil K ; Kim, Sangwhan. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:212-:d:1108433.

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2023A New Neural Network Approach for Predicting the Volatility of Stock Market. (2023). Kim, Geonwoo ; Koo, Eunho. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10261-7.

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2023The two-component Beta-t-QVAR-M-lev: a new forecasting model. (2023). Blazsek, Szabolcs ; Cardia, Michel Ferreira ; Sheng, Hsia Hua ; Fuerst, Franz ; Arestis, Philip. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00431-4.

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2023Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation. (2023). Killian, Sheila ; Cummins, Mark ; McCullagh, Orla. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:3:d:10.1057_s41261-022-00199-z.

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2023Examining volatility and spillover effects between markets for sovereign bonds of African countries and the world’s long term interest rate. (2023). Debalke, Negash Mulatu. In: MPRA Paper. RePEc:pra:mprapa:117491.

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2023The determinants of the dynamic correlation between foreign exchange and equity markets: Cross-Country comparisons. (2023). Bonga-Bonga, Lumengo ; Tshikalange, Mulanga. In: MPRA Paper. RePEc:pra:mprapa:118401.

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2023Relative Signed Jump and Future Stock Returns. (2023). Ullah, Wali ; Sharif, Saqib ; Rehman, Seema. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2023:i:1:p:25-45.

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2023The Consumption Response to Labour Income Changes. (2023). Weytjens, Johannes ; Schoors, Koen ; Boudt, Kris ; van den Heuvel, Milan. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:23/1067.

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2023Heterogeneous tail generalized common factor modeling. (2023). Polak, Pawe ; Paolella, Marc S ; Naf, Jeffrey ; Hediger, Simon. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z.

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2023Research on cojumps of electronic commerce overnight factors in volatility prediction based on joint BW test. (2023). Wang, Zhiqiang ; Xiong, Haifang ; Deng, Liling. In: Electronic Commerce Research. RePEc:spr:elcore:v:23:y:2023:i:1:d:10.1007_s10660-022-09545-9.

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2023Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1.

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2023Diversification evidence of bitcoin and gold from wavelet analysis. (2023). Zhang, Changyong ; Husain, Afzol ; Bhuiyan, Rubaiyat Ahsan. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00495-1.

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2023Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange. (2023). Kadioglu, Eyup ; Frommel, Michael. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00500-7.

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2023Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets. (2023). Kambouroudis, Dimos ; McMillan, David G ; Sahiner, Mehmet. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:3:d:10.1007_s12197-023-09629-8.

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2023Buy, sell or rent the farm: succession planning and the future of farming on the Great Plains. (2023). Nolan, James F ; Schoney, Richard A ; Su, Chi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00381-0.

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2023Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w.

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2023The effect of intraday periodicity on realized volatility measures. (2023). Kellermann, Janosch ; Golosnoy, Vasyl ; Dette, Holger. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:3:d:10.1007_s00184-022-00875-0.

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2023Bayesian inference of multivariate-GARCH-BEKK models. (2023). Nur, Darfiana ; Livingston, G C. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01360-6.

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2023A Truncated Mixture Transition Model for Interval-valued Time Series. (2023). Luo, Yun ; Gonzalez-Rivera, Gloria. In: Working Papers. RePEc:ucr:wpaper:202315.

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2023A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information. (2023). Li, Ziyang ; Chevallier, Julien ; M. I. M. Wahab, ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:60-75.

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2023Jump forecasting in foreign exchange markets: A high?frequency analysis. (2023). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Uzun, Sevcan. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:3:p:578-624.

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2023El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach. (2023). Pierdzioch, Christian ; Gupta, Rangan ; Epni, Ouzhan ; Bonato, Matteo. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:785-801.

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2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

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2023A new model for forecasting VaR and ES using intraday returns aggregation. (2023). Li, Handong ; Song, Shijia. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1039-1054.

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2023Impact of crude oil volatility jumps on sustainable investments: Evidence from India. (2023). Uddin, Gazi Salah ; Park, Donghyun ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1450-1468.

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2023Optimal futures hedging by using realized semicovariances: The information contained in signed high?frequency returns. (2023). Lai, Yusheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:677-701.

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2023Contagion between selected European indexes during the Covid-19 pandemic. (2023). Syrek, Robert ; Gurgul, Henryk. In: Operations Research and Decisions. RePEc:wut:journl:v:33:y:2023:i:1:p:47-59:id:4.

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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.
[Full Text][Citation analysis]		paper4
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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This paper has nother version. Agregated cites: 4		article
2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
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This paper has nother version. Agregated cites: 4		paper
2018Volatility Estimation and Jump Detection for drift-diffusion Processes In: AMSE Working Papers.
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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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This paper has nother version. Agregated cites: 6		paper
2018Generating Univariate Fractional Integration within a Large VAR(1) In: AMSE Working Papers.
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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 nother version. Agregated cites: 8		paper
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
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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 nother version. Agregated cites: 11		paper
2011Volatility Models In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper26
2012Volatility Models.(2012) In: LIDAM Reprints ISBA.
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This paper has nother version. Agregated cites: 26		paper
2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
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This paper has nother version. Agregated cites: 26		paper
2012Testing conditional asymmetry: A residual-based approach In: LIDAM Reprints ISBA.
[Citation analysis]		paper8
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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This paper has nother version. Agregated cites: 8		paper
2021Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs In: LIDAM Reprints LFIN.
[Citation analysis]		paper0
2021Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs.(2021) In: Post-Print.
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This paper has nother version. Agregated cites: 0		paper
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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This paper has nother version. Agregated cites: 0		chapter
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]		article130
2005A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 130		paper
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.
[Full Text][Citation analysis]		article8
2016On the Univariate Representation of BEKK Models with Common Factors.(2016) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2012On the univariate representation of BEKK models with common factors.(2012) In: Research Memorandum.
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This paper has nother version. Agregated cites: 8		paper
1999Capital humain, emploi et revenus du travail: Belgique, 1992 In: Brussels Economic Review.
[Full Text][Citation analysis]		article5
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]		article10
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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This paper has nother version. Agregated cites: 10		paper
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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This paper has nother version. Agregated cites: 10		article
2001Capital humain, emploi et salaire en Belgique et dans ses régions In: Reflets et perspectives de la vie économique.
[Full Text][Citation analysis]		article4
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper95
2013On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 95		article
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 95		paper
2001Value-at-risk for long and short trading positions In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper196
2003Value-at-Risk for long and short trading positions.(2003) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 196		paper
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.
[Citation analysis]
This paper has nother version. Agregated cites: 40		paper
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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This paper has nother version. Agregated cites: 133		paper
2003Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics.
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This paper has nother version. Agregated cites: 133		article
2003Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper1066
2006Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 1066		paper
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 1066		article
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 1066		article
2004Central Bank forex interventions assessed using realized moments In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper23
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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This paper has nother version. Agregated cites: 23		article
2003Central bank FOREX interventions assessed using realized moments.(2003) In: Research Memorandum.
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This paper has nother version. Agregated cites: 23		paper
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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This paper has nother version. Agregated cites: 3		article
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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This paper has nother version. Agregated cites: 3		article
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.
[Full Text][Citation analysis]		paper125
2010On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche.
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This paper has nother version. Agregated cites: 125		paper
2012On the forecasting accuracy of multivariate GARCH models.(2012) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 125		article
2022We modeled long memory with just one lag! In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper1
2003Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis In: LIDAM Reprints CORE.
[Full Text][Citation analysis]		paper67
2003Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis.(2003) In: European Economic Review.
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This paper has nother version. Agregated cites: 67		article
2003Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis.(2003) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 67		paper
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.
[Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models. In: LIDAM Reprints CORE.
[Citation analysis]		paper228
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 nother version. Agregated cites: 228		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 nother version. Agregated cites: 228		paper
2001Modelling daily value-at-risk using realized volatility and arch type models.(2001) In: Research Memorandum.
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This paper has nother version. Agregated cites: 228		paper
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.
[Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2009Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan In: LIDAM Reprints CORE.
[Full Text][Citation analysis]		paper12
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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This paper has nother version. Agregated cites: 12		article
2010Trading activity, realized volatility and jumps In: LIDAM Reprints CORE.
[Full Text][Citation analysis]		paper97
2010Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 97		article
2011Jumps, cojumps and macro announcements In: LIDAM Reprints CORE.
[Full Text][Citation analysis]		paper186
2007Jumps, cojumps and macro announcements.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 186		paper
2011Jumps, cojumps and macro announcements.(2011) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 186		article
2012Volatility forecasts evaluation and comparison In: LIDAM Reprints CORE.
[Full Text][Citation analysis]		paper10
2011Outlyingness weighted covariation In: LIDAM Reprints CORE.
[Full Text][Citation analysis]		paper29
2011Outlyingness Weighted Covariation.(2011) In: The Journal of Financial Econometrics.
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2022UNIT ROOT TEST WITH HIGH-FREQUENCY DATA In: Econometric Theory.
[Full Text][Citation analysis]		article2
2022Unit Root Test with High-Frequency Data.(2022) In: Post-Print.
[Citation analysis]
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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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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]		paper24
2000Structural change and long memory in volatility: new evidence from daily exchange rates.(2000) In: ULB Institutional Repository.
[Citation analysis]
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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]		article44
2016Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach.(2016) In: Post-Print.
[Citation analysis]
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2011Robust estimation of intraweek periodicity in volatility and jump detection In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article85
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article43
2015Which continuous-time model is most appropriate for exchange rates? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
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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This paper has nother version. Agregated cites: 4		paper
2001Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data In: Journal of Policy Modeling.
[Full Text][Citation analysis]		article2
2013Econometric modeling of exchange rate volatility and jumps In: Chapters.
[Full Text][Citation analysis]		chapter17
2012Econometric modeling of exchange rate volatility and jumps.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 17		paper
2000Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions In: Documents de recherche.
[Full Text][Citation analysis]		paper0
2007Central bank intervention and exchange rate volatility, its continuous and jump components In: Working Papers.
[Full Text][Citation analysis]		paper59
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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This paper has nother version. Agregated cites: 59		paper
2016Do We Need High Frequency Data to Forecast Variances? In: Post-Print.
[Full Text][Citation analysis]		paper5
2016Introduction to the special issue on recent developments in Financial Econometrics In: Post-Print.
[Full Text][Citation analysis]		paper0
2017Risk Measure Inference In: Post-Print.
[Citation analysis]		paper12
2015Risk Measure Inference.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 12		paper
2017Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 12		article
2014Estimating and forecasting ARCH models using G@RCH 6 In: Post-Print.
[Citation analysis]		paper0
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.
[Citation analysis]		paper0
2020Jumps et modèles de type GARCH (Chapitre 3) In: Post-Print.
[Citation analysis]		paper0
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.
[Full Text][Citation analysis]		article14
2011Common Intraday Periodicity In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article6
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.
[Full Text][Citation analysis]		paper35
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]		article28
2012Do jumps mislead the FX market? In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2020A New Class of Robust Observation-Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper2
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
2002Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates In: ULB Institutional Repository.
[Citation analysis]		paper27
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
2001Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse In: Research Memorandum.
[Full Text][Citation analysis]		paper5
2004Minimal manipulability: anonymity and surjectivity In: Research Memorandum.
[Full Text][Citation analysis]		paper1
2011On the univariate representation of multivariate volatility models with common factors In: Research Memorandum.
[Full Text][Citation analysis]		paper0
2007The information content of implied volatility in light of the jump/continuous decomposition of realized volatility In: Journal of Futures Markets.
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