Sébastien Laurent : Citation Profile

Aix-Marseille Université

23

H index

33

i10 index

3278

Citations

RESEARCH PRODUCTION:

50

Articles

108

Papers

2

Chapters

RESEARCH ACTIVITY:

   26 years (1999 - 2025). See details.
   Cites by year: 126
   Journals where Sébastien Laurent has often published
   Relations with other researchers
   Recent citing documents: 143.    Total self citations: 55 (1.65 %)

EXPERT IN:

   Financial Econometrics

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla169
   Updated: 2025-06-14    RAS profile: 2025-06-09    
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Relations with other researchers

Works with:

Francq, Christian (6)

Shi, Shuping (4)

Chevillon, Guillaume (3)

Bauwens, Luc (3)

LECOURT, Christelle (3)

Hué, Sullivan (3)

ALOY, Marcel (2)

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

Is cited by:

Caporin, Massimiliano (78)

Degiannakis, Stavros (67)

GUPTA, RANGAN (53)

Asai, Manabu (43)

Bauwens, Luc (39)

Chang, Chia-Lin (30)

Darné, Olivier (29)

Hafner, Christian (28)

Ruiz, Esther (28)

Francq, Christian (28)

Angelidis, Timotheos (27)

Cites to:

Bollerslev, Tim (96)

Andersen, Torben (64)

Diebold, Francis (45)

Shephard, Neil (34)

Engle, Robert (34)

Beine, Michel (31)

Hansen, Peter (31)

Lunde, Asger (31)

Palm, Franz (29)

Neely, Christopher (28)

LECOURT, Christelle (20)

Main data

Where Sébastien Laurent has published?

Journals with more than one article published# docs
Journal of Econometrics8
Journal of Applied Econometrics4
Journal of Empirical Finance4
Journal of Applied Econometrics3
Journal of Financial Econometrics3
Brussels Economic Review2
Journal of International Financial Markets, Institutions and Money2
Econometric Theory2
Revue conomique2

Working Papers Series with more than one paper published# docs
Post-Print / HAL26
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. Louis5
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
Computing in Economics and Finance 2002 / Society for Computational Economics3
AMSE Working Papers / Aix-Marseille School of Economics, France3
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 (2025 and 2024)

YearTitle of citing document
2024A Learning Model with Memory in the Financial Markets. (2024). Mishra, Tapas ; DIEBOLT, Claude ; Sing, Shikta ; Enilov, Martin ; Alhussain, Abdullah ; Shi, Yue ; Chandrasena, Supun. In: Working Papers. RePEc:afc:wpaper:06-24.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024022.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Linear Regression with Weak Exogeneity. (2024). Sølvsten, Mikkel ; Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958.

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2024Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050.

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2025SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. (2025). Toscano, Giacomo ; Brini, Alessio. In: Papers. RePEc:arx:papers:2401.06249.

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2024High-Dimensional Mean-Variance Spanning Tests. (2024). Ardia, David ; Laurent, S'Ebastien ; Sessinou, Rosnel. In: Papers. RePEc:arx:papers:2403.17127.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2405.02087.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024Cluster GARCH. (2024). Hansen, Peter ; Archakov, Ilya ; Tong, Chen. In: Papers. RePEc:arx:papers:2406.06860.

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2024Financial Assets Dependency Prediction Utilizing Spatiotemporal Patterns. (2024). Hung, Wilfred Siu ; Zhao, Pengfei ; Zhu, Haoren ; Lee, Dik Lun. In: Papers. RePEc:arx:papers:2406.11886.

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2024Kullback-Leibler-based characterizations of score-driven updates. (2024). Punder, Ramon ; Lange, Rutger-Jan ; Dimitriadis, Timo ; de Punder, Ramon. In: Papers. RePEc:arx:papers:2408.02391.

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2024A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets -- A New Microfoundations of GARCH model. (2024). Mizuta, Takanobu ; Minami, Kentaro ; Hirano, Masanori ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2409.12516.

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2024The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao. In: Papers. RePEc:arx:papers:2409.14734.

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2024How to Compare Copula Forecasts?. (2024). Hoga, Yannick ; Fissler, Tobias. In: Papers. RePEc:arx:papers:2410.04165.

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2024New approaches of the DCC-GARCH residual: Application to foreign exchange rates. (2024). Yamakami, Tomohisa ; Shiraya, Kenichiro ; Suzuki, Kanji. In: Papers. RePEc:arx:papers:2411.08246.

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2024Systematic comparison of deep generative models applied to multivariate financial time series. (2024). Caulfield, Howard ; Gleeson, James P. In: Papers. RePEc:arx:papers:2412.06417.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2025Tensor dynamic conditional correlation model: A new way to pursuit Holy Grail of investing. (2025). Zhu, KE ; Yu, Cheng. In: Papers. RePEc:arx:papers:2502.13461.

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2025Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080.

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2025Financial Wind Tunnel: A Retrieval-Augmented Market Simulator. (2025). Guo, Jian ; Yang, Cehao ; Xu, Chengjin ; Qi, Yiyan ; Lin, Xueyuan ; Cao, Bokai. In: Papers. RePEc:arx:papers:2503.17909.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025Asset Hedging via Digital Asset Indices. (2025). Shalvardjiev, Dimiter. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:1:p:63-88.

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2025An Evaluation and Comparative Analysis of Fiscal and Macrofinancial Policies during the COVID-19 Pandemic: The Case of Bulgaria in the Balkan Context. (2025). Elgin, Ceyhun ; Elveren, Adem Y. In: Economic Studies journal. RePEc:bas:econst:y:2025:i:1:p:89-112.

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2025Comparing the systemic risk of Italian insurers and banks. (2025). Bianchi, Michele Leonardo ; Pallante, Federica. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_922_25.

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2024Application of Copula Methods in Financial Risk Management: Case of the Zimbabwe Stock Exchange and the Victoria Falls Stock Exchange.. (2024). Basvi, Brian. In: International Journal of Research and Scientific Innovation. RePEc:bjc:journl:v:11:y:2024:i:5:p:674-695.

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2024Higher‐order moments and asset pricing in the Australian stock market. (2024). Ahadzie, Richard Mawulawoe ; Jeyasreedharan, Nagaratnam. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:75-128.

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2024Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jeanpaul. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676.

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2024COVID‐19, Mobility Restriction Policies and Stock Market Volatility: A Cross‐Country Empirical Study. (2024). Vespignani, Joaquin ; Ahadzie, Richard Mawulawoe ; Kangogo, Moses ; Khan, Faisal ; Daugaard, Dan. In: Economic Papers. RePEc:bla:econpa:v:43:y:2024:i:2:p:184-203.

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202430 years of exchange rate analysis and forecasting: A bibliometric review. (2024). Wang, Shouyang ; Wei, Yunjie ; Fang, Siran. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:3:p:973-1007.

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2024Goodness‐of‐fit tests for the multivariate Student‐t distribution based on i.i.d. data, and for GARCH observations. (2024). Veljovi, Mirjana ; Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:298-319.

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2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

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2024Testing for an Explosive Bubble using High-Frequency Volatility. (2024). Yu, Jun ; Zu, Yang ; Boswijk, Peter H. In: Working Papers. RePEc:boa:wpaper:202402.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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2024The Relationship Between Stock Performance and Money Supply Based on VAR Model in the Context of E-commerce. (2024). Lianshi, Qiu. In: Economics - The Open-Access, Open-Assessment Journal. RePEc:bpj:econoa:v:18:y:2024:i:1:p:12:n:1013.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024A Vector Multiplicative Error Model with Spillover Effects and Co-movements. (2024). Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202404.

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2024Asymmetric Models for Realized Covariances. (2024). Bauwens, Luc ; Hafner, Christian ; Dzuverovic, Emilija. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2024024.

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2024Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data. (2024). Sibbertsen, Philipp ; Escribano, Alvaro ; del Barrio, Tomas. In: UC3M Working papers. Economics. RePEc:cte:werepe:43987.

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2024Forecasting Volatility Spillovers Using Advanced GARCH Models: Empirical Evidence for Developed Stock Markets from Austria and USA. (2024). Spulbar, Cristi ; Birau, Ramona ; Kumari, Puja ; Florescu, Ion ; Meher, Bharat Kumar ; Anand, Abhishek. In: Economics and Applied Informatics. RePEc:ddj:fseeai:y:2024:i:1:p:16-29.

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2025Examining Chinese volume–volatility nexus: A regime-switching perspective. (2025). Yan, Yayi ; Xia, Yingcun ; Wang, Shaoping. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003407.

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2024Systemic risk monitoring model from the perspective of public information arrival. (2024). Wu, Yan ; Zhu, Xingting ; Yan, Han ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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2024Asset splitting algorithm for ultrahigh dimensional portfolio selection and its theoretical property. (2024). Cai, Zhanrui ; Yang, Songshan ; Wen, Jiawei ; Li, Changcheng. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622000902.

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2024Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494.

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2024Time-varying multivariate causal processes. (2024). GAO, Jiti ; Yan, Yayi ; Wu, Wei Biao ; Peng, Bin. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000174.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2024Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:57-72.

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2024Macroeconomic news, senior officials speeches, and emerging currency markets: An intraday analysis of price jump reaction. (2024). ben Omrane, Walid ; Ayadi, Mohamed A ; Das, Deepan Kumar. In: Emerging Markets Review. RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000426.

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2024Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns. (2024). Hediger, Simon ; Naf, Jeffrey. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000240.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2024Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy. (2024). Sensoy, Ahmet ; Goodell, John W ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007223.

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2024Asymmetric volatility spillover between crude oil and other asset markets. (2024). Xu, Yongdeng ; Guan, Bo ; Mazouz, Khelifa. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988324000136.

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2024Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory. (2024). Lyu, Yongjian ; Ke, Rui ; Yang, MO ; Chang, Jianing ; Qin, Fanshu. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002081.

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2024More is better? The impact of predictor choice on the INE oil futures volatility forecasting. (2024). Tang, Xiaoping ; Fu, Tong ; Feng, Lingbing ; Huang, Dasen. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002482.

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2024A multiscale time-series decomposition learning for crude oil price forecasting. (2024). Li, Zhixi ; Jiang, Yuansheng ; Shi, Long ; Tan, Jinghua ; Zhang, Chuanhui. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004419.

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2024Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584.

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2024Volatility dynamics of agricultural futures markets under uncertainties. (2024). Uddin, Gazi ; PARK, DONGHYUN ; Zhu, Xuening ; Sheng, Lin Wen ; Dutta, Anupam. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004626.

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2024Return and volatility spillovers between the raw material and electric vehicles markets. (2024). Zilberman, David ; Petit, Mathieu ; Janda, Karel ; Alekseev, Oleg. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324005164.

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2024Sustainable energy practices and cryptocurrency market behavior. (2024). Saadi, Samir ; ben Omrane, Walid ; Savaser, Tanseli. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006455.

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2025Geopolitical risk and vulnerability of energy markets. (2025). Liu, Zhenhua ; Ji, Qiang ; Ding, Zhihua ; Yuan, Xinting ; Wang, Yushu. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007643.

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2024Realized normal volatility and maximum outlying jumps in high frequency returns for Korean won–US Dollar. (2024). Chae-Deug, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s105752192400276x.

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2024State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices. (2024). Tsai, Ping Chen ; Wang, Chou Wen ; Eom, Cheoljun. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003442.

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2024Break a peg! A study of stablecoin co-instability. (2024). Vito, Liuzzi ; Patrice, Sargenti ; Alessio, Castello ; Gregory, Gadzinski. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005404.

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2024Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system. (2024). Armanious, Amir. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000585.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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2024Accelerating peak dating in a dynamic factor Markov-switching model. (2024). van Dijk, Dick ; van Os, Bram. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:313-323.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Li, Dan ; Drovandi, Christopher. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2024A False Discovery Rate approach to optimal volatility forecasting model selection. (2024). Baker, Paul L ; Platanakis, Emmanouil ; Hassanniakalager, Arman. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:881-902.

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2025Asymmetric uncertainty: Nowcasting using skewness in real-time data. (2025). Labonne, Paul. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:229-250.

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2025Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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2024Forecasting downside and upside realized volatility: The role of asymmetric information. (2024). Maki, Daiki. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000069.

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2024Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Wei, YU ; Lyu, Yongjian ; Ke, Rui ; Kong, Mengzhen ; Qin, Fanshu. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376.

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2024Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?. (2024). Iglesias, Emma ; Rivera-Alonso, David. In: Resources Policy. RePEc:eee:jrpoli:v:90:y:2024:i:c:s0301420724001454.

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2024What moves markets?. (2024). Kerssenfischer, Mark ; Schmeling, Maik. In: Journal of Monetary Economics. RePEc:eee:moneco:v:145:y:2024:i:c:s0304393224000138.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Ben Amar, Amine ; Bellalah, Makram ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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2024Realized volatility, price informativeness, and tick size: A market microstructure approach. (2024). Xiao, Xijuan ; Yamamoto, Ryuichi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:410-426.

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2024Towards understanding MILA stock markets integration beyond MILA: New evidence between the pre-Global financial crisis and the COVID19 periods. (2024). Gomez-Bravo, Yuli Paola ; Sanchez-Barrios, Luis Javier ; Lukanima, Benedicto Kulwizira. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:478-497.

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2024Exploring the interconnectedness of Chinas new energy and stock markets: A study on volatility spillovers and dynamic correlations. (2024). Shen, Z Y ; Wei, Weixian ; Song, Malin ; Li, Guangchen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:471-484.

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2024Volatility forecasting on Chinas oil futures: New evidence from interpretable ensemble boosting trees. (2024). lucey, brian ; Zhu, Yiying ; Feng, Lingbing ; Rao, Haicheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:1595-1615.

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2024Pricing derivatives on foreign assets using Markov-modulated cojump-diffusion dynamics. (2024). Lian, Yu-Min ; Liao, Szu-Lang ; Chen, Jun-Home. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:503-519.

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2024Asymmetric effect of trading volume on realized volatility. (2024). Maki, Daiki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003800.

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2024Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics. (2024). Lian, Yu-Min ; Chen, Jun-Home. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003848.

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2024Investment modeling between energy futures and responsible investment. (2024). Sawarn, Ujjawal ; Nandan, Tanuj ; Soni, Rajat Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pb:s0275531924001661.

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2025Towards the estimation of ESG ratings: A machine learning approach using balance sheet ratios. (2025). Cini, Federico ; Ferrari, Annalisa. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s027553192400446x.

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2025The impact of artificial intelligence on carbon market in China: Evidence from quantile-on-quantile regression approach. (2025). Zhao, Xiangyu ; Hu, Yanhui ; Jiang, Wei. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:212:y:2025:i:c:s0040162525000046.

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2025Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2025). Yang, Xiye ; Neely, Christopher ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2024Sluggish news reactions: A combinatorial approach for synchronizing stock jumps. (2024). Neely, Christopher ; Boudt, Kris ; Bouamara, Nabil ; Laurent, Sebastien. In: Working Papers. RePEc:fip:fedlwp:97969.

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2024Volatility Persistence and Spillover Effects of Indian Market in the Global Economy: A Pre- and Post-Pandemic Analysis Using VAR-BEKK-GARCH Model. (2024). Chaudhury, Suman Kalyan ; Maharana, Narayana ; Panigrahi, Ashok Kumar. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:7:p:294-:d:1432072.

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2025Asymmetric Shocks and Pension Fund Volatility: A GARCH Approach with Macroeconomic Predictors to an Unexplored Emerging Market. (2025). Guse, Daniel Dumitru ; Saiu, Gabriel Robert ; Girlovan, Aura ; Tudor, Cristiana. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1134-:d:1624073.

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2024Time-Varying Correlations between JSE.JO Stock Market and Its Partners Using Symmetric and Asymmetric Dynamic Conditional Correlation Models. (2024). Mwambi, Henry ; Omolo, Bernard ; Abdelkreem, Anas Eisa. In: Stats. RePEc:gam:jstats:v:7:y:2024:i:3:p:46-776:d:1440130.

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2024Autoregressive conditional betas. (2024). Francq, Christian ; Blasques, F ; Laurent, Sebastien. In: Post-Print. RePEc:hal:journl:hal-04676069.

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2024LSTM–GARCH Hybrid Model for the Prediction of Volatility in Cryptocurrency Portfolios. (2024). Aguayo-Moreno, Ester ; Garcia-Medina, Andres. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10373-8.

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2024Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context. (2024). Cheng, Jie. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10571-y.

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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.
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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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2018Generating Univariate Fractional Integration within a Large VAR(1) In: AMSE Working Papers.
[Full Text][Citation analysis]		paper7
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.
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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: Post-Print.
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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: Post-Print.
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2017Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2017) In: Post-Print.
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2017Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2017) In: Post-Print.
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2016Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2016) 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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This paper has nother version. Agregated cites: 26		paper
2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
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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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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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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.
[Full Text][Citation analysis]		article137
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]		article4
2025Time Series for QFFE: Special Issue of the Journal of Time Series Analysis In: Journal of Time Series Analysis.
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2024Interpretable Machine Learning Using Partial Linear Models In: Oxford Bulletin of Economics and Statistics.
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2023Interpretable Machine Learning Using Partial Linear Models*.(2023) In: Post-Print.
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2024Treatment-effect estimation in high dimension: An inference-based approach In: French Stata Users' Group Meetings 2024.
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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]		article5
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.
[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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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.
[Full Text][Citation analysis]		paper108
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: 108		article
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.
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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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2023We modeled long memory with just one lag!.(2023) In: Journal of Econometrics.
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2023We modeled long memory with just one lag!.(2023) In: Post-Print.
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2003Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis In: LIDAM Reprints CORE.
[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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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.
[Citation analysis]		paper234
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: 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.
[Citation analysis]		paper10
2011Outlyingness weighted covariation In: LIDAM Reprints CORE.
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2011Outlyingness Weighted Covariation.(2011) In: Journal of Financial Econometrics.
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2022UNIT ROOT TEST WITH HIGH-FREQUENCY DATA In: Econometric Theory.
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2022Unit Root Test with High-Frequency Data.(2022) In: Post-Print.
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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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2023Quasi score-driven models In: Journal of Econometrics.
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2023Quasi score-driven models.(2023) In: Post-Print.
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2024Autoregressive conditional betas In: Journal of Econometrics.
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2024Autoregressive conditional betas.(2024) In: Post-Print.
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This paper has nother version. Agregated cites: 0		paper
2011Robust estimation of intraweek periodicity in volatility and jump detection In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article95
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article47
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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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.
[Full Text][Citation analysis]		chapter17
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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2024Sluggish news reactions: A combinatorial approach for synchronizing stock jumps In: Working Papers.
[Full Text][Citation analysis]		paper0
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.
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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-dollar] 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: 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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2002Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates.(2002) In: ULB Institutional Repository.
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2012Do jumps mislead the FX market? In: Quantitative Finance.
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2020A New Class of Robust Observation-Driven Models In: Tinbergen Institute Discussion Papers.
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2007Central bank intervention in the foreign exchange markets assessed using realized moments In: ULB Institutional Repository.
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2004Have sequential interventions of Central Banks in foreign exchange been effective ? In: ULB Institutional Repository.
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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.
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2001Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse In: Research Memorandum.
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2004Minimal manipulability: anonymity and surjectivity In: Research Memorandum.
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2011On the univariate representation of multivariate volatility models with common factors In: Research Memorandum.
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2007The information content of implied volatility in light of the jump/continuous decomposition of realized volatility In: Journal of Futures Markets.
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