Sébastien Laurent : Citation Profile

Are you Sébastien Laurent?

Aix-Marseille Université

23

H index

32

i10 index

3196

Citations

RESEARCH PRODUCTION:

48

Articles

99

Papers

2

Chapters

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 127
   Journals where Sébastien Laurent has often published
   Relations with other researchers
   Recent citing documents: 198.    Total self citations: 55 (1.69 %)

EXPERT IN:

   Financial Econometrics

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla169
   Updated: 2024-12-03    RAS profile: 2024-02-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Francq, Christian (4)

Shi, Shuping (4)

Bauwens, Luc (3)

LECOURT, Christelle (3)

Chevillon, Guillaume (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 (51)

Asai, Manabu (43)

Bauwens, Luc (39)

Chang, Chia-Lin (30)

Darné, Olivier (29)

Hafner, Christian (28)

Ruiz, Esther (28)

Nguyen, Duc Khuong (27)

Angelidis, Timotheos (27)

Cites to:

Bollerslev, Tim (93)

Andersen, Torben (62)

Diebold, Francis (43)

Engle, Robert (34)

Beine, Michel (31)

Shephard, Neil (30)

Lunde, Asger (29)

Hansen, Peter (29)

Palm, Franz (29)

Neely, Christopher (26)

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
Journal of International Financial Markets, Institutions and Money2
Econometric Theory2
Brussels Economic Review2
Revue Économique2

Working Papers Series with more than one paper published# docs
Post-Print / HAL18
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
Documents de recherche / Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne2
LIDAM Discussion Papers ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2

Recent works citing Sébastien Laurent (2024 and 2023)

YearTitle of citing document
2024Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

2024A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024On variable ordination of modified Cholesky decomposition for estimating time?varying covariance matrices. (2020). Tsui, Kamwah ; Deng, Xinwei ; Kang, Xiaoning ; Pourahmadi, Mohsen. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:3:p:616-641.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023INE oil futures volatility prediction: Exchange rates or international oil futures volatility?. (2023). Li, Haibo ; Ma, Feng ; Lu, Xinjie ; Wang, Jianqiong. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004334.

Full description at Econpapers || Download paper

2023How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study. (2023). Esparcia, Carlos ; Diaz, Antonio ; Alonso, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006722.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Does climate risk matter for gold price volatility?. (2023). Zhang, Junchao ; Zhu, Jiaji. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009169.

Full description at Econpapers || Download paper

2023Climate risks and state-level stock market realized volatility. (2023). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Financial Markets. RePEc:eee:finmar:v:66:y:2023:i:c:s1386418123000526.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Projected Dynamic Conditional Correlations. (2023). Brownlees, Christian ; Llorens-Terrazas, Jordi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1761-1776.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Works by Sébastien Laurent:

YearTitleTypeCited
2014Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper16
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2015Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper5
2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2016Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2017Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2017WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2017Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2018Volatility Estimation and Jump Detection for drift-diffusion Processes In: AMSE Working Papers.
[Full Text][Citation analysis]		paper8
2020Volatility estimation and jump detection for drift–diffusion processes.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2020Volatility estimation and jump detection for drift–diffusion processes.(2020) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2018Volatility Estimation and Jump Detection for drift-diffusion Processes.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2018Generating univariate fractional integration within a large VAR(1).(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2018Generating Univariate Fractional Integration within a Large VAR(1).(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers.
[Full Text][Citation analysis]		paper13
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2018Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2018Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2011Volatility Models In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper26
2012Volatility Models.(2012) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2011Volatility models.(2011) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2012Testing conditional asymmetry. A residual based approach.(2012) In: ULB Institutional Repository.
[Citation analysis]
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.
[Citation analysis]
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.
[Citation analysis]
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]		article134
2005A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 134		paper
2002G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article4
In: .
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		paper102
2013On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		article
2009On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		paper
2001Value-at-risk for long and short trading positions In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper198
2003Value-at-Risk for long and short trading positions.(2003) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 198		paper
2003Value-at-risk for long and short trading positions.(2003) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 198		article
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.
[Full Text][Citation analysis]		paper145
2003Market risk in commodity markets: a VaR approach.(2003) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 145		paper
2003Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 145		article
2003Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper1122
2006Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 1122		paper
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1122		article
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1122		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.
[Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2009Central bank FOREX interventions assessed using realized moments.(2009) In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		article
2003Central bank FOREX interventions assessed using realized moments.(2003) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2004Bridging the gap between Ox and Gauss using OxGauss In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper3
2005Bridging the gap between Ox and Gauss using OxGauss.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2004Bridging the gap between Ox and Gauss using OxGauss.(2004) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2005Bridging the gap between Ox and Gauss using OxGauss.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2009Consistent ranking of multivariate volatility models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper7
2010On the forecasting accuracy of multivariate GARCH models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper135
2010On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 135		paper
2012On the forecasting accuracy of multivariate GARCH models.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 135		article
2022We modeled long memory with just one lag! In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper2
2023We modeled long memory with just one lag!.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2023We modeled long memory with just one lag!.(2023) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		article
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]		paper230
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models.(2004) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 230		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: 230		paper
2001Modelling daily value-at-risk using realized volatility and arch type models.(2001) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 230		paper
2006The impact of Central Bank FX interventions on currency components In: LIDAM Reprints CORE.
[Citation analysis]		paper14
2007The Impact of Central Bank FX Interventions on Currency Components.(2007) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2007The impact of Central Bank FX interventions on currency components.(2007) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 14		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.
[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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2010Trading activity, realized volatility and jumps In: LIDAM Reprints CORE.
[Citation analysis]		paper105
2010Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 105		article
2011Jumps, cojumps and macro announcements In: LIDAM Reprints CORE.
[Citation analysis]		paper196
2007Jumps, cojumps and macro announcements.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 196		paper
2011Jumps, cojumps and macro announcements.(2011) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 196		article
2012Volatility forecasts evaluation and comparison In: LIDAM Reprints CORE.
[Citation analysis]		paper10
2011Outlyingness weighted covariation In: LIDAM Reprints CORE.
[Citation analysis]		paper31
2011Outlyingness Weighted Covariation.(2011) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 31		article
2022UNIT ROOT TEST WITH HIGH-FREQUENCY DATA In: Econometric Theory.
[Full Text][Citation analysis]		article6
2022Unit Root Test with High-Frequency Data.(2022) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2015Long memory through marginalization of large systems and hidden cross-section dependence.(2015) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
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]
This paper has nother version. Agregated cites: 24		paper
2016Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article45
2016Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach.(2016) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2023Quasi score-driven models In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2023Quasi score-driven models.(2023) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2024Autoregressive conditional betas In: Journal of Econometrics.
[Full Text][Citation analysis]		article0
2011Robust estimation of intraweek periodicity in volatility and jump detection In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article91
2013Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article44
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2015Which continuous-time model is most appropriate for exchange rates?.(2015) In: Post-Print.
[Citation analysis]
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.
[Full Text][Citation analysis]
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]		paper60
2007Central bank intervention and exchange rate volatility, its continuous and jump components.(2007) In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 60		article
2007Central Bank intervention and exchange rate volatility: its continuous and jump components.(2007) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 60		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]		paper13
2015Risk Measure Inference.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2017Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		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-dollar] 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.
[Full Text][Citation analysis]		paper0
2004Analytical Derivates of the APARCH Model In: Computational Economics.
[Full Text][Citation analysis]		article14
2011Common Intraday Periodicity In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article6
2011Common intraday periodicity.(2011) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2000La persistance des chocs de volatilité sur le marché des changes sest-elle modifée depuis le debut des annees 1980 ? In: Revue Économique.
[Full Text][Citation analysis]		article0
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
2002Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates.(2002) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 28		paper
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]		paper1
2007Central bank intervention in the foreign exchange markets assessed using realized moments In: ULB Institutional Repository.
[Full Text][Citation analysis]		paper0
2004Have sequential interventions of Central Banks in foreign exchange been effective ? In: ULB Institutional Repository.
[Citation analysis]		paper3
2000La persistance des chocs de volatilité sur le marché des changes sest-elle modifiée depuis le début des années quatre-vingts ? In: ULB Institutional Repository.
[Citation analysis]		paper0
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.
[Full Text][Citation analysis]		article40

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team