23
H index
33
i10 index
3052
Citations
Aix-Marseille Université | 23 H index 33 i10 index 3052 Citations RESEARCH PRODUCTION: 45 Articles 95 Papers 2 Chapters RESEARCH ACTIVITY:
EXPERT IN:
MORE DETAILS IN: ABOUT THIS REPORT:
|
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Sébastien Laurent. | Is cited by: | Cites to: |
Year | Title of citing document | |
---|---|---|
2022 | A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model. (2022). Teräsvirta, Timo ; Wade, Glen ; Terasvirta, Timo ; Silvennoinen, Annastiina ; Jakobsen, Johan Stax ; Kang, Jian. In: CREATES Research Papers. RePEc:aah:create:2022-01. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
2022 | Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361. Full description at Econpapers || Download paper | |
2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper | |
2022 | Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149. Full description at Econpapers || Download paper | |
2022 | CTMSTOU driven markets: simulated environment for regime-awareness in trading policies. (2022). Balch, Tucker ; Moulin, Aymeric ; Amrouni, Selim. In: Papers. RePEc:arx:papers:2202.00941. Full description at Econpapers || Download paper | |
2022 | Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197. Full description at Econpapers || Download paper | |
2022 | Neural Generalised AutoRegressive Conditional Heteroskedasticity. (2022). Yin, Zexuan ; Barucca, Paolo. In: Papers. RePEc:arx:papers:2202.11285. Full description at Econpapers || Download paper | |
2022 | Variational Heteroscedastic Volatility Model. (2022). Barucca, Paolo ; Yin, Zexuan. In: Papers. RePEc:arx:papers:2204.05806. Full description at Econpapers || Download paper | |
2023 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2023 | A 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 | |
2022 | Estimating value at risk: LSTM vs. GARCH. (2022). Schmidt, Thorsten ; Safarveisi, Sajad ; Pitera, Marcin ; Ormaniec, Weronika. In: Papers. RePEc:arx:papers:2207.10539. Full description at Econpapers || Download paper | |
2023 | Change 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 | |
2022 | Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots. (2022). Iosifidis, Alexandros ; Kanniainen, Juho ; Tzagkarakis, George ; Magris, Martin ; Shabani, Mostafa. In: Papers. RePEc:arx:papers:2210.14605. Full description at Econpapers || Download paper | |
2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235. Full description at Econpapers || Download paper | |
2023 | A 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 | |
2023 | A 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 | |
2023 | Sequential 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 | |
2023 | Optimal 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 | |
2023 | The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349. Full description at Econpapers || Download paper | |
2023 | Hierarchical 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 | |
2023 | A 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 | |
2023 | Matrix 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 | |
2023 | The 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 | |
2023 | Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958. Full description at Econpapers || Download paper | |
2023 | Spatial 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 | |
2023 | . Full description at Econpapers || Download paper | |
2022 | A component Markov regime?switching autoregressive conditional range model. (2022). Mazibas, Murat. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:650-683. Full description at Econpapers || Download paper | |
2022 | Economic forecasts, anchoring bias, and stock returns. (2022). Yu, Han ; Dutta, Sandip ; Birz, Gene. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:1:p:169-191. Full description at Econpapers || Download paper | |
2022 | Periodicity of trading activity in foreign exchange markets. (2022). Chen, Tao ; Chang, Haodong. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:445-465. Full description at Econpapers || Download paper | |
2022 | Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787. Full description at Econpapers || Download paper | |
2022 | On the Relationship between Uhlig Extended and beta?Bartlett Processes. (2022). Irie, Kaoru ; Pea, Victor. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:147-153. Full description at Econpapers || Download paper | |
2022 | Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665. Full description at Econpapers || Download paper | |
2022 | Portmanteau test for a class of multivariate asymmetric power GARCH model. (2022). Saussereau, Bruno ; Kadmiri, Othman ; Mainassara, Yacouba Boubacar. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:6:p:964-1002. Full description at Econpapers || Download paper | |
2022 | Dynamic correlation between crude oil and agricultural futures markets. (2022). Kang, Hanwen ; Yan, BO ; Chen, Zhuo. In: Review of Development Economics. RePEc:bla:rdevec:v:26:y:2022:i:3:p:1798-1849. Full description at Econpapers || Download paper | |
2023 | Uncertainty 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 | |
2022 | Exchange rate volatility and the effectiveness of FX interventions: the case of Chile. (2022). Pia, Marco ; Jara, Alejandro. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:962. Full description at Econpapers || Download paper | |
2023 | A 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 | |
2022 | Econometric Analysis of Asset Price Bubbles. (2022). Phillips, Peter ; Shi, Shuping. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2331. Full description at Econpapers || Download paper | |
2022 | Do Energy and Gold Markets Interact with Islamic Stocks? Evidence from the Asia-Pacific Markets. (2022). Usmonov, Jaloliddin ; Mukhamedov, Farkhod ; Avazkhodjaev, Salokhiddin. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-03-21. Full description at Econpapers || Download paper | |
2022 | Option pricing of carbon asset and its application in digital decision-making of carbon asset. (2022). Kong, Chuimin ; Zhang, Xiling ; Sun, Huaping ; Tian, Lixin ; Liu, Yue. In: Applied Energy. RePEc:eee:appene:v:310:y:2022:i:c:s0306261921016160. Full description at Econpapers || Download paper | |
2023 | Can 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 | |
2022 | Are high frequency traders responsible for extreme price movements?. (2022). Westerholm, Joakim P ; Prodromou, Tina. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:94-111. Full description at Econpapers || Download paper | |
2022 | Asymmetric multivariate HAR models for realized covariance matrix: A study based on volatility timing strategies. (2022). Zhang, YI ; Qu, Hui. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002881. Full description at Econpapers || Download paper | |
2022 | Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x. Full description at Econpapers || Download paper | |
2022 | Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281. Full description at Econpapers || Download paper | |
2022 | Extreme risk spillovers across financial markets under different crises. (2022). Cao, Yufei. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002656. Full description at Econpapers || Download paper | |
2023 | The 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 | |
2023 | Price 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 | |
2022 | Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction. (2022). Gao, Tianqing ; Mei, Xiaowen ; Pan, Qunxing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001947. Full description at Econpapers || Download paper | |
2022 | Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250. Full description at Econpapers || Download paper | |
2022 | News and intraday jumps: Evidence from regularization and class imbalance. (2022). Poli, Francesco ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000900. Full description at Econpapers || Download paper | |
2022 | Impact of network investor sentiment and news arrival on jumps. (2022). Xu, Lei ; Qiao, Gaoxiu ; Zhang, Chang ; Liu, Wenwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001218. Full description at Econpapers || Download paper | |
2023 | Is 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 | |
2023 | Asymmetric 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 | |
2022 | Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227. Full description at Econpapers || Download paper | |
2022 | Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:285-304. Full description at Econpapers || Download paper | |
2023 | Scalable 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 | |
2023 | A 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 | |
2023 | Quasi score-driven models. (2023). Laurent, Sebastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:251-275. Full description at Econpapers || Download paper | |
2023 | Modeling 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 | |
2022 | High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203. Full description at Econpapers || Download paper | |
2022 | Correcting Intraday Periodicity Bias in Realized Volatility Measures. (2022). Kellermann, Janosch ; Golosnoy, Vasyl ; Dette, Holger. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:36-52. Full description at Econpapers || Download paper | |
2023 | Unrestricted 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 | |
2023 | The 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 | |
2023 | Modeling 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 | |
2022 | Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?. (2022). Wang, LU ; Wu, Jiangbin ; Cao, Yang ; Hong, Yanran. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002237. Full description at Econpapers || Download paper | |
2022 | Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China. (2022). Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002730. Full description at Econpapers || Download paper | |
2022 | Forecasting the realized variance of oil-price returns using machine learning: Is there a role for U.S. state-level uncertainty?. (2022). GUPTA, RANGAN ; Pierdzioch, Christian ; Pienaar, Daniel ; Epni, Ouzhan. In: Energy Economics. RePEc:eee:eneeco:v:114:y:2022:i:c:s0140988322003723. Full description at Econpapers || Download paper | |
2022 | Risk transmission from the oil market to Islamic and conventional banks in oil-exporting and oil-importing countries. (2022). Brooks, Robert ; Mohsen, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Tanin, Tauhidul Islam. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005187. Full description at Econpapers || Download paper | |
2022 | Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model. (2022). Wang, LU ; Lai, Xiaodong ; Xia, Zhenglan ; Liang, Chao. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s0140988322005667. Full description at Econpapers || Download paper | |
2023 | Stochastic 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 | |
2023 | Attention 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 | |
2022 | Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19. (2022). Jamasb, Tooraj ; Nepal, Rabindra ; Farid, Saqib ; Naeem, Muhammad Abubakr ; Arif, Muhammad. In: Energy Policy. RePEc:eee:enepol:v:168:y:2022:i:c:s0301421522003275. Full description at Econpapers || Download paper | |
2022 | Risk spillovers and time-varying links between international oil and China’s commodity futures markets: Fresh evidence from the higher-order moments. (2022). Maghyereh, Aktham ; Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:238:y:2022:i:pb:s036054422101999x. Full description at Econpapers || Download paper | |
2022 | The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526. Full description at Econpapers || Download paper | |
2022 | Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?. (2022). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad ; Benkraiem, Ramzi. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s105752192200151x. Full description at Econpapers || Download paper | |
2022 | Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002137. Full description at Econpapers || Download paper | |
2022 | Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320. Full description at Econpapers || Download paper | |
2022 | What drives cross-market correlations during the United States Q.E.?. (2022). Vo, Xuan Vinh ; Do, Hung Xuan ; Brooks, Robert ; Yip, Pick Schen. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002721. Full description at Econpapers || Download paper | |
2023 | Dissecting 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 | |
2022 | A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”. (2022). Roxana, Ioan ; Maria, Dima Tefana ; Bogdan, Dima. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002154. Full description at Econpapers || Download paper | |
2022 | Modeling and forecasting firm-specific volatility: The role of asymmetry and long-memory. (2022). Gonzalez-Pla, Francisco ; Lovreta, Lidija. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001933. Full description at Econpapers || Download paper | |
2022 | U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?. (2022). Mei, Dexiang ; Xie, Yutang. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002689. Full description at Econpapers || Download paper | |
2022 | Do the green bonds overreact to the COVID-19 pandemic?. (2022). Zhang, Hongwei ; Suleman, Muhammad Tahir ; Cui, Tianxiang. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003208. Full description at Econpapers || Download paper | |
2022 | Interdependence, contagion and speculative bubbles in cryptocurrency markets. (2022). Bazan-Palomino, Walter. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003555. Full description at Econpapers || Download paper | |
2022 | Blockchain and crypto-exposed US companies and major cryptocurrencies: The role of jumps and co-jumps. (2022). Cepni, Oguzhan ; Bouri, Elie ; Xu, Fang. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004068. Full description at Econpapers || Download paper | |
2023 | Measuring 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 | |
2022 | Safe havens in Islamic financial markets: COVID-19 versus GFC. (2022). Choudhury, Tonmoy ; Djajadikerta, Hadrian Geri ; Hassan, Kabir M ; Kamran, Muhammad. In: Global Finance Journal. RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000417. Full description at Econpapers || Download paper | |
2022 | Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. (2022). Roestel, Jan ; Herwartz, Helmut. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000531. Full description at Econpapers || Download paper | |
2022 | Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993. Full description at Econpapers || Download paper | |
2023 | Discovering 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 | |
2022 | Forecasting in GARCH models with polynomially modified innovations. (2022). Bagnato, Luca ; Zoia, Maria Grazia ; Vacca, Gianmarco. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:117-141. Full description at Econpapers || Download paper | |
2022 | Comparing probabilistic forecasts of the daily minimum and maximum temperature. (2022). Taylor, James W ; Meng, Xiaochun. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:267-281. Full description at Econpapers || Download paper | |
2022 | Forecasting realized volatility of agricultural commodities. (2022). Walther, Thomas ; Filis, George ; Degiannakis, Stavros ; Klein, Tony. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:74-96. Full description at Econpapers || Download paper | |
2023 | Forecasting 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 | |
2023 | Non-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 | |
2023 | DCC- 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 | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
2014 | Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
2017 | Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2017 | Positive semidefinite integrated covariance estimation, factorizations and asynchronicity.(2017) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2015 | Weak diffusion limits of dynamic conditional correlation models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2016 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2017 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2016 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2016) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2017 | Weak diffusion limits of dynamic conditional correlation models.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2017 | WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS.(2017) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2017 | Weak Diffusion Limits of Dynamic Conditional Correlation Models.(2017) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2018 | Volatility Estimation and Jump Detection for drift-diffusion Processes In: AMSE Working Papers. [Full Text][Citation analysis] | paper | 6 |
2020 | Volatility estimation and jump detection for drift–diffusion processes.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2020 | Volatility estimation and jump detection for drift–diffusion processes.(2020) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2018 | Volatility Estimation and Jump Detection for drift-diffusion Processes.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2018 | Generating Univariate Fractional Integration within a Large VAR(1) In: AMSE Working Papers. [Full Text][Citation analysis] | paper | 7 |
2018 | Generating univariate fractional integration within a large VAR(1).(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2018 | Generating univariate fractional integration within a large VAR(1).(2018) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2018 | Generating Univariate Fractional Integration within a Large VAR(1).(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2018 | Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas In: AMSE Working Papers. [Full Text][Citation analysis] | paper | 11 |
2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2018 | Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2011 | Volatility Models In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 26 |
2012 | Volatility Models.(2012) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2011 | Volatility models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
2012 | Testing conditional asymmetry: A residual-based approach In: LIDAM Reprints ISBA. [Citation analysis] | paper | 8 |
2012 | Testing conditional asymmetry: A residual-based approach.(2012) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2012 | Testing conditional asymmetry. A residual based approach.(2012) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2021 | Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs In: LIDAM Reprints LFIN. [Citation analysis] | paper | 0 |
2021 | Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs.(2021) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2021 | Modeling 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 another version. Agregated cites: 0 | chapter | |
2005 | A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 128 |
2005 | A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 128 | paper | |
2002 | G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 2 |
2016 | On the Univariate Representation of BEKK Models with Common Factors In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 8 |
2016 | On the Univariate Representation of BEKK Models with Common Factors.(2016) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2012 | On the univariate representation of BEKK models with common factors.(2012) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
1999 | Capital humain, emploi et revenus du travail: Belgique, 1992 In: Brussels Economic Review. [Full Text][Citation analysis] | article | 5 |
2000 | Labsentéisme dans une institution hospitalière: les facteurs déterminants In: Brussels Economic Review. [Full Text][Citation analysis] | article | 0 |
2001 | Limpact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar In: Revue économique. [Full Text][Citation analysis] | article | 10 |
2000 | L’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 another version. Agregated cites: 10 | paper | |
2001 | Limpact 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 another version. Agregated cites: 10 | article | |
2001 | Capital humain, emploi et salaire en Belgique et dans ses régions In: Reflets et perspectives de la vie économique. [Full Text][Citation analysis] | article | 4 |
2009 | On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 95 |
2013 | On loss functions and ranking forecasting performances of multivariate volatility models.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 95 | article | |
2009 | On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 95 | paper | |
2001 | Value-at-risk for long and short trading positions In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 196 |
2003 | Value-at-Risk for long and short trading positions.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 196 | paper | |
2003 | Value-at-risk for long and short trading positions.(2003) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 196 | article | |
2002 | A new class of multivariate skew densities, with application to GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 40 |
2002 | A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
2003 | Market risk in commodity markets: a VaR approach In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 133 |
2003 | Market risk in commodity markets: a VaR approach.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 133 | paper | |
2003 | Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 133 | article | |
2003 | Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1056 |
2006 | Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1056 | paper | |
2006 | Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1056 | article | |
2006 | Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1056 | article | |
2004 | Central Bank forex interventions assessed using realized moments In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 23 |
2009 | Central bank FOREX interventions assessed using realized moments.(2009) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2009 | Central bank FOREX interventions assessed using realized moments.(2009) In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
2003 | Central bank FOREX interventions assessed using realized moments.(2003) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2004 | Bridging the gap between Ox and Gauss using OxGauss In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
2005 | Bridging the gap between Ox and Gauss using OxGauss.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2004 | Bridging the gap between Ox and Gauss using OxGauss.(2004) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2005 | Bridging the gap between Ox and Gauss using OxGauss.(2005) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2009 | Consistent ranking of multivariate volatility models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 7 |
2010 | On the forecasting accuracy of multivariate GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 120 |
2010 | On the Forecasting Accuracy of Multivariate GARCH Models.(2010) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 120 | paper | |
2012 | On the forecasting accuracy of multivariate GARCH models.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 120 | article | |
2022 | We modeled long memory with just one lag! In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
2003 | Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 66 |
2003 | Official 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 another version. Agregated cites: 66 | article | |
2003 | Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis.(2003) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 66 | paper | |
2003 | Central bank interventions and jumps in double long memory models of daily exchange rates In: LIDAM Reprints CORE. [Citation analysis] | paper | 50 |
2003 | Central 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 another version. Agregated cites: 50 | article | |
2003 | Central Bank interventions and jumps in double long memory models of daily exchange rates.(2003) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
2004 | Modelling daily Value-at-Risk using realized volatility and ARCH type models. In: LIDAM Reprints CORE. [Citation analysis] | paper | 225 |
2004 | Modelling daily Value-at-Risk using realized volatility and ARCH type models.(2004) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 225 | article | |
2002 | Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has another version. Agregated cites: 225 | paper | |
2001 | Modelling daily value-at-risk using realized volatility and arch type models.(2001) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 225 | paper | |
2006 | The impact of Central Bank FX interventions on currency components In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 13 |
2007 | The Impact of Central Bank FX Interventions on Currency Components.(2007) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2007 | The impact of Central Bank FX interventions on currency components.(2007) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2009 | Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 12 |
2009 | Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan.(2009) In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2010 | Trading activity, realized volatility and jumps In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 98 |
2010 | Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 98 | article | |
2011 | Jumps, cojumps and macro announcements In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 186 |
2007 | Jumps, cojumps and macro announcements.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 186 | paper | |
2011 | Jumps, cojumps and macro announcements.(2011) In: Journal of Applied Econometrics. [Citation analysis] This paper has another version. Agregated cites: 186 | article | |
2012 | Volatility forecasts evaluation and comparison In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 10 |
2011 | Outlyingness weighted covariation In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 28 |
2011 | Outlyingness Weighted Covariation.(2011) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | article | |
2022 | UNIT ROOT TEST WITH HIGH-FREQUENCY DATA In: Econometric Theory. [Full Text][Citation analysis] | article | 2 |
2022 | Unit Root Test with High-Frequency Data.(2022) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2015 | Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence In: ESSEC Working Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2015 | Long memory through marginalization of large systems and hidden cross-section dependence.(2015) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2008 | Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach In: Working Papers ECARES. [Full Text][Citation analysis] | paper | 0 |
2000 | Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 24 |
2000 | Structural change and long memory in volatility: new evidence from daily exchange rates.(2000) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2016 | Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 44 |
2016 | Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach.(2016) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
2011 | Robust estimation of intraweek periodicity in volatility and jump detection In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 85 |
2013 | Robust forecasting of dynamic conditional correlation GARCH models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 43 |
2015 | Which continuous-time model is most appropriate for exchange rates? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 4 |
2013 | Which continuous-time model is most appropriate for exchange rates?.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2015 | Which continuous-time model is most appropriate for exchange rates?.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2001 | Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data In: Journal of Policy Modeling. [Full Text][Citation analysis] | article | 2 |
2013 | Econometric modeling of exchange rate volatility and jumps In: Chapters. [Full Text][Citation analysis] | chapter | 16 |
2012 | Econometric modeling of exchange rate volatility and jumps.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2000 | Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions In: Documents de recherche. [Full Text][Citation analysis] | paper | 0 |
2007 | Central bank intervention and exchange rate volatility, its continuous and jump components In: Working Papers. [Full Text][Citation analysis] | paper | 59 |
2007 | Central 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 another version. Agregated cites: 59 | article | |
2007 | Central Bank intervention and exchange rate volatility: its continuous and jump components.(2007) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 59 | paper | |
2016 | Do We Need High Frequency Data to Forecast Variances? In: Post-Print. [Full Text][Citation analysis] | paper | 5 |
2016 | Introduction to the special issue on recent developments in Financial Econometrics In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
2017 | Risk Measure Inference In: Post-Print. [Citation analysis] | paper | 12 |
2015 | Risk Measure Inference.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2017 | Risk Measure Inference.(2017) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2014 | Estimating and forecasting ARCH models using G@RCH 6 In: Post-Print. [Citation analysis] | paper | 0 |
2020 | Jumps et modèles de type GARCH (Chapitre 3) In: Post-Print. [Citation analysis] | paper | 0 |
2014 | Do We Need Ultra-High Frequency Data to Forecast Variances? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Analytical Derivates of the APARCH Model In: Computational Economics. [Full Text][Citation analysis] | article | 14 |
2011 | Common Intraday Periodicity In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 6 |
2011 | Common intraday periodicity.(2011) In: Research Memorandum. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2000 | La 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] | article | 0 |
2001 | G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models In: Computing in Economics and Finance 2001. [Full Text][Citation analysis] | paper | 35 |
2002 | Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
2002 | Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates In: Applied Financial Economics. [Full Text][Citation analysis] | article | 28 |
2012 | Do jumps mislead the FX market? In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
2020 | A New Class of Robust Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2007 | Central bank intervention in the foreign exchange markets assessed using realized moments In: ULB Institutional Repository. [Full Text][Citation analysis] | paper | 0 |
2004 | Have sequential interventions of Central Banks in foreign exchange been effective ? In: ULB Institutional Repository. [Citation analysis] | paper | 3 |
2002 | Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates In: ULB Institutional Repository. [Citation analysis] | paper | 27 |
2000 | La 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] | paper | 0 |
2001 | Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse In: Research Memorandum. [Full Text][Citation analysis] | paper | 5 |
2004 | Minimal manipulability: anonymity and surjectivity In: Research Memorandum. [Full Text][Citation analysis] | paper | 1 |
2011 | On the univariate representation of multivariate volatility models with common factors In: Research Memorandum. [Full Text][Citation analysis] | paper | 0 |
2007 | The information content of implied volatility in light of the jump/continuous decomposition of realized volatility In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 38 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team