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Displaying 1 - 25 of 30 results.

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    • Journal article
    A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
    Bauwens, Luc[UCL] Laurent, Sébastien[UCL] (2005) Journal of Business and Economic Statistics — Vol. 23, no. 3, p. 346-354 (Juillet 2005)
    • Journal article
    Multivariate GARCH models: a survey
    Bauwens, Luc[UCL] Laurent, Sébastien[UCL] Rombouts, Jeroen[UCL] (2006) Journal of Applied Econometrics — Vol. 21, no. 1, p. 79-109 (Janvier 2006)
    • WorkingPaper
    A new class of multivariate skew densities, with application to GARCH models
    Bauwens, Luc[UCL] Laurent, Sébastien (2002)
    • Journal article
    Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis
    Beine, Michel Laurent, Sébastien[UCL] Lecourt, Christelle (2003) European Economic Review — Vol. 47, no. 5, p. 891-911 (2003)
    • Journal article
    We modeled long memory with just one lag!
    Bauwens, Luc[UCL] Chevillon, Guillaume Laurent, Sébastien (2023) Journal of Econometrics — Vol. 236, no.1, p. 105467 (2023)
    • WorkingPaper
    We modeled long memory with just one lag!
    Bauwens, Luc[UCL] Chevillon, Guillaume Laurent, Sébastien (2022)
    • WorkingPaper
    Bridging the gap between Ox and Gauss using OxGauss
    Laurent, Sébastien Urbain, Jean-Pierre (2004)
    • WorkingPaper
    Value-at-risk for long and short trading positions
    Giot, Pierre Laurent, Sébastien (2001)
    • WorkingPaper
    Market risk in commodity markets: a VaR approach
    Giot, Pierre[UCL] Laurent, Sébastien (2003)
    • WorkingPaper
    On the Forecasting Accuracy of Multivariate GARCH Models
    Laurent, Sébastien Rombouts, Jeroen Violante, Francesco[FUNDP] (2010)
    • WorkingPaper
    Trading activity, realized volatility and jumps
    Giot, Pierre[FUNDP] Petitjean, Mikael[FUCAM] Laurent, Sébastien[FUNDP] (2007)
    • WorkingPaper
    Modelling skewness dynamics in series of financial data using skewed location-scale distributions
    Lambert, Philippe[UCL] Laurent, Sébastien (2001)
    • WorkingPaper
    Consistent ranking of multivariate volatility models.
    Laurent, Sébastien[UCL] Rombouts, Jeroen Violante, Francesco[FUNDP] (2009)
    • WorkingPaper
    Modelling financial time series using GARCH-type models with a skewed student distribution for the innovations
    Lambert, Philippe[UCL] Laurent, Sébastien (2001)
    • Journal article
    Capital humain, emploi et revenus du travail: Belgique 1992
    Docquier, Frédéric Laurent, Sébastien Perelman, Sergio (1999) Cahiers Economiques de Bruxelles — Vol. [42], no. 161, p. 77-103 (1999)
    • WorkingPaper
    Central bank forex interventions assessed using realized moments
    Beine, Michel Laurent, Sébastien Palm, Franz C. (2004)
    • Journal article
    Does transparency in central bank intervention policy bring noise to the FX market? The case of the bank of Japan
    Gnabo, Jean-Yves[FUNDP] Laurent, Sébastien[UCL] Lecourt, Christelle[FUNDP] (2009) International Finance Markets, Institutions & Money — Vol. 19, no. 1, p. 94-111 (Février 2009)
    • Journal article
    Central bank FOREX interentions assessed using realized moments
    Beine, Michel Laurent, Sébastien[UCL] Palm, Franz (2009) International Financial Markets, Institutions & Money — Vol. 19, no. 1, p. 112-127 (Février 2009)
    • WorkingPaper
    Weak Diffusion Limits of Dynamic Conditional Correlation Models
    Hafner, Christian[UCL] Laurent, Sébastien Violante, Francesco (2016)
    • Journal article
    Testing conditional asymmetry: A residual-based approach
    Lambert, Philippe[UCL] Laurent, Sébastien Veredas, David (2012) Journal of Economic Dynamics and Control — Vol. 36, no. 8, p. 1229-1247 (2012)
    • Journal article
    On the forecasting accuracy of multivariate GARCH models
    Laurent, Sébastien[UCL] Rombouts, Jeroen[UCL] Violante, Francesco[UCL] (2012) Journal of Applied Econometrics — Vol. 27, no. 6, p. 934-955 (2012)
    • Journal article
    Do jumps mislead the FX market?
    Gnabo, Jean-Yves Lahaye, Jérôme Laurent, Sébastien[UCL] Lecourt, Christelle (2012) Quantitative Finance — Vol. 12, no. 10, p. 1521-1532 (2012)
    • Journal article
    Robust forecasting of dynamic conditional correlation GARCH models
    Boudt, Kris Daníelsson, Jón Laurent, Sébastien[UCL] (2013) International Journal of Forecasting — Vol. 29, no. 2, p. 244-257 (2013)
    • Journal article
    On loss functions and ranking forecasting performances of multivariate volatility models
    Laurent, Sébastien[UCL] Rombouts, Jeroen V.K. Violante, Francesco[UCL] (2013) Journal of Econometrics — Vol. 173, no. 1, p. 1-10 (2013)
    • Journal article
    Common intraday periodicity
    Hecq, Alain Laurent, Sébastien[UCL] Palm, Franz C. (2012) Journal of Financial Econometrics — Vol. 10, no. 2, p. 325-353 (2012)

Pages