Sébastien Laurent

AMSE

2 rue de la Charité

Marseille, 13236

France

SCHOLARLY PAPERS

22

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CITATIONS
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in Total Papers Citations

204

Scholarly Papers (22)

1.

Multivariate GARCH Models: A Survey

CORE Discussion Paper No. 2003/31
Number of pages: 39 Posted: 06 Aug 2003
Luc Bauwens, Sébastien Laurent and J. V. K. Rombouts
Université catholique de Louvain, AMSE and HEC Montreal
Downloads 2,223 (5,981)
Citation 36

Abstract:

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Volatility, Multivariate GARCH models, Financial econometrics

2.

Modelling Daily Value-at-Risk Using Realized Volatility and Arch Type Models

Universiteit Maastricht Meteor Working Paper No. RM/01/026
Number of pages: 25 Posted: 28 Jan 2003
Pierre Giot and Sébastien Laurent
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and AMSE
Downloads 492 (56,168)
Citation 31

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Value-at-Risk, Realized Volatility, Skewed Student Distribution, APARCH

3.

A New Class of Multivariate Skew Densities, with Application to GARCH Models

Journal of Business and Economic Statistics, 23/3, 346-354, 2005.
Number of pages: 44 Posted: 14 Apr 2005
Luc Bauwens and Sébastien Laurent
Université catholique de Louvain and AMSE
Downloads 420 (68,225)
Citation 1

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Multivariate skew density, multivariate student density, multivariate GARCH models, Value-at-Risk

4.

Jumps, Cojumps and Macro Announcements

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 34 Posted: 13 Oct 2008 Last Revised: 26 Aug 2009
Jerome Lahaye, Sébastien Laurent and Christopher J. Neely
Facultés Universitaires Notre-Dame de la Paix (FUNDP), AMSE and Federal Reserve Bank of St. Louis - Research Division
Downloads 372 (78,673)
Citation 8

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exchange rate, futures, bonds, realized volatility, bipower variation, jumps, macroeconomic announcement.

5.

Robust Estimation of Intraweek Periodicity in Volatility and Jump Detection

Journal of Empirical Finance, Vol. 18, pp. 353-367
Number of pages: 35 Posted: 10 Nov 2008 Last Revised: 06 Feb 2012
Kris Boudt, Christophe Croux and Sébastien Laurent
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and AMSE
Downloads 356 (82,833)
Citation 7

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high-frequency data, jump detection, periodicity, long memory, robust statistics

6.

Robust Forecasting of Dynamic Conditional Correlation GARCH Models

International Journal of Forecasting 29, 244-257
Number of pages: 37 Posted: 30 Nov 2010 Last Revised: 30 Aug 2013
Kris Boudt, Jon Danielsson and Sébastien Laurent
Ghent University, London School of Economics - Systemic Risk Centre and AMSE
Downloads 299 (100,562)
Citation 5

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7.

Outlyingness Weighted Covariation

Journal of Financial Econometrics, Vol. 9, pp. 657-684, 2011
Number of pages: 38 Posted: 23 Jun 2008 Last Revised: 04 Mar 2012
Kris Boudt, Christophe Croux and Sébastien Laurent
Ghent University, KU Leuven - Faculty of Business and Economics (FEB) and AMSE
Downloads 214 (141,705)
Citation 1

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Continuous-time methods, high-frequency data, quadratic covariation, realized covolatility, semi-martingales

8.

Econometric Modeling of Exchange Rate Volatility and Jumps

Federal Reserve Bank of St. Louis Working Paper No. 2012-008A
Number of pages: 69 Posted: 12 Apr 2012
Deniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely
IESEG School of Management, LEM-CNRS 9221, France, AMSE and Federal Reserve Bank of St. Louis - Research Division
Downloads 185 (162,214)

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Foreign exchange volatility, ARCH models, realized volatility, intraday periodicity, jumps, macroeconomic announcements, central bank interventions

9.

Risk Measure Inference

Number of pages: 37 Posted: 26 Oct 2013 Last Revised: 16 Mar 2015
University of Orleans, AMSE, Erasmus University Rotterdam (EUR) - Department of Business Economics and Maastricht University - Department of Quantitative Economics
Downloads 177 (168,802)
Citation 2

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Bootstrap, Grouped Ranking, Risk Measures, Uncertainty

10.

Testing Conditional Asymmetry: A Residual-Based Approach

Number of pages: 32 Posted: 16 Nov 2007 Last Revised: 17 Sep 2008
Sébastien Laurent, Philippe Lambert and David Veredas
AMSE, University of Liege - Economics, Business Administration and Social Sciences and Vlerick Business School
Downloads 173 (172,229)

Abstract:

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Conditional skewness, asymmetry

11.

Central Bank Forex Interventions Assessed Using Realized Moments

CORE Discussion Paper No. 2004/1
Number of pages: 39 Posted: 13 Jul 2004
Michel A. R. Beine, Sébastien Laurent and C. Palm
University of Luxemburg, AMSE and Maastricht School of Business and Economics
Downloads 169 (175,817)
Citation 8

Abstract:

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Central Bank Interventions, Exchange Rates Realized Moments, Intradaily Dynamics

The Impact of Central Bank FX Interventions on Currency Components

Tinbergen Institute Discussion Paper No. 2005-103/4
Number of pages: 34 Posted: 11 Nov 2005
Michel A. R. Beine, Charles S. Bos and Sébastien Laurent
University of Luxemburg, VU University Amsterdam and AMSE
Downloads 153 (191,640)
Citation 4

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Central Bank interventions, Foreign Exchange Markets, Stochastic Volatility, Bayesian Estimation

The Impact of Central Bank Fx Interventions on Currency Components

Journal of Financial Econometrics, Vol. 5, Issue 1, pp. 154-183, 2007
Posted: 16 Jun 2008
Michel A. R. Beine, Charles S. Bos and Sébastien Laurent
University of Luxemburg, VU University Amsterdam and AMSE

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Central bank interventions, currency components, foreign exchange, Markov chain Monte Carlo, stochastic volatility, structural time series models

13.

Bridging the Gap Between Ox and Gauss Using Oxgauss

CORE Discussion Paper No. 2004/12
Number of pages: 10 Posted: 28 Mar 2007
Sébastien Laurent and Jean-Pierre Urbain
AMSE and Maastricht University - Department of Economics
Downloads 150 (194,445)
Citation 1

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14.

Trading Activity, Realized Volatility and Jumps

Journal of Empirical Finance, Vol. 17, 2010
Number of pages: 35 Posted: 19 Jan 2009 Last Revised: 23 Jan 2016
Pierre Giot, Sébastien Laurent and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP), AMSE and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 148 (196,603)
Citation 4

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volume, volatility, transactions, jumps, bi-power variation

15.

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Journal of Econometrics, 196, 347-367, 2016
Number of pages: 58 Posted: 24 Jan 2014 Last Revised: 21 Nov 2017
Ghent University, AMSE, Aarhus University - School of Economics and Management, Erasmus University Rotterdam (EUR) - Department of Business Economics and Aarhus University - School of Business and Social Sciences
Downloads 138 (208,014)

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Cholesky decomposition, Integrated covariance, Positive semidefinite

16.

Central Bank Intervention and Exchange Rate Volatility, its Continuous and Jump Components

FRB of St. Louis Working Paper No. 2006-031C
Number of pages: 37 Posted: 16 May 2006
University of Luxemburg, Facultés Universitaires Notre-Dame de la Paix (FUNDP), AMSE, Federal Reserve Bank of St. Louis - Research Division and University of Maastricht - Department of Economics
Downloads 133 (214,378)

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intervention, exchange rate, jumps, bi-power variation, volatility, central bank

17.

Does Transparency in Central Bank Intervention Policy Bring Noise to the FX Market? The Case of the Bank of Japan

Number of pages: 26 Posted: 26 Sep 2006
Jean-Yves Gnabo, Sébastien Laurent and Christelle Lecourt
Facultés Universitaires Notre-Dame de la Paix (FUNDP), AMSE and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 127 (222,109)
Citation 5

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Central banks, Foreign exchange market, Interventions, Communication policy, Rumours

18.

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

CIRANO - Scientific Publications 2009s-45
Number of pages: 65 Posted: 17 Nov 2009 Last Revised: 21 Apr 2012
Sébastien Laurent, J. V. K. Rombouts and Francesco Violante
AMSE, HEC Montreal and Maastricht University - Department of Economics
Downloads 80 (303,575)
Citation 17

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Volatility, multivariate GARCH, matrix norm, loss function, model confidence set

19.

Which Continuous-Time Model is Most Appropriate for Exchange Rates?

FRB of St. Louis Working Paper No. 2013-024C
Number of pages: 29 Posted: 18 Aug 2013 Last Revised: 23 Aug 2014
Deniz Erdemlioglu, Sébastien Laurent and Christopher J. Neely
IESEG School of Management, LEM-CNRS 9221, France, AMSE and Federal Reserve Bank of St. Louis - Research Division
Downloads 39 (426,238)

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Exchange rates, Brownian motion, Volatility, Jumps, Intraday periodicity, High-frequency data

20.

Testing for Jumps in Near Non-Stationary Diffusion Processes

Macquarie University Faculty of Business & Economics Research Paper No. 4/2017
Number of pages: 26 Posted: 13 Oct 2017
Sébastien Laurent and Shuping Shi
AMSE and Department of Economics, Macquarie University
Downloads 24 (496,363)

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Jumps, Ornstein-Uhlenbeck processes, random walk, local-to-unity, intraday data

21.

Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence

Number of pages: 33 Posted: 02 Jun 2015
Guillaume Chevillon, Alain Hecq and Sébastien Laurent
ESSEC Business School, Maastricht University - Department of Economics and AMSE
Downloads 23 (501,848)

Abstract:

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Long memory, Vector Autoregressive Model, Marginalization, Final Equation Representation, Volatility

22.

Unit Root Test with High-Frequency Data

Number of pages: 53 Posted: 18 Jul 2019
Sébastien Laurent and Shuping Shi
AMSE and Department of Economics, Macquarie University
Downloads 22 (507,659)

Abstract:

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unit root test, random walk, in-fill asymptotic, jumps, GARCH, periodicity, microstructure noise