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Multivariate GARCH models: a survey
BAUWENS, Luc; LAURENT, Sébastien; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010927172
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Multivariate GARCH models: a survey
BAUWENS, Luc; LAURENT, Sébastien; ROMBOUTS, Jeroen VK - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010675470
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A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models
BAUWENS, Luc; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010703610
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Multivariate GARCH models: a survey
Laurent, Sébastien; Bauwens, Luc; Rombouts, Jeroen V. K. - In: Journal of Applied Econometrics 21 (2006) 1, pp. 79-109
This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.
Persistent link: https://www.econbiz.de/10005823698
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We modeled long memory with just one lag!
Bauwens, Luc; Chevillon, Guillaume; Laurent, Sébastien - In: Journal of econometrics 236 (2023) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
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The impact of Central Bank FX interventions on currency components
BEINE, Michel; BOS, Charles S.; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926275
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Volatility forecasts evaluation and comparison
LAURENT, Sébastien; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010926429
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Market risk in commodity markets: a VaR approach
GIOT, Pierre; LAURENT, Sébastien - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010927154
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Jumps, cojumps and macro announcements
LAHAYE, Jérôme; LAURENT, Sébastien; NEELY, Christopher J. - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010927179
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Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis
BEINE, Michel; LAURENT, Sébastien; LECOURT, Christelle - Center for Operations Research and Econometrics (CORE), …
Persistent link: https://www.econbiz.de/10010927322