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Hurlin, Christophe; Laurent, Sébastien; Quaedvlieg, Rogier - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 499-512

Persistent link: https://www.econbiz.de/10011893687

Multi-horizon forecast comparison

Quaedvlieg, Rogier - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 1, pp. 40-53

Persistent link: https://www.econbiz.de/10012424497

Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data

Beine, Michel; Bismans, Francis; Docquier, Frederic; … - In: Journal of Policy Modeling 23 (2001) 7, pp. 713-729

Persistent link: https://www.econbiz.de/10005122257

A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models

Bauwens, Luc; Laurent, Sebastien - In: Journal of Business & Economic Statistics 23 (2005) July, pp. 346-354

Persistent link: https://www.econbiz.de/10005238354

Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates

Beine, Michel; Laurent, Sebastien; Lecourt, Christelle - In: Applied Financial Economics 12 (2002) 8, pp. 589-600

This paper, estimates FIGARCH models introduced by Baillie et al. (1996a) for the four major daily exchange rates against the USD (DEM, FRF, YEN and the GBP). The former contributions are extended by accounting for the observed kurtosis through a Student- t based maximum likelihood estimation...

Persistent link: https://www.econbiz.de/10005278446

Market risk in commodity markets: a VaR approach

Giot, Pierre; Laurent, Sebastien - In: Energy Economics 25 (2003) 5, pp. 435-457

Persistent link: https://www.econbiz.de/10005280232

Modelling daily Value-at-Risk using realized volatility and ARCH type models

Giot, Pierre; Laurent, Sebastien - In: Journal of Empirical Finance 11 (2004) 3, pp. 379-398

Persistent link: https://www.econbiz.de/10005199029

Central bank interventions and jumps in double long memory models of daily exchange rates

Beine, Michel; Laurent, Sebastien - In: Journal of Empirical Finance 10 (2003) 5, pp. 641-660

Persistent link: https://www.econbiz.de/10005199055

Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis

Beine, Michel; Laurent, Sebastien; Lecourt, Christelle - In: European Economic Review 47 (2003) 5, pp. 891-911

Persistent link: https://www.econbiz.de/10005322627

Positive semidefinite integrated covariance estimation, factorizations and asynchronicity

Boudt, Kris; Laurent, Sébastien; Lunde, Asger; … - In: Journal of econometrics 196 (2017) 2, pp. 347-367

Persistent link: https://www.econbiz.de/10011818308