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On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - In: Journal of econometrics 173 (2013) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10010069891
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Quasi score-driven models
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 234 (2023) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
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On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien; Rombouts, Jeroen V. K.; Violante, … - In: Journal of econometrics 173 (2013) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10009719647
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Generating univariate fractional integration within a large VAR(1)
Chevillon, Guillaume; Hecq, Alain W. J.; Laurent, Sébastien - In: Journal of econometrics 204 (2018) 1, pp. 54-65
Persistent link: https://www.econbiz.de/10011974715
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Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 204 (2018) 2, pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
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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
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Volatility estimation and jump detection for drift-diffusion processes
Laurent, Sébastien; Shi, Shuping - In: Journal of econometrics 217 (2020) 2, pp. 259-290
Persistent link: https://www.econbiz.de/10012482762
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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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Autoregressive conditional betas
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 238 (2024) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10015073921
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Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus; Neely, Christopher J.; Winkelmann, Lars - In: Journal of econometrics 209 (2019) 2, pp. 158-184
Persistent link: https://www.econbiz.de/10012302583