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~person:"Laurent, Sébastien"
~subject:"ARCH model"
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ARCH model
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Laurent, Sébastien
McAleer, Michael
124
Chang, Chia-Lin
64
Ma, Feng
60
Gupta, Rangan
58
Bouri, Elie
36
Caporale, Guglielmo Maria
33
Bauwens, Luc
32
Kumar, Dilip
32
Zhang, Yaojie
30
Engle, Robert F.
28
Hansen, Peter Reinhard
25
McMillan, David G.
25
Teräsvirta, Timo
25
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23
Bollerslev, Tim
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Kang, Sang Hoon
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Wei, Yu
22
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21
Hammoudeh, Shawkat
21
Liang, Chao
21
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20
Serletis, Apostolos
20
Silvennoinen, Annastiina
20
Tiwari, Aviral Kumar
20
Wu, Xinyu
20
Yoon, Seong-min
20
Molnár, Peter
19
Spagnolo, Nicola
19
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18
Floros, Christos
18
Koopman, Siem Jan
18
Andersen, Torben
17
Degiannakis, Stavros
17
Hamori, Shigeyuki
17
Huang, Zhuo
17
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17
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CORE discussion paper : DP
2
Research memorandum / METEOR, Universiteit Maastricht, Faculty of Economics and Business Administration
2
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1
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1
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1
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1
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ECONIS (ZBW)
19
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1
On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.
;
Laurent, Sébastien
;
Palm, Franz C.
- In:
Journal of time series econometrics
8
(
2016
)
2
,
pp. 91-113
Persistent link: https://www.econbiz.de/10011582755
Saved in:
2
Econometric modeling of exchange rate volatility and jumps
Erdemlioglu, Deniz
;
Laurent, Sébastien
;
Neely, …
- In:
Handbook of research methods and applications in …
,
(pp. 373-427)
.
2013
Persistent link: https://www.econbiz.de/10011897548
Saved in:
3
Multivariate GARCH models : a survey
Bauwens, Luc
;
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
-
2003
Persistent link: https://www.econbiz.de/10001791482
Saved in:
4
Long-run volatility dependencies in intraday data and mixture of normal distributions
Bourbel, Aurélie
;
Laurent, Sébastien
- In:
Developments in forecast combination and portfolio choice
,
(pp. 159-177)
.
2001
Persistent link: https://www.econbiz.de/10001719133
Saved in:
5
Official central bank interventions and exchange rate volatility : evidence from a regime-switching analysis
Beine, Michel
;
Laurent, Sébastien
;
Lecourt, Christelle
- In:
European economic review : EER
47
(
2003
)
5
,
pp. 891-911
Persistent link: https://www.econbiz.de/10001802776
Saved in:
6
Consistent ranking of multivariate volatility models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
-
2009
Persistent link: https://www.econbiz.de/10003850918
Saved in:
7
Econometric modeling of exchange rate volatility and jumps
Erdemlioglu, Deniz
;
Laurent, Sébastien
;
Neely, …
-
2012
Persistent link: https://www.econbiz.de/10009522869
Saved in:
8
On the univariate representation of multivariate volatility models with common factors
Hecq, Alain W. J.
;
Laurent, Sébastien
;
Palm, Franz C.
-
2011
Persistent link: https://www.econbiz.de/10008840656
Saved in:
9
Volatility models
Bauwens, Luc
;
Hafter, Christian
;
Laurent, Sébastien
-
2011
Persistent link: https://www.econbiz.de/10009390311
Saved in:
10
Robust forecasting of dynamic conditional correlation GARCH models
Boudt, Kris
;
Daníelsson, Jón
;
Laurent, Sébastien
- In:
International journal of forecasting
29
(
2013
)
2
,
pp. 244-257
Persistent link: https://www.econbiz.de/10009743433
Saved in:
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