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Market risk in commodity markets: a VaR approach
Giot, Pierre; Laurent, Sébastien - In: Energy economics 25 (2003) 5, pp. 435-458
Persistent link: https://www.econbiz.de/10007654726
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Predicting issuer credit ratings using a semiparametric method
Giot, Pierre; Laurent, Sébastien; Petitjean, Mikael - In: Journal of empirical finance 17 (2010) 1, pp. 120-138
Persistent link: https://www.econbiz.de/10008349675
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Value-at-risk for long and short trading positions
Giot, Pierre; Laurent, Sébastien - In: Journal of applied econometrics 18 (2003) 6, pp. 641-664
Persistent link: https://www.econbiz.de/10006966137
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Modelling daily Value-at-Risk using realized volatility and ARCH type models
Giot, Pierre; Laurent, Sébastien - In: Journal of empirical finance 11 (2004) 3, pp. 379-398
Persistent link: https://www.econbiz.de/10007230369
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The information content of implied volatility in light of the jump-continuous decomposition of realized volatility
Giot, Pierre; Laurent, Sébastien - In: The journal of futures markets 27 (2007) 4, pp. 337-360
Persistent link: https://www.econbiz.de/10007609382
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A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
Bauwens, Luc; Laurent, Sébastien - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 3, pp. 346-354
Persistent link: https://www.econbiz.de/10008214200
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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. 891-912
Persistent link: https://www.econbiz.de/10007654640
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G(commat)RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models
Laurent, Sébastien; Peters, Jean-Philippe - In: Journal of economic surveys 16 (2002) 3, pp. 447
Persistent link: https://www.econbiz.de/10007661922
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Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates
Beine, Michel; Laurent, Sébastien; Lecourt, Christelle - In: Applied financial economics 12 (2002) 8, pp. 589-600
Persistent link: https://www.econbiz.de/10007662663
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Central bank intervention and exchange rate volatility, its continuous and jump components
Beine, Michel; Lahaye, Jérôme; Laurent, Sébastien; … - In: International journal of finance & economics : IJFE 12 (2007) 2, pp. 201-224
Persistent link: https://www.econbiz.de/10007724763