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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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Multivariate GARCH models: a survey
Bauwens, Luc; Laurent, Sébastien; Rombouts, Jeroen V.K. - In: Journal of applied econometrics 21 (2006) 1, pp. 79-110
Persistent link: https://www.econbiz.de/10006955386
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Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange
Bauwens, Luc - In: Monetary and economic studies 24 (2006) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009935076
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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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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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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
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Conference présidentielle - La persistance des chocs de volatilité sur le marché des changes s'est-elle modifiée depuis le début des années 1980 ?
Beine, Michel; Laurent, Sébastien - In: Revue économique 51 (2000) 3, pp. 703-712
Persistent link: https://www.econbiz.de/10007921748
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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