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Modeling time-varying conditional betas : a comparison of methods with application for REITs

Aloy, Marcel; Laly, Floris; Laurent, Sébastien; … - In: Recent econometric techniques for macroeconomic and …, (pp. 229-264). 2021

Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter proposes a review of different time series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed...

Persistent link: https://www.econbiz.de/10012395467

Intervention policy of the BoJ : a unified approach

Beine, Michel; Bernal, Oscar; Gnabo, Jean-Yves; … - In: Journal of banking & finance 33 (2009) 5, pp. 904-913

Persistent link: https://www.econbiz.de/10003836451

Intervention policy of the BoJ : a unified approach

Beine, Michel; Bernal, Oscar; Gnabo, Jean-Yves; … - 2007

Persistent link: https://www.econbiz.de/10003462353

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. 201-223

Persistent link: https://www.econbiz.de/10003542897

Central bank intervention and exchange rate volatility, its continuous and jump components

Beine, Michel; Lahaye, Jérôme; Laurent, Sébastien; … - 2007 - Rev.

Persistent link: https://www.econbiz.de/10003740039

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

Robust estimation of intraweek periodicity in volatility and jump detection

Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of empirical finance 18 (2011) 2, pp. 353-367

Persistent link: https://www.econbiz.de/10009301110

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

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

On the univariate representation of BEKK models with common factors

Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2012

Persistent link: https://www.econbiz.de/10009515469

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