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Does transparency in central bank intervention policy bring noise to the FX market?
Gnabo, Jean-Yves; Laurent, Sébastien; Lecourt, Christelle - In: Journal of international financial markets, … 19 (2009) 1, pp. 94-112
Persistent link: https://www.econbiz.de/10008881868
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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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Central bank interventions and jumps in double long memory models of daily exchange rates
Beine, Michel; Laurent, Sébastien - In: Journal of empirical finance 10 (2003) 5, pp. 641-660
Persistent link: https://www.econbiz.de/10007232488
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Jumps, cojumps and macro announcements
Lahaye, Jérôme; Laurent, Sébastien; Neely, Christopher J. - In: Journal of applied econometrics 26 (2011) 6, pp. 893-922
Persistent link: https://www.econbiz.de/10009290257