Biblio
56 resultats trouvés
Filtres: Auteur est Sébastien Laurent [Clear All Filters]
Autoregressive conditional betasJournal article, Journal of Econometrics, Volume 238, Issue 2, pp. 105630, 2024
Interpretable Machine Learning Using Partial Linear Models*Journal article, Oxford Bulletin of Economics and Statistics, Volume 69, 2023
Quasi score-driven modelsJournal article, Journal of Econometrics, Volume 234, Issue 1, pp. 251-275, 2023
We modeled long memory with just one lag!Journal article, Journal of Econometrics, Volume 236, Issue 1, pp. 105467, 2023
Unit Root Test with High-Frequency DataJournal article, Econometric Theory, Volume 38, Issue 1, pp. 113-171, 2022
Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITsBook chapter, In: Recent Econometric Techniques for Macroeconomic and Financial Data, Gilles Dufrénot et Takashi Matsuki (Eds.), 2021-01, pp. 229-264, Springer International Publishing, 2021
Jumps et modèles de type GARCH (Chapitre 3)Book chapter, In: Méthodes de prévisions en finance, A. Charles, O. Darné et L. Ferrara (Eds.), 2020-09, pp. 53-68, 2020
Volatility estimation and jump detection for drift–diffusion processesJournal article, Journal of Econometrics, Volume 217, Issue 2, pp. 259-290, 2020
Asymptotics of Cholesky GARCH models and time-varying conditional betasJournal article, Journal of Econometrics, Volume 204, Issue 2, pp. 223-247, 2018
Generating univariate fractional integration within a large VAR(1)Journal article, Journal of Econometrics, Volume 204, Issue 1, pp. 54-65, 2018
Positive semidefinite integrated covariance estimation, factorizations and asynchronicityJournal article, Journal of Econometrics, Volume 196, Issue 2, pp. 347-367, 2017
Risk Measure InferenceJournal article, Journal of Business & Economic Statistics, Volume 35, Issue 4, pp. 499-512, 2017
Weak Diffusion Limits of Dynamic Conditional Correlation ModelsJournal article, Econometric Theory, Volume 33, Issue 03, pp. 691-716, 2017
Do We Need High Frequency Data to Forecast Variances?Journal article, Annals of Economics and Statistics, Issue 123/124, pp. 135-174, 2016
Introduction to the special issue on recent developments in Financial EconometricsJournal article, Annals of Economics and Statistics, Issue 123-124, pp. 7-8, 2016
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approachJournal article, Computational Statistics & Data Analysis, Volume 100, Issue C, pp. 383-400, 2016
On the Univariate Representation of BEKK Models with Common FactorsJournal article, Journal of Time Series Econometrics, Volume 8, Issue 2, pp. 91-113, 2016
Which continuous-time model is most appropriate for exchange rates?Journal article, Journal of Banking & Finance, Volume 61, Issue S2, pp. S256-S268, 2015
Estimating and forecasting ARCH models using G@RCH 6Book, 2014, Timberlake Consultants, 2014
Econometric Modeling of Exchange Rate Volatility and JumpsBook chapter, In: Handbook of Research Methods and Applications in Empirical Finance, A. R. Bell, C. Brooks et M. Prokopczuk (Eds.), 2013-04, Volume 16, pp. 373-427, Edward Elgar Publishing, 2013
On loss functions and ranking forecasting performances of multivariate volatility modelsJournal article, Journal of Econometrics, Volume 173, Issue 1, pp. 1-10, 2013
Robust forecasting of dynamic conditional correlation GARCH modelsJournal article, International Journal of Forecasting, Volume 29, Issue 2, pp. 244-257, 2013
Do jumps mislead the FX market?Journal article, Quantitative Finance, Volume 12, Issue 10, pp. 1521-1532, 2012
On the forecasting accuracy of multivariate GARCH modelsJournal article, Journal of Applied Econometrics, Volume 27, Issue 6, pp. 934-955, 2012
Handbook of Volatility Models and Their ApplicationsBookLuc Bauwens, Christian M. Hafner et Sébastien Laurent (Eds.), 2012-04, 566 pages, John Wiley & Sons, 2012
