Biblio

Positive semidefinite integrated covariance estimation, factorizations and asynchronicityJournal articleKris Boudt, Sébastien Laurent, Asger Lunde, Rogier Quaedvlieg et Orimar Sauri, Journal of Econometrics, Volume 196, Issue 2, pp. 347-367, 2017

Robust forecasting of dynamic conditional correlation GARCH modelsJournal articleKris Boudt, Jón Danielsson et Sébastien Laurent, International Journal of Forecasting, Volume 29, Issue 2, pp. 244-257, 2013

Nonparametric Tests for Intraday Jumps: Impact of Periodicity and Microstructure NoiseBook chapterKris Boudt, Jonathan Cornelissen, Christophe Croux et Sébastien Laurent, In: Handbook of Volatility Models and Their Applications, Luc Bauwens, Christian M. Hafner et Sébastien Laurent (Eds.), 2012-04, Volume 18, pp. 447-463, John Wiley & Sons, Inc., 2012

Robust estimation of intraweek periodicity in volatility and jump detectionJournal articleSébastien Laurent, Kris Boudt et Christophe Croux, Journal of Empirical Finance, Volume 18, Issue 2, pp. 353-367, 2011