Biblio

Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approachJournal articleSébastien Laurent, Christelle Lecourt et Franz C. Palm, Computational Statistics & Data Analysis, Volume 100, Issue C, pp. 383-400, 2016

On the Univariate Representation of BEKK Models with Common FactorsJournal articleAlain Hecq, Franz C. Palm et Sébastien Laurent, Journal of Time Series Econometrics, Volume 8, Issue 2, pp. 91-113, 2016

Common Intraday PeriodicityJournal articleSébastien Laurent, Alain Hecq et Franz C. Palm, Journal of Financial Econometrics, Volume 10, Issue 2, pp. 325-353, 2011

Central bank FOREX interventions assessed using realized momentsJournal articleSébastien Laurent, Michel Beine et Franz C. Palm, Journal of International Financial Markets, Institutions and Money, Volume 19, Issue 1, pp. 112-127, 2009

Central bank intervention and exchange rate volatility, its continuous and jump componentsJournal articleSébastien Laurent, Michel Beine, Jérôme Lahaye, Christopher J. Neely et Franz C. Palm, International Journal of Finance & Economics, Volume 12, Issue 2, pp. 201-223, 2007