Biblio

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

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

Testing conditional asymmetry: A residual-based approachJournal articleSébastien Laurent, Philippe Lambert et David Veredas, Journal of Economic Dynamics and Control, Volume 36, Issue 8, pp. 1229-1247, 2012

Volatility forecasts evaluation and comparisonJournal articleSébastien Laurent et Francesco Violante, Wiley Interdisciplinary Reviews: Computational Statistics, Volume 4, Issue 1, pp. 1-12, 2012

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

Jumps, cojumps and macro announcementsJournal articleSébastien Laurent, Jérôme Lahaye et Christopher J. Neely, Journal of Applied Econometrics, Volume 26, Issue 6, pp. 893-921, 2011

Outlyingness Weighted CovariationJournal articleSébastien Laurent et Christophe Croux, Journal of Financial Econometrics, Volume 9, Issue 4, pp. 657-684, 2011

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

Trading activity, realized volatility and jumpsJournal articleSébastien Laurent, Pierre Giot et Mikael Petitjean, Journal of Empirical Finance, Volume 17, Issue 1, pp. 168-175, 2010

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

Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of JapanJournal articleSébastien Laurent, Jean-Yves Gnabo et Christelle Lecourt, Journal of International Financial Markets, Institutions and Money, Volume 19, Issue 1, pp. 94-111, 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

The Impact of Central Bank FX Interventions on Currency ComponentsJournal articleSébastien Laurent, Michel Beine et Charles S. Bos, Journal of Financial Econometrics, Volume 5, Issue 1, pp. 154-183, 2007

The information content of implied volatility in light of the jump/continuous decomposition of realized volatilityJournal articlePierre Giot et Sébastien Laurent, Journal of Futures Markets, Volume 27, Issue 4, pp. 337-359, 2007

Multivariate GARCH models: a surveyJournal articleSébastien Laurent, Luc Bauwens et Jeroen V. K. Rombouts, Journal of Applied Econometrics, Volume 21, Issue 1, pp. 79-109, 2006

Bridging the gap between Ox and Gauss using OxGaussJournal articleSébastien Laurent et Jean-Pierre Urbain, Journal of Applied Econometrics, Volume 20, Issue 1, pp. 131-139, 2005

A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity ModelsJournal articleLuc Bauwens et Sébastien Laurent, Journal of Business & Economic Statistics, Volume 23, Issue 3, pp. 346-354, 2005

Analytical Derivates of the APARCH ModelJournal articleSébastien Laurent, Computational Economics, Volume 24, Issue 1, pp. 51-57, 2004

Modelling daily Value-at-Risk using realized volatility and ARCH type modelsJournal articleSébastien Laurent et Pierre Giot, Journal of Empirical Finance, Volume 11, Issue 3, pp. 379-398, 2004

Central bank interventions and jumps in double long memory models of daily exchange ratesJournal articleSébastien Laurent et Michel Beine, Journal of Empirical Finance, Volume 10, Issue 5, pp. 641-660, 2003

Market risk in commodity markets: a VaR approachJournal articlePierre Giot et Sébastien Laurent, Energy Economics, Volume 25, Issue 5, pp. 435-457, 2003

Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysisJournal articleMichel Beine, Sébastien Laurent et Christelle Lecourt, European Economic Review, Volume 47, Issue 5, pp. 891-911, 2003

Value-at-risk for long and short trading positionsJournal articlePierre Giot et Sébastien Laurent, Journal of Applied Econometrics, Volume 18, Issue 6, pp. 641-663, 2003

Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange ratesJournal articleMichel Beine, Sébastien Laurent et Christelle Lecourt, Applied Financial Economics, Volume 12, Issue 8, pp. 589-600, 2002

G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH ModelsJournal articleSébastien Laurent et Jean-Philippe Peters, Journal of Economic Surveys, Volume 16, Issue 3, pp. 447-85, 2002