Sébastien Laurent at IDEAS
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about: Sébastien Laurent
Personal Details | Affiliation | Works
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Personal Details
First Name: Sébastien
Middle Name:
Last Name: Laurent
Suffix:
RePEc Short-ID: pla169
Email: Homepage:
http://www.core.ucl.ac.be/~laurent/
Postal Address: 8, rempart de la vierge 5000 Namur Belgium
Phone: Affiliation (in no particular order)
Works | Working papers | Articles | Access
and download statistics | Citations (if
any)| NEP Fields | Download all references for this author: available formats: HTML
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Working papers
Sébastien Laurent & Jeroen V.K. Rombouts & Francesco Violante, 2009.
"On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models ,"
Cahiers de recherche
0948, CIRPEE.
[Downloadable!]
Philippe Lambert & Sébastien Laurent, 2008.
"Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach ,"
ECARES Working Papers
2008_009, Université Libre de Bruxelles, Ecares.
[Downloadable!]
Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm, 2007.
"Central bank intervention and exchange rate volatility, its continuous and jump components ,"
Working Papers
2006-031, Federal Reserve Bank of St. Louis.
[Downloadable!] Published as:
Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely, 2007.
"Jumps, cojumps and macro announcements ,"
Working Papers
2007-032, Federal Reserve Bank of St. Louis.
[Downloadable!]
Michel Beine & Charles S. Bos & Sebastian Laurent, 2005.
"The Impact of Central Bank FX Interventions on Currency Components ,"
Tinbergen Institute Discussion Papers
05-103/4, Tinbergen Institute.
[Downloadable!] Published as:
Urbain,Jean-Pierre & Laurent,Sébastien, 2004.
"Bridging the Gap Between Ox and Gauss using OxGauss ,"
Research Memoranda
007, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
[Downloadable!] Other versions: Published as:
Beine,M. & Palm,F.C. & Laurent,S., 2003.
"Central Bank Forex Interventions Assessed Using Realized Moments ,"
Research Memoranda
057, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
[Downloadable!] Other versions: Published as:
Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009.
"Central bank FOREX interventions assessed using realized moments ,"
Journal of International Financial Markets, Institutions and Money ,
Elsevier, vol. 19(1), pages 112-127, February.
[Downloadable!] (restricted)
L. Bauwens & S. Laurent & J.P. Peters & J. Rombouts, 2002.
"Multivariate GARCH models and their Estimation ,"
Computing in Economics and Finance 2002
19, Society for Computational Economics.
Luc Bauwens & Sébastien Laurent, 2002.
"A New Class of Multivariate skew Densities, with Application to GARCH Models ,"
Computing in Economics and Finance 2002
5, Society for Computational Economics.
Other versions:
S»bastien Laurent and Jean-Philippe Peters, 2001.
"G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models ,"
Computing in Economics and Finance 2001
123, Society for Computational Economics.
[Downloadable!] Published as:
Giot,Pierre & Laurent,Sebastien, 2001.
"Modelling daily value-at-risk using realized volatility and arch type models ,"
Research Memoranda
014, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
[Downloadable!] Other versions: Published as:
Michel Beine & Sebastien Laurent, 2000.
"Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates ,"
Econometric Society World Congress 2000 Contributed Papers
0312, Econometric Society.
[Downloadable!]
Articles
Beine, Michel & Laurent, Sébastien & Palm, Franz C., 2009.
"Central bank FOREX interventions assessed using realized moments ,"
Journal of International Financial Markets, Institutions and Money ,
Elsevier, vol. 19(1), pages 112-127, February.
[Downloadable!] (restricted) Other versions:
BEINE, Michel & LAURENT, SŽbastien & PALM, Franz, 2004.
"Central Bank forex interventions assessed using realized moments ,"
CORE Discussion Papers
2004001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
[Downloadable!] Beine,M. & Palm,F.C. & Laurent,S., 2003.
"Central Bank Forex Interventions Assessed Using Realized Moments ,"
Research Memoranda
057, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
[Downloadable!]
Gnabo, Jean-Yves & Laurent, Sébastien & Lecourt, Christelle, 2009.
"Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan ,"
Journal of International Financial Markets, Institutions and Money ,
Elsevier, vol. 19(1), pages 94-111, February.
[Downloadable!] (restricted)
Michel Beine & Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely & Franz C. Palm, 2007.
"Central bank intervention and exchange rate volatility, its continuous and jump components ,"
International Journal of Finance & Economics ,
John Wiley & Sons, Ltd., vol. 12(2), pages 201-223.
[Downloadable!] Other versions:
Michel Beine & Charles S. Bos & Sébastien Laurent, 2007.
"The Impact of Central Bank FX Interventions on Currency Components ,"
Journal of Financial Econometrics ,
Oxford University Press, vol. 5(1), pages 154-183.
[Downloadable!] (restricted) Other versions:
Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
[Downloadable!] Other versions:
Jean-Pierre Urbain & Sébastien Laurent, 2005.
"Bridging the gap between Ox and Gauss using OxGauss ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 20(1), pages 131-139.
[Downloadable!] Other versions:
LAURENT, SŽbastien & URBAIN, Jean-Pierre, 2004.
"Bridging the gap between Ox and Gauss using OxGauss ,"
CORE Discussion Papers
2004012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
[Downloadable!] Urbain,Jean-Pierre & Laurent,Sébastien, 2004.
"Bridging the Gap Between Ox and Gauss using OxGauss ,"
Research Memoranda
007, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization.
[Downloadable!]
Bauwens, Luc & Laurent, Sebastien, 2005.
"A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 23, pages 346-354, July.
[Downloadable!] (restricted)
Sébastien Laurent, 2004.
"Analytical Derivates of the APARCH Model ,"
Computational Economics ,
Springer, vol. 24(1), pages 51-57, 08.
[Downloadable!]
Giot, Pierre & Laurent, Sebastien, 2004.
"Modelling daily Value-at-Risk using realized volatility and ARCH type models ,"
Journal of Empirical Finance ,
Elsevier, vol. 11(3), pages 379-398, June.
[Downloadable!] (restricted) Other versions:
Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2003.
"Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis ,"
European Economic Review ,
Elsevier, vol. 47(5), pages 891-911, October.
[Downloadable!] (restricted)
Giot, Pierre & Laurent, Sebastien, 2003.
"Market risk in commodity markets: a VaR approach ,"
Energy Economics ,
Elsevier, vol. 25(5), pages 435-457, September.
[Downloadable!] (restricted) Other versions:
Beine, Michel & Laurent, Sebastien, 2003.
"Central bank interventions and jumps in double long memory models of daily exchange rates ,"
Journal of Empirical Finance ,
Elsevier, vol. 10(5), pages 641-660, December.
[Downloadable!] (restricted)
Pierre Giot & Sébastien Laurent, 2003.
"Value-at-risk for long and short trading positions ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 18(6), pages 641-663.
[Downloadable!] Other versions:
Beine, Michel & Laurent, Sebastien & Lecourt, Christelle, 2002.
"Accounting for Conditional Leptokurtosis and Closing Days Effects in FIGARCH Models of Daily Exchange Rates ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 12(8), pages 589-600, August.
[Downloadable!] (restricted)
Laurent, Sebastien & Peters, Jean-Philippe, 2002.
" G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models ,"
Journal of Economic Surveys ,
Blackwell Publishing, vol. 16(3), pages 447-85, July.
[Downloadable!] (restricted) Other versions:
Sébastien Laurent, 2001.
"Capital humain, emploi et salaire en Belgique et dans ses régions ,"
Reflets et perspectives de la vie économique ,
De Boeck Université, vol. 0(1), pages 25-36.
[Downloadable!]
Beine, Michel & Bismans, Francis & Docquier, Frederic & Laurent, Sebastien, 2001.
"Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data ,"
Journal of Policy Modeling ,
Elsevier, vol. 23(7), pages 713-729, October.
[Downloadable!] (restricted)
NEP Fields 7 papers by this author were announced in NEP , and specifically in the following field reports (number of papers):
NEP-CBA : Central Banking (1) 2006-05-27
NEP-CMP : Computational Economics (1) 2004-04-18
NEP-ECM : Econometrics (1) 2004-03-28
NEP-ETS : Econometric Time Series (1) 2004-03-28
NEP-FMK : Financial Markets (2) 2006-01-24 2006-05-27 Author is listed
NEP-IFN : International Finance (3) 2004-04-25 2006-01-24 2006-05-27 Author is listed
NEP-MAC : Macroeconomics (2) 2006-01-24 2008-10-21 Author is listed
NEP-MON : Monetary Economics (3) 2004-04-25 2006-01-24 2006-05-27 Author is listed
NEP-MST : Market Microstructure (1) 2007-09-16
NEP-RMG : Risk Management (1) 2007-09-16
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This page was last updated on 2009-11-9.
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