This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Sébastien Laurent

Personal Details | Affiliation | Works
This is information that was supplied by Sébastien Laurent in registering through RePEc. If you are Sébastien Laurent , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

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, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. 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:

  2. Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely, 2007. "Jumps, cojumps and macro announcements," Working Papers 2007-032, Federal Reserve Bank of St. Louis. [Downloadable!]

  3. 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:

  4. 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!]
    Published as:

  5. 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!]

  6. 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.

  7. 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.

  8. 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:

  9. Giot, P. & Laurent, S., 2001. "Value-at-risk for Long and Short Trading Positions," Papers 0122, Catholique de Louvain - Center for Operations Research and Economics.
    Other versions:
    Published as:

  10. 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:

  11. 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

  1. 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:

  2. 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:

  3. 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!]

  4. 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:

  5. 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)

  6. Sébastien Laurent, 2004. "Analytical Derivates of the APARCH Model," Computational Economics, Springer, vol. 24(1), pages 51-57, 08. [Downloadable!]

  7. 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:

  8. 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)

  9. 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)

  10. 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)

  11. 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:

  12. 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)

  13. 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:

  14. 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

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2006-05-27
  2. NEP-CMP: Computational Economics (1) 2004-04-18
  3. NEP-ECM: Econometrics (1) 2004-03-28
  4. NEP-ETS: Econometric Time Series (1) 2004-03-28
  5. NEP-FMK: Financial Markets (2) 2006-01-24 2006-05-27 Author is listed
  6. NEP-IFN: International Finance (3) 2004-04-25 2006-01-24 2006-05-27 Author is listed
  7. NEP-MAC: Macroeconomics (1) 2006-01-24
  8. NEP-MON: Monetary Economics (3) 2004-04-25 2006-01-24 2006-05-27 Author is listed
  9. NEP-MST: Market Microstructure (1) 2007-09-16
  10. NEP-RMG: Risk Management (1) 2007-09-16
Did you know? IDEAS was sponsored from 1997 to 2002 by the Université du Québec à Montréal.

This page was last updated on 2008-10-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.