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Sébastien Laurent
(Sebastien Laurent)

Personal Details

First Name:Sebastien
Middle Name:
Last Name:Laurent
Suffix:
RePEc Short-ID:pla169
[This author has chosen not to make the email address public]
http://www.slaurent.net
AMSE 424 Chemin du Viaduc 13080 Aix-en-Provence France

Affiliation

École d'Économie d'Aix-Marseille
Aix-Marseille Université

Aix-en-Provence/Marseille, France
http://www.amse-aixmarseille.fr/
RePEc:edi:amseafr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. F. Blasques & Christian Francq & Sébastien Laurent, 2023. "Quasi score-driven models," Post-Print hal-04069143, HAL.
  2. Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Sébastien Laurent & Shuping Shi, 2022. "Unit Root Test with High-Frequency Data," Post-Print hal-03543167, HAL.
  4. Aloy, Marcel & Laly, Floris & Laurent, Sébastien & Lecourt, Christelle, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," LIDAM Reprints LFIN 2021021, Université catholique de Louvain, Louvain Finance (LFIN).
  5. Sébastien Laurent & Christelle Lecourt, 2020. "Jumps et modèles de type GARCH (Chapitre 3)," Post-Print hal-03553534, HAL.
  6. Francisco Blasques & Christian Francq & Sébastien Laurent, 2020. "A New Class of Robust Observation-Driven Models," Tinbergen Institute Discussion Papers 20-073/III, Tinbergen Institute.
  7. Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," AMSE Working Papers 1843, Aix-Marseille School of Economics, France.
  8. Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, France.
  9. Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," AMSE Working Papers 1844, Aix-Marseille School of Economics, France.
  10. Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2017. "Risk Measure Inference," Post-Print hal-01457393, HAL.
  11. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Post-Print hal-01448237, HAL.
  12. Serge Darolles & Christian Gourieroux & Sébastien Laurent, 2016. "Introduction to the special issue on recent developments in Financial Econometrics," Post-Print hal-01448240, HAL.
  13. Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Post-Print hal-01440307, HAL.
  14. Sébastien Laurent & Christelle Lecourt & Franz C. Palm, 2016. "Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach," Post-Print hal-01447861, HAL.
  15. Christian M. Hafner & Sebastien Laurent & Francesco Violante, 2015. "Weak diffusion limits of dynamic conditional correlation models," CREATES Research Papers 2015-03, Department of Economics and Business Economics, Aarhus University.
  16. Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers WP1507, ESSEC Research Center, ESSEC Business School.
  17. Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014. "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers 2014-05, Department of Economics and Business Economics, Aarhus University.
  18. Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
  19. Sébastien Laurent, 2014. "Estimating and forecasting ARCH models using G@RCH 6," Post-Print hal-01463936, HAL.
  20. Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely, 2013. "Which continuous-time model is most appropriate for exchange rates?," Working Papers 2013-024, Federal Reserve Bank of St. Louis.
  21. LAURENT, Sébastien & VIOLANTE, Francesco, 2012. "Volatility forecasts evaluation and comparison," LIDAM Reprints CORE 2414, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  22. Deniz Erdemlioglu & Sebastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
  23. Lambert, Philippe & Laurent, Sebastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," LIDAM Reprints ISBA 2012006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  24. BOUDT, Kris & CROUX, Christophe & LAURENT, Sébastien, 2011. "Outlyingness weighted covariation," LIDAM Reprints CORE 2443, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  25. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  26. Hecq, A.W. & Laurent, S.F.J.A. & Palm, F.C., 2011. "On the univariate representation of multivariate volatility models with common factors," Research Memorandum 011, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  27. LAHAYE, Jérôme & LAURENT, Sébastien & NEELY, Christopher J., 2011. "Jumps, cojumps and macro announcements," LIDAM Reprints CORE 2413, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  28. Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2011. "Common intraday periodicity," Research Memorandum 010, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  29. LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco, 2010. "On the forecasting accuracy of multivariate GARCH models," LIDAM Discussion Papers CORE 2010025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  30. GIOT, Pierre & LAURENT, Sébastien & PETITJEAN, Mikael, 2010. "Trading activity, realized volatility and jumps," LIDAM Reprints CORE 2223, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  31. LAURENT, Sebastien & ROMBOUTS, Jeroen V.K. & VIOLANTE, FRANCESCO, 2009. "Consistent ranking of multivariate volatility models," LIDAM Discussion Papers CORE 2009002, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  32. 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," LIDAM Reprints CORE 2136, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  33. Sébastien Laurent & Jeroen Rombouts & Francesco Violente, 2009. "On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models," CIRANO Working Papers 2009s-45, CIRANO.
  34. Philippe Lambert & Sébastien Laurent, 2008. "Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach," Working Papers ECARES 2008_009, ULB -- Universite Libre de Bruxelles.
  35. Michel Beine & Jerome Lahaye & Sebastien 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.
  36. Michel Beine & Sébastien Laurent & Franz Palm, 2007. "Central bank intervention in the foreign exchange markets assessed using realized moments," ULB Institutional Repository 2013/10407, ULB -- Universite Libre de Bruxelles.
  37. BEINE, Michel & BOS, Charles S. & LAURENT, Sébastien, 2006. "The impact of Central Bank FX interventions on currency components," LIDAM Reprints CORE 1980, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  38. BAUWENS, Luc & LAURENT, Sébastien, 2005. "A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models," LIDAM Reprints CORE 1793, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  39. Michel Beine & Sébastien Laurent & Franz Palm, 2004. "Have sequential interventions of Central Banks in foreign exchange been effective ?," ULB Institutional Repository 2013/10429, ULB -- Universite Libre de Bruxelles.
  40. LAURENT, Sébastien & URBAIN, Jean-Pierre, 2004. "Bridging the gap between Ox and Gauss using OxGauss," LIDAM Discussion Papers CORE 2004012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  41. GIOT, Pierre & LAURENT, Sébastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," LIDAM Reprints CORE 1708, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  42. Maus, S. & Peters, H.J.M. & Storcken, A.J.A., 2004. "Minimal manipulability: anonymity and surjectivity," Research Memorandum 007, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  43. BEINE, Michel & LAURENT, Sébastien & PALM, Franz, 2004. "Central Bank forex interventions assessed using realized moments," LIDAM Discussion Papers CORE 2004001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  44. GIOT, Pierre & LAURENT, Sébastien, 2003. "Market risk in commodity markets: a VaR approach," LIDAM Discussion Papers CORE 2003028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  45. BEINE, Michel & LAURENT, Sébastien, 2003. "Central bank interventions and jumps in double long memory models of daily exchange rates," LIDAM Reprints CORE 1706, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  46. BEINE, Michel & LAURENT, Sébastien & LECOURT, Christelle, 2003. "Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis," LIDAM Reprints CORE 1705, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  47. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  48. 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.
  49. BAUWENS, Luc & LAURENT, Sébastien, 2002. "A new class of multivariate skew densities, with application to GARCH models," LIDAM Discussion Papers CORE 2002020, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  50. Michel Beine & Sébastien Laurent & Christelle Lecourt, 2002. "Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates," ULB Institutional Repository 2013/10443, ULB -- Universite Libre de Bruxelles.
  51. Aurélie Boubel & Sébastien Laurent & Christelle Lecourt, 2001. "The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility [L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-," Post-Print hal-02878015, HAL.
  52. GIOT, Pierre & LAURENT, Sébastien, 2001. "Value-at-risk for long and short trading positions," LIDAM Discussion Papers CORE 2001022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  53. van Mierlo, J.G.A., 2001. "Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse," Research Memorandum 014, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  54. 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.
  55. Aurélie Boubel & Sébastien Laurent & Christelle Lecourt, 2000. "L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar," Documents de recherche 00-09, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  56. 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.
  57. Aurélie Boubel & Sébastien Laurent, 2000. "Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions," Documents de recherche 00-13, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  58. Michel Beine & Sébastien Laurent, 2000. "La persistance des chocs de volatilité sur le marché des changes s'est-elle modifiée depuis le début des années quatre-vingts ?," ULB Institutional Repository 2013/10453, ULB -- Universite Libre de Bruxelles.

Articles

  1. Blasques, F. & Francq, Christian & Laurent, Sébastien, 2024. "Autoregressive conditional betas," Journal of Econometrics, Elsevier, vol. 238(2).
  2. Blasques, F. & Francq, Christian & Laurent, Sébastien, 2023. "Quasi score-driven models," Journal of Econometrics, Elsevier, vol. 234(1), pages 251-275.
  3. Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
  4. Laurent, Sébastien & Shi, Shuping, 2022. "Unit Root Test With High-Frequency Data," Econometric Theory, Cambridge University Press, vol. 38(1), pages 113-171, February.
  5. Laurent, Sébastien & Shi, Shuping, 2020. "Volatility estimation and jump detection for drift–diffusion processes," Journal of Econometrics, Elsevier, vol. 217(2), pages 259-290.
  6. Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
  7. Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018. "Generating univariate fractional integration within a large VAR(1)," Journal of Econometrics, Elsevier, vol. 204(1), pages 54-65.
  8. Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Journal of Econometrics, Elsevier, vol. 196(2), pages 347-367.
  9. Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2017. "Risk Measure Inference," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 499-512, October.
  10. Hafner, Christian M. & Laurent, Sebastien & Violante, Francesco, 2017. "Weak Diffusion Limits Of Dynamic Conditional Correlation Models," Econometric Theory, Cambridge University Press, vol. 33(3), pages 691-716, June.
  11. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Annals of Economics and Statistics, GENES, issue 123-124, pages 135-174.
  12. Laurent, Sébastien & Lecourt, Christelle & Palm, Franz C., 2016. "Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 383-400.
  13. Hecq Alain & Palm Franz C. & Laurent Sébastien, 2016. "On the Univariate Representation of BEKK Models with Common Factors," Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
  14. Serge Darolles & Christian Gouriéroux & Sébastien Laurent, 2016. "Introduction," Annals of Economics and Statistics, GENES, issue 123-124, pages 7-8.
  15. Erdemlioglu, Deniz & Laurent, Sébastien & Neely, Christopher J., 2015. "Which continuous-time model is most appropriate for exchange rates?," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 256-268.
  16. Boudt, Kris & Daníelsson, Jón & Laurent, Sébastien, 2013. "Robust forecasting of dynamic conditional correlation GARCH models," International Journal of Forecasting, Elsevier, vol. 29(2), pages 244-257.
  17. Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013. "On loss functions and ranking forecasting performances of multivariate volatility models," Journal of Econometrics, Elsevier, vol. 173(1), pages 1-10.
  18. Lambert, Philippe & Laurent, Sébastien & Veredas, David, 2012. "Testing conditional asymmetry: A residual-based approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1229-1247.
  19. Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.
  20. Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012. "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 934-955, September.
  21. Alain Hecq & Sébastien Laurent & Franz C. Palm, 2011. "Common Intraday Periodicity," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 325-353, 2012 20 1.
  22. Boudt, Kris & Croux, Christophe & Laurent, Sébastien, 2011. "Robust estimation of intraweek periodicity in volatility and jump detection," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 353-367, March.
  23. Jérôme Lahaye & Sébastien Laurent & Christopher J. Neely, 2011. "Jumps, cojumps and macro announcements," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 893-921, September.
  24. Christophe Croux & Sébastien Laurent, 2011. "Outlyingness Weighted Covariation," Journal of Financial Econometrics, Oxford University Press, vol. 9(4), pages 657-684.
  25. Giot, Pierre & Laurent, Sébastien & Petitjean, Mikael, 2010. "Trading activity, realized volatility and jumps," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 168-175, January.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. Pierre Giot & Sébastien Laurent, 2007. "The information content of implied volatility in light of the jump/continuous decomposition of realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(4), pages 337-359, April.
  31. 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.
  32. 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.
  33. 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.
  34. Sébastien Laurent, 2004. "Analytical Derivates of the APARCH Model," Computational Economics, Springer;Society for Computational Economics, vol. 24(1), pages 51-57, August.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. Giot, Pierre & Laurent, Sebastien, 2003. "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, vol. 25(5), pages 435-457, September.
  40. Sébastien Laurent & Jean–Philippe Peters, 2002. "G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 447-484, July.
  41. 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.
  42. 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.
  43. Aurélie Boubel & Sébastien Laurent & Christelle Lecourt, 2001. "L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar," Revue économique, Presses de Sciences-Po, vol. 52(2), pages 353-370.
  44. B. Lipszyc & Sébastien Laurent, 2000. "L'absentéisme dans une institution hospitalière: les facteurs déterminants," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 166, pages 131-170.
  45. Michel Beine & Sébastien Laurent, 2000. "La persistance des chocs de volatilité sur le marché des changes s'est-elle modifée depuis le debut des annees 1980 ?," Revue Économique, Programme National Persée, vol. 51(3), pages 703-711.
  46. Frédéric Docquier & Sébastien Laurent & Sergio Perelman, 1999. "Capital humain, emploi et revenus du travail: Belgique, 1992," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 161, pages 77-103.
    RePEc:taf:apfiec:v:12:y:2002:i:8:p:589-600 is not listed on IDEAS

Chapters

  1. Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 229-264, Springer.
  2. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Econometric modeling of exchange rate volatility and jumps," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 16, pages 373-427, Edward Elgar Publishing.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 27 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (19) 2004-03-28 2009-11-14 2009-12-05 2010-05-29 2010-10-02 2011-02-26 2012-05-02 2013-08-31 2013-11-09 2014-03-08 2015-01-26 2015-06-13 2015-08-30 2018-02-19 2019-01-07 2019-01-07 2020-11-02 2022-06-27 2023-05-15. Author is listed
  2. NEP-ETS: Econometric Time Series (14) 2004-03-28 2009-12-05 2010-05-29 2010-10-02 2015-01-26 2015-06-13 2015-08-25 2015-08-30 2015-09-26 2018-02-19 2019-01-07 2019-01-07 2020-11-02 2022-06-27. Author is listed
  3. NEP-ORE: Operations Research (7) 2013-11-09 2015-01-26 2015-06-13 2015-09-26 2019-01-07 2019-01-07 2019-05-20. Author is listed
  4. NEP-RMG: Risk Management (7) 2007-09-16 2009-12-05 2013-11-09 2014-03-08 2019-01-07 2019-01-07 2019-05-20. Author is listed
  5. NEP-FOR: Forecasting (6) 2009-11-14 2009-12-05 2010-05-29 2010-10-02 2014-03-08 2015-08-30. Author is listed
  6. NEP-MST: Market Microstructure (5) 2007-09-16 2012-05-02 2013-08-31 2014-03-08 2015-08-30. Author is listed
  7. NEP-BEC: Business Economics (3) 2009-12-05 2019-05-20 2019-05-20
  8. NEP-MON: Monetary Economics (2) 2006-05-27 2013-08-31
  9. NEP-BAN: Banking (1) 2013-11-09
  10. NEP-CBA: Central Banking (1) 2006-05-27
  11. NEP-CMP: Computational Economics (1) 2004-04-18
  12. NEP-FMK: Financial Markets (1) 2006-05-27
  13. NEP-GER: German Papers (1) 2015-08-30
  14. NEP-IFN: International Finance (1) 2006-05-27
  15. NEP-MAC: Macroeconomics (1) 2008-10-21
  16. NEP-UPT: Utility Models and Prospect Theory (1) 2013-11-09

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