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Journal of econometrics
ULB Institutional Repository
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ECONIS (ZBW)
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1
On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien
;
Rombouts, Jeroen V. K.
;
Violante, …
- In:
Journal of econometrics
173
(
2013
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10009719647
Saved in:
2
Volatility estimation and jump detection for drift-diffusion processes
Laurent, Sébastien
;
Shi, Shuping
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 259-290
Persistent link: https://www.econbiz.de/10012482762
Saved in:
3
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Boudt, Kris
;
Laurent, Sébastien
;
Lunde, Asger
; …
- In:
Journal of econometrics
196
(
2017
)
2
,
pp. 347-367
Persistent link: https://www.econbiz.de/10011818308
Saved in:
4
Generating univariate fractional integration within a large VAR(1)
Chevillon, Guillaume
;
Hecq, Alain W. J.
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 54-65
Persistent link: https://www.econbiz.de/10011974715
Saved in:
5
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
204
(
2018
)
2
,
pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
Saved in:
6
On loss functions and ranking forecasting performances of multivariate volatility models
Laurent, Sébastien
;
Rombouts, Jeroen V.K.
;
Violante, …
- In:
Journal of econometrics
173
(
2013
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10010069891
Saved in:
7
We modeled long memory with just one lag!
Bauwens, Luc
;
Chevillon, Guillaume
;
Laurent, Sébastien
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332326
Saved in:
8
Quasi score-driven models
Blasques, F.
;
Francq, Christian
;
Laurent, Sébastien
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
Saved in:
9
Common cyclical features analysis in VAR models with cointegration
Hecq, Alain W. J.
;
Palm, Franz C.
;
Urbain, Jean-Pierre
- In:
Journal of econometrics
132
(
2006
)
1
,
pp. 117-141
Persistent link: https://www.econbiz.de/10003320251
Saved in:
10
Studying co-movements in large multivariate data prior to multivariate modelling
Cubadda, Gianluca
;
Hecq, Alain W. J.
;
Palm, Franz C.
- In:
Journal of econometrics
148
(
2009
)
1
,
pp. 25-35
Persistent link: https://www.econbiz.de/10003813089
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