Narrow search
Showing 1 - 10 of 12
Cover Image
Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - 2008
Persistent link: https://www.econbiz.de/10003977900
Cover Image
Outlyingness weighted covariation
Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of financial econometrics : official journal of … 9 (2011) 4, pp. 657-684
Persistent link: https://www.econbiz.de/10009407333
Cover Image
A new class of multivariate skew densities, with application to generalized autoregressive conditionalheteroscedasticity models
Bauwens, Luc; Laurent, Sébastien - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 3, pp. 346-354
Persistent link: https://www.econbiz.de/10003013029
Cover Image
A new class of multivariate skew densities, with application to GARCH models
Bauwens, Luc; Laurent, Sébastien - 2002
Persistent link: https://www.econbiz.de/10001672395
Cover Image
We modeled long memory with just one lag!
Bauwens, Luc; Chevillon, Guillaume; Laurent, Sébastien - 2022
Persistent link: https://www.econbiz.de/10013179719
Cover Image
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
Cover Image
Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.; Laurent, Sébastien; Violante, … - 2016
Persistent link: https://www.econbiz.de/10011589493
Cover Image
Risk measure inference
Hurlin, Christophe; Laurent, Sébastien; Quaedvlieg, Rogier - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 499-512
Persistent link: https://www.econbiz.de/10011893687
Cover Image
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
Cover Image
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