Sébastien Laurent

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Risk Measure Inference Journal of Business and Economic Statistics	2024-10-09	Paper
Autoregressive conditional betas Journal of Econometrics	2024-02-13	Paper
We modeled long memory with just one lag! Journal of Econometrics	2023-08-18	Paper
Quasi score-driven models Journal of Econometrics	2023-04-14	Paper
Unit root test with high-frequency data Econometric Theory	2022-03-21	Paper
Volatility estimation and jump detection for drift-diffusion processes Journal of Econometrics	2020-06-18	Paper
Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach Computational Statistics and Data Analysis	2018-08-15	Paper
Asymptotics of Cholesky GARCH models and time-varying conditional betas Journal of Econometrics	2018-05-25	Paper
Generating univariate fractional integration within a large VAR(1) Journal of Econometrics	2018-04-18	Paper
On the univariate representation of BEKK models with common factors Journal of Time Series Econometrics	2018-02-07	Paper
Weak diffusion limits of dynamic conditional correlation models Econometric Theory	2017-08-22	Paper
On loss functions and ranking forecasting performances of multivariate volatility models Journal of Econometrics	2017-05-12	Paper
On loss functions and ranking forecasting performances of multivariate volatility models Journal of Econometrics	2017-05-12	Paper
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity Journal of Econometrics	2017-01-13	Paper
Testing conditional asymmetry: a residual-based approach Journal of Economic Dynamics and Control	2016-09-28	Paper
About professionalisation in the intelligence community: the French cryptologists (\textit{ca} 1870--\textit{ca} 1945) The New Codebreakers	2016-05-02	Paper
Handbook of Volatility Models and Their Applications	2012-04-19	Paper
Analytical derivates of the APARCH model Computational Economics	2005-03-15	Paper

Research outcomes over time

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