Sébastien Laurent

Available identifiers

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

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