← All authors Sébastien Laurent Institut Universitaire de France (from arXiv:2511.21257, 2025) · ORCID · OpenAlex
59 papers in scope · 55 published · 4 on the econ.EM arXiv · 5,606 citations · h-index 26 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Alexandre Belloni C. Hansen Christian Hansen Victor Chernozhukov Daniel Chen Martin Spindler Denis Chetverikov Whitney K. Newey Iván Fernández-Val Kengo Kato Vasilis Syrgkanis Achim Ahrens Mark E. Schaffer Matias D. Cattaneo James M. Robins Thomas Wiemann Max H. Farrell Harold D. Chiang Philipp Bach Susan Athey Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (4 of 59)
working paper 2025 · arXiv
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis
published 2025 · Journal of Time Series Analysis
A Stepwise Cauchy Combination Test for Multiple Testing Problems with Financial Applications
published 2025 · Journal of Financial Econometrics
Realized drift
published 2024 · Journal of Econometrics · 6 citations · first circulated 2022
Interpretable Machine Learning Using Partial Linear Models*
published 2023 · Oxford Bulletin of Economics and Statistics · 6 citations
Autoregressive conditional betas
published 2023 · Journal of Econometrics · 8 citations
working paper 2023 · arXiv
We modeled long memory with just one lag!
published 2023 · Journal of Econometrics · 9 citations
working paper 2023 · arXiv
working paper 2022 · arXiv · 3 citations
Quasi score-driven models
published 2022 · Journal of Econometrics · 25 citations
UNIT ROOT TEST WITH HIGH-FREQUENCY DATA
published 2021 · Econometric Theory · 13 citations · first circulated 2019
Volatility estimation and jump detection for drift–diffusion processes
published 2020 · Journal of Econometrics · 33 citations · first circulated 2018
Does a yellow jacket enhance cyclists’ sensory conspicuity for car drivers during daylight hours in an urban environment?
published 2018 · Safety Science · 23 citations
with Joceline Rogé, Daniel Ndiaye, Isabelle Aillerie, Fabrice Vienne
Asymptotics of Cholesky GARCH models and time-varying conditional betas
published 2018 · Journal of Econometrics · 26 citations
Generating univariate fractional integration within a large VAR(1)
published 2018 · Journal of Econometrics · 12 citations
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
published 2016 · Journal of Econometrics · 32 citations · first circulated 2014
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS
published 2016 · Econometric Theory · 18 citations
with Christian Hafner, Francesco Violante
Introduction
published 2016 · Annals of Economics and Statistics
Do We Need High Frequency Data to Forecast Variances?
published 2016 · Annals of Economics and Statistics · 2 citations · first circulated 2014
Risk Measure Inference
published 2015 · Journal of Business and Economic Statistics · 15 citations · first circulated 2013
On the Univariate Representation of BEKK Models with Common Factors
published 2015 · Journal of Time Series Econometrics · 13 citations · first circulated 2012
Which continuous-time model is most appropriate for exchange rates?
published 2015 · Journal of Banking & Finance · 18 citations · first circulated 2013
Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach
published 2014 · Computational Statistics & Data Analysis · 67 citations
An Extended Network of Genomic Maintenance in the Archaeon Pyrococcus abyssi Highlights Unexpected Associations between Eucaryotic Homologs
published 2013 · PLoS ONE · 41 citations
with Pierre-François Pluchon, Thomas Fouqueau, Christophe Crézé, Julien Briffotaux, Gaëlle Hogrel, Adeline Palud, Ghislaine Henneke, Anne Godfroy, Winfried Hausner, Michael Thomm, Jacques Nicolas, Didier Flament, …
Robust forecasting of dynamic conditional correlation GARCH models
published 2012 · International Journal of Forecasting · 84 citations · first circulated 2010
On loss functions and ranking forecasting performances of multivariate volatility models
published 2012 · Journal of Econometrics · 143 citations · first circulated 2009
Do jumps mislead the FX market?
published 2012 · Quantitative Finance · 4 citations
with Jean-Yves Gnabo, Jérôme Lahaye, Christelle Lecourt
Testing conditional asymmetry: A residual-based approach
published 2012 · Journal of Economic Dynamics and Control · 4 citations · first circulated 2007
with Philippe Lambert, David Veredas
Common Intraday Periodicity
published 2011 · Journal of Financial Econometrics · 27 citations
Outlyingness Weighted Covariation
published 2011 · Journal of Financial Econometrics · 77 citations · first circulated 2008
Volatility forecasts evaluation and comparison
published 2011 · Wiley Interdisciplinary Reviews Computational Statistics · 22 citations
with Francesco Violante
On the forecasting accuracy of multivariate GARCH models
published 2011 · Journal of Applied Econometrics · 36 citations
Robust estimation of intraweek periodicity in volatility and jump detection
published 2010 · Journal of Empirical Finance · 194 citations · first circulated 2008
Jumps, cojumps and macro announcements
published 2010 · Journal of Applied Econometrics · 299 citations · first circulated 2007
Trading activity, realized volatility and jumps
published 2009 · Journal of Empirical Finance · 163 citations · first circulated 2007
with Pierre Giot, Mikaël Petitjean
Does transparency in central bank intervention policy bring noise to the FX market?
published 2007 · Journal of International Financial Markets Institutions and Money · 21 citations
with Jean-Yves Gnabo, Christelle Lecourt
Central bank FOREX interventions assessed using realized moments
published 2007 · Journal of International Financial Markets Institutions and Money · 40 citations · first circulated 2004
Central bank intervention and exchange rate volatility, its continuous and jump components
published 2007 · International Journal of Finance & Economics · 61 citations · first circulated 2006
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
published 2007 · Journal of Futures Markets · 105 citations
with Pierre Giot
Central bank intervention in the foreign exchange markets assessed using realized moments
published 2007 · Journal of International Financial Markets Institutions and Money
no link
The Impact of Central Bank FX Interventions on Currency Components
published 2006 · Journal of Financial Econometrics · 17 citations
with Michel Beine, Charles S. Bos
Estimation of temporally aggregated multivariate GARCH models
published 2006 · Journal of Statistical Computation and Simulation · 3 citations · first circulated 2002
Multivariate GARCH models: a survey
published 2006 · Journal of Applied Econometrics · 2079 citations · first circulated 2003
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models
published 2005 · Journal of Business and Economic Statistics · 298 citations
with Luc Bauwens
Bridging the gap between Ox and Gauss using OxGauss
published 2005 · Journal of Applied Econometrics · 4 citations · first circulated 2004
Analytical Derivates of the APARCH Model
published 2004 · Computational Economics · 51 citations
Modelling daily Value-at-Risk using realized volatility and ARCH type models
published 2004 · Journal of Empirical Finance · 415 citations · first circulated 2001
with Pierre Giot
Market risk in commodity markets: a VaR approach
published 2003 · Energy Economics · 266 citations
with Pierre Giot
Value‐at‐risk for long and short trading positions
published 2003 · Journal of Applied Econometrics · 378 citations · first circulated 2001
with Pierre Giot
Central bank interventions and jumps in double long memory models of daily exchange rates
published 2003 · Journal of Empirical Finance · 84 citations
with Michel Beine
Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis
published 2002 · European Economic Review · 106 citations
with Michel Beine, Christelle Lecourt
Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates
published 2002 · Applied Financial Economics · 72 citations
with Michel Beine, Christelle Lecourt
G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models
published 2002 · Journal of Economic Surveys · 161 citations
with Jean-Philippe Peters
Life-cycle behaviour of US households
published 2001 · Journal of Policy Modeling · 6 citations
with Michel Beine, Francis Bismans, Fredérić Docquier, Francis Bisman
L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar
published 2001 · Revue économique · 3 citations
with Aurélie Boubel, Christelle Lecourt
La persistance des chocs de volatilité sur le marché des changes s'est-elle modifiée depuis le début des années 1980?
published 2000 · Revue économique
with Michel Beine
Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions
published 2000 · Documents de recherche · 1 citations
with Aurélie Boubel
no link
Capital humain, emploi et revenus du travail: Belgique 1992
published 1999 · Brussels economic review · 12 citations
with Fredérić Docquier, Sergio Perelman
no link
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