Concepedia

Sébastien Laurent

SL

Statistics

Publications

66

Citations

6.4K

H-Index

31

Active since

2000

Affiliations

UCLouvain(Current)

Centre National de la Recherche Scientifique

University of Namur

Maastricht University

Aix-Marseille Université

Sébastien Laurent is an author at UCLouvain specializing in finance, volatility modeling, and financial economics.

ORCID

Publications per year

2000–2023

65

Publications

66

Multivariate GARCH models: a survey

Sébastien Laurent, Luc Bauwens, Jeroen V.K. Rombouts · RePEc: Research Papers in Economics · 2.1K citations

, , +17

Modelling daily Value-at-Risk using realized volatility and ARCH type models

Pierre Giot, Sébastien Laurent · Journal of Empirical Finance · 2004 · 415 citations

, , +14

Value‐at‐risk for long and short trading positions

Pierre Giot, Sébastien Laurent · Journal of Applied Econometrics · 2003 · 377 citations

, , +15

Jumps, cojumps and macro announcements

Jérôme Lahaye, Sébastien Laurent, Christopher J. Neely · Journal of Applied Econometrics · 2010 · 298 citations

, , +17

A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models

Luc Bauwens, Sébastien Laurent · Journal of Business and Economic Statistics · 2005 · 297 citations

, , +16

1–5 of 66