Loading...

← Back to Leaderboard

Sébastien Laurent

Global rank #4566 94%

Institution: Aix-Marseille Université

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: http://www.slaurent.net

First Publication: 2002

Most Recent: 2024

RePEc ID: pla169 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 2.01 1.51 0.00 5.53
Last 10 Years 0.00 5.26 2.18 0.00 12.70
All Time 0.00 6.94 7.88 0.00 22.25

Publication Statistics

Raw Publications 22
Coauthorship-Adjusted Count 15.89

Publications (22)

Year Article Journal Tier Authors
2024 Autoregressive conditional betas Journal of Econometrics A 3
2024 Interpretable Machine Learning Using Partial Linear Models Oxford Bulletin of Economics and Statistics B 4
2023 We modeled long memory with just one lag! Journal of Econometrics A 3
2023 Quasi score-driven models Journal of Econometrics A 3
2022 UNIT ROOT TEST WITH HIGH-FREQUENCY DATA Econometric Theory B 2
2020 Volatility estimation and jump detection for drift–diffusion processes Journal of Econometrics A 2
2018 Generating univariate fractional integration within a large VAR(1) Journal of Econometrics A 3
2018 Asymptotics of Cholesky GARCH models and time-varying conditional betas Journal of Econometrics A 3
2017 Positive semidefinite integrated covariance estimation, factorizations and asynchronicity Journal of Econometrics A 5
2017 Risk Measure Inference Journal of Business & Economic Statistics A 4
2017 WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS Econometric Theory B 3
2015 Which continuous-time model is most appropriate for exchange rates? Journal of Banking & Finance B 3
2013 Robust forecasting of dynamic conditional correlation GARCH models International Journal of Forecasting B 3
2013 On loss functions and ranking forecasting performances of multivariate volatility models Journal of Econometrics A 3
2012 Testing conditional asymmetry: A residual-based approach Journal of Economic Dynamics and Control B 3
2012 On the forecasting accuracy of multivariate GARCH models Journal of Applied Econometrics B 3
2011 Jumps, cojumps and macro announcements Journal of Applied Econometrics B 3
2006 Multivariate GARCH models: a survey Journal of Applied Econometrics B 3
2005 Bridging the gap between Ox and Gauss using OxGauss Journal of Applied Econometrics B 2
2003 Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis European Economic Review B 3
2003 Market risk in commodity markets: a VaR approach Energy Economics A 2
2002 G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models Journal of Economic Surveys C 2