Sébastien Laurent

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A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out-of-sample conditional variance matrices. We investigate how sensitive the ranking is to alternative statistical loss functions(More)
We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics of these discontinuities and informally relate them to U.S. macroeconomic releases before using limited dependent variable models to formally model how news surprises explain(More)
We propose a practical and flexible method to introduce skewness in multivariate symmetric distributions. Applying this procedure to the multivariate Student density leads to a “multivariate skew-Student” density, in which each marginal has a specific asymmetry coefficient. Combined with a multivariate GARCH model, this new family of distributions is found(More)
A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability. The ranking of multivariate volatility models is inherently problematic because it requires the use of a proxy for the(More)
Pyrococcus abyssi NucS is the founding member of a new family of structure-specific DNA endonucleases that interact with the replication clamp proliferating cell nuclear antigen (PCNA). Using a combination of small angle x-ray scattering and surface plasmon resonance analyses, we demonstrate the formation of a stable complex in solution, in which one(More)
In April 2007, two newborn springboks (Antidorcas marsupialis) from a zoo of southern France were found dead. Necropsy was performed on the two animals and revealed arthrogryposis, mild facial structural abnormalities, and bilateral enlargement of the kidneys with concurrent hydronephrosis in both newborns. Histopathologically, extensive cytoplasmic(More)
A glycine-rich motif described as being involved in human polymerase delta proliferating cell nuclear antigen (PCNA) binding has also been identified in all euryarchaeal DNA polymerase D (Pol D) family members. We redefined the motif as the (G)-PYF box. In the present study, Pol D (G)-PYF box motif mutants from Pyrococcus abyssi were generated to(More)