Sébastien Laurent

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This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model specifications, the inference methods, and identifies likely directions of future research. The authors would like to thank Christian Hafner and Roy van der Weide for useful comments. They are especially grateful to three referees and the editor (T.(More)
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 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(More)
In this paper, we investigate the effect of central bank interventions on the weekly returns and volatility of the DEM/USD and YEN/USD exchange rate returns. In contrast with previous analyzes, we allow for regime-dependent specifications and investigate whether official interventions can explain the observed volatility regime switches. It is found that,(More)
Reproduction partielle permise avec citation du document source, incluant la notice ©. Short sections may be quoted without explicit permission, if full credit, including © notice, is given to the source. CIRANO Le CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Le financement de son infrastructure et de ses(More)
We show how the ARMA-Power GARCH model for the conditional mean and variance can be adapted to analyze times series data showing asymmetry. Dynamics is introduced in the location and the dispersion parameters of skewed location-scale distributions using the same type of structure found in the conditional mean and in the conditional variance in the(More)
Please send questions and/or remarks of non-scientific nature to driessen@tinbergen.nl. Abstract This paper is the first attempt to assess the impact of official FOREX interventions of the three major central banks in terms of the dynamics of the currency components of the major exchange rates (EUR/USD and YEN/USD) over the period 1989-2003. We identify the(More)
Fertilization of sea urchin eggs involves an increase in protein synthesis associated with a decrease in the amount of the translation initiation inhibitor 4E-BP. A highly simple reaction model for the regulation of protein synthesis was built and was used to simulate the physiological changes in the total 4E-BP amount observed during time after(More)