Discussion Papers - Sébastien Laurent
 
 

Works submitted for publication

  1. Testing for Jumps in Near Non-Stationary Diffusion Processes (with Shuping Shi). October 2017 Version.

  2. Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas (with Serge Darolles and Christian Francq). October 2017 Version.

  3. Generating Univariate Fractional Integration within a Large VAR(1) (with Alain Hecq and Guillaume Chevillon). October 2017 Version. Previous title: Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.

Unpublished working papers

  1. Modelling Skewness Dynamics in Series of financial data using skewed location-scale distributions (with Philippe Lambert).

  2. Modelling financial time series using GARCH-type models and a skewed Student density (with Philippe Lambert).