Discussion Papers - Sébastien Laurent

Works submitted for publication

  1. Realized Drift (with Roberto Renò and Shuping Shi). Online Appendix.

  2. We modeled long memory with just one lag! (with Luc Bauwens and Guillaume Chevillon).

  3. Autoregressive conditional betas (with Francisco Blasques and Christian Francq).

  4. GAM(L)A: An econometric model for interpretable Machine Learning (with Emmanuel Flachaire, Gilles Hacheme and Sullivan Hué).

Unpublished working papers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).