Overview
Sébastien Laurent is an econometrician whose research focuses on volatility modeling, GARCH processes, and high-frequency financial data. He is co-author (with Luc Bauwens and Jeroen Rombouts) of the survey "Multivariate GARCH Models: A Survey" (Journal of Applied Econometrics 21(1): 79–109, 2006), which is the canonical reference for the multivariate GARCH literature of the mid-2000s.
Key Contributions / Features
- Bauwens, Laurent, and Rombouts (2006) — "Multivariate GARCH Models: A Survey": three-family taxonomy of MGARCH models (direct generalizations: VEC, BEKK, Factor GARCH; linear combinations: O-GARCH, GO-GARCH; nonlinear combinations: CCC, DCC-T, DCC-E, GDC, Copula-GARCH); parameter counts, invariance properties, QML theory, two-step DCC estimation, variance targeting, diagnostic framework, and ten open questions. Published in Journal of Applied Econometrics 21(1): 79–109.
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