D-Index & Metrics Best Publications

D-Index & Metrics

Discipline name D-index D-index (Discipline H-index) only includes papers and citation values for an examined discipline in contrast to General H-index which accounts for publications across all disciplines. Citations Publications World Ranking National Ranking
Economics and Finance D-index 33 Citations 10,899 64 World Ranking 1633 National Ranking 37

Overview

What is he best known for?

The fields of study he is best known for:

  • Statistics
  • Quantum mechanics
  • Normal distribution

His scientific interests lie mostly in Econometrics, Value at risk, Arch, Stock market index and Statistics. His work in the fields of Econometrics, such as Multivariate garch, Realized variance and Volatility, intersects with other areas such as Multivariate t-distribution. His study in Realized variance is interdisciplinary in nature, drawing from both Exchange rate and Vector autoregression.

His Volatility study incorporates themes from Financial engineering, Univariate and Equity. In the field of Value at risk, his study on RiskMetrics overlaps with subjects such as Commodity. Arch is intertwined with Parametric model, Event, Risk measure, Term and Multiple in his research.

His most cited work include:

  • Multivariate GARCH models: a survey (1367 citations)
  • Modelling daily value-at-risk using realized volatility and arch type models (293 citations)
  • Modelling daily value-at-risk using realized volatility and arch type models (293 citations)

What are the main themes of his work throughout his whole career to date?

His primary areas of study are Econometrics, Volatility, Exchange rate, Autoregressive conditional heteroskedasticity and Statistics. In his study, which falls under the umbrella issue of Econometrics, Skewness is strongly linked to Multivariate statistics. His studies in Volatility integrate themes in fields like Jump and Central bank.

His Exchange rate study is concerned with Monetary economics in general. His Statistics study which covers Asymmetry that intersects with Residual and Nonparametric statistics. He integrates many fields in his works, including Value at risk, Stock market index and Risk measure.

He most often published in these fields:

  • Econometrics (87.37%)
  • Volatility (72.63%)
  • Exchange rate (33.68%)

What were the highlights of his more recent work (between 2014-2021)?

  • Econometrics (87.37%)
  • Monte Carlo method (12.63%)
  • Applied mathematics (5.79%)

In recent papers he was focusing on the following fields of study:

His primary areas of investigation include Econometrics, Monte Carlo method, Applied mathematics, Estimator and Autoregressive model. His work deals with themes such as Jump and Statistics, which intersect with Econometrics. His work carried out in the field of Monte Carlo method brings together such families of science as Stochastic differential equation, Sample, Mathematical optimization and Collinearity.

His research investigates the link between Stochastic differential equation and topics such as Sample size determination that cross with problems in Degeneracy and Statistical physics. His work in Estimator tackles topics such as Cholesky decomposition which are related to areas like Covariance matrix, Positive-definite matrix, Estimation of covariance matrices and Covariance. His Diffusion process research is multidisciplinary, incorporating perspectives in Realized variance and Stock price index.

Between 2014 and 2021, his most popular works were:

  • Critical velocity and dissipation of an ultracold Bose-Fermi counterflow (70 citations)
  • Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach (33 citations)
  • Universal Loss Dynamics in a Unitary Bose Gas (27 citations)

In his most recent research, the most cited papers focused on:

  • Statistics
  • Quantum mechanics
  • Normal distribution

Sébastien Laurent mostly deals with Estimator, Applied mathematics, Cholesky decomposition, Monte Carlo method and Autoregressive conditional heteroskedasticity. The Applied mathematics study combines topics in areas such as Positive-definite matrix, Matrix, Covariance matrix, Estimation of covariance matrices and Sample. The study incorporates disciplines such as Stochastic differential equation, Degeneracy, Diffusion and Collinearity in addition to Monte Carlo method.

His Autoregressive conditional heteroskedasticity study is concerned with the field of Econometrics as a whole. His work in the fields of Econometrics, such as Volatility and Realized variance, overlaps with other areas such as Logarithm and Sampling bias. Sébastien Laurent works mostly in the field of Conditional variance, limiting it down to concerns involving Heteroscedasticity and, occasionally, Jump.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

Multivariate GARCH models: a survey

Luc Bauwens;Sébastien Laurent;Jeroen V. K. Rombouts.
Journal of Applied Econometrics (2006)

2469 Citations

Modelling daily value-at-risk using realized volatility and arch type models

Pierre Giot;Pierre Giot;Sébastien Laurent;Sébastien Laurent.
Journal of Empirical Finance (2001)

565 Citations

Value-at-risk for long and short trading positions

Pierre Giot;Pierre Giot;Sébastien Laurent;Sébastien Laurent;Sébastien Laurent.
Journal of Applied Econometrics (2003)

512 Citations

A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models

Luc Bauwens;Sébastien Laurent.
Journal of Business & Economic Statistics (2005)

393 Citations

Market risk in commodity markets: a VaR approach

Pierre Giot;Sébastien Laurent.
Energy Economics (2003)

358 Citations

Modelling financial time series using GARCH-type models with a skewed student distribution for the innovations

Philippe Lambert;Sébastien Laurent.
(2001)

314 Citations

Optically driven spin memory in n-doped InAs-GaAs quantum dots.

Cortez S;Krebs O;Laurent S;Senes M.
Physical Review Letters (2002)

310 Citations

Jumps, cojumps and macro announcements

Jerome Lahaye;Sebastien Laurent;Christopher J. Neely.
Journal of Applied Econometrics (2007)

296 Citations

A mixture of Bose and Fermi superfluids

I. Ferrier-Barbut;M. Delehaye;S. Laurent;A. T. Grier.
Science (2014)

233 Citations

On the Forecasting Accuracy of Multivariate GARCH Models

Sébastien Laurent;Sébastien Laurent;Jeroen V. K. Rombouts;Jeroen V. K. Rombouts;Francesco Violante;Francesco Violante.
Journal of Applied Econometrics (2012)

198 Citations

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