| Multivariate GARCH models: a survey L Bauwens, S Laurent, JVK Rombouts Journal of applied econometrics 21 (1), 79-109, 2006 | 3008 | 2006 |
| Modelling daily value-at-risk using realized volatility and ARCH type models P Giot, S Laurent Journal of empirical finance 11 (3), 379-398, 2004 | 638 | 2004 |
| Value‐at‐risk for long and short trading positions P Giot, S Laurent Journal of Applied Econometrics 18 (6), 641-663, 2003 | 577 | 2003 |
| A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models L Bauwens, S Laurent Journal of Business & Economic Statistics 23 (3), 346-354, 2005 | 467 | 2005 |
| Market risk in commodity markets: a VaR approach P Giot, S Laurent Energy Economics 25 (5), 435-457, 2003 | 410 | 2003 |
| Jumps, cojumps and macro announcements J Lahaye, S Laurent, CJ Neely Journal of Applied Econometrics 26 (6), 893-921, 2011 | 370 | 2011 |
| Modelling financial time series using GARCH-type models with a skewed student distribution for the innovations P Lambert, S Laurent | 350 | 2001 |
| Handbook of volatility models and their applications L Bauwens, CM Hafner, S Laurent John Wiley & Sons, 2012 | 282* | 2012 |
| On the forecasting accuracy of multivariate GARCH models S Laurent, JVK Rombouts, F Violante Journal of Applied Econometrics 27 (6), 934-955, 2012 | 275 | 2012 |
| Trading activity, realized volatility and jumps P Giot, S Laurent, M Petitjean Journal of Empirical Finance 17 (1), 168-175, 2010 | 242 | 2010 |
| Robust estimation of intraweek periodicity in volatility and jump detection K Boudt, C Croux, S Laurent Journal of Empirical Finance 18 (2), 353-367, 2011 | 232 | 2011 |
| Estimating and forecasting ARCH models using G@ RCH 4.2 S Laurent, JP Peters Timberlake Consultants, 2006 | 202* | 2006 |
| G@ RCH 2.2: an Ox package for estimating and forecasting various ARCH models S Laurent, JP Peters Journal of Economic surveys 16 (3), 447-484, 2002 | 200 | 2002 |
| On loss functions and ranking forecasting performances of multivariate volatility models S Laurent, JVK Rombouts, F Violante Journal of Econometrics 173 (1), 1-10, 2013 | 170 | 2013 |
| Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates M Beine, S Laurent, C Lecourt Applied Financial Economics 12 (8), 589-600, 2002 | 148 | 2002 |
| Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis M Beine, S Laurent, C Lecourt European Economic Review 47 (5), 891-911, 2003 | 139 | 2003 |
| Robust forecasting of dynamic conditional correlation GARCH models K Boudt, J Danielsson, S Laurent International Journal of Forecasting 29 (2), 244-257, 2013 | 125 | 2013 |
| The information content of implied volatility in light of the jump/continuous decomposition of realized volatility P Giot, S Laurent Journal of Futures Markets: Futures, Options, and Other Derivative Products …, 2007 | 121 | 2007 |
| Central bank intervention and exchange rate volatility, its continuous and jump components M Beine, J Lahaye, S Laurent, CJ Neely, FC Palm International journal of finance & economics 12 (2), 201-223, 2007 | 115 | 2007 |
| Central bank interventions and jumps in double long memory models of daily exchange rates M Beine, S Laurent Journal of Empirical Finance 10 (5), 641-660, 2003 | 113 | 2003 |
