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Purple City

Prof Sébastien Laurent

IAE Aix-en-Provence


Sébastien Laurent is Professor of Econometrics at IAE Aix-en-Provence and fellow at Aix Marseille School of Economics (AMSE, Greqam, France).

Sébastien is an econometrician and was previously an Associate Professor in Econometrics at the Department of Quantitative Economics, Maastricht University. His research interests are financial econometrics and computational econometrics. He is also a member of the OxMetrics development team and the main contributor of G@RCH, an OxMetrics module dedicated to the estimation and forecasting of time-series GARCH models and many of its extensions.

Learn with Sébastien Laurent


Prof Sébastien Laurent
Prof. Shuping Shi

The purpose of this course is to provide students with an introduction to various methods applicable to high-frequency financial data. This includes the study of the statistical properties of these series such as heteroskedasticity, periodicity, the presence of jumps and microstructure noise.

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