Sébastien Laurent (Air-Marseille University)

Sébastien Laurent is a Professor at the IAE and also a member of 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.

Training & Consultancy

Sébastien Laurent currently co-delivers our annual Econometrics Summer School at the University of Oxford, delivering the two-day course: Modelling Volatility. In addition, he and the OxMetrics developers also recently launched a series of OxMetrics webcasts to highlight key new features and concepts of OxMetrics 7.

Feedback and Testimonials

Delegate feedback from the 2013 Econometrics Summer School at the University of Oxford:

    "The exceptional ability of the facilitator to involve the entire class in insightful discussions."
    "Both theory and OxMetrics applications were useful. Sébastien did a great job, clear, well-paced."
    "First of all, I must say that I wasn very knowledgeable on the subject so I liked how the lecturer managed to provide a very large overview of the subject in only two days. In this very short period he managed to develop the main aspects of the domain, both general and also rather technical at times. So, in a sense I think the course is useful for people unfamiliar with the topic but also for people who are more advanced. The lecturer also managed to find a fairly good balance between theory and practise."
    "Practical methods were discussed with clear detail. Univariate model content progressed chronologically and complexity in a manner that demonstrated clearly just how the models have evolved since inception. Multivariate models were also developed based on chronological progression while demonstrating the reason for extensions to primitive models."
    "Sébastien is an EXCELLENT lecturer. I really enjoyed the course."
    "Prof. Laurent was very effective."
    "Everything was positive. It was a wonderful experience. I am more than pleased."
    "The lecturer explained the empirical part of GARCH models very well."
    "This course made it evident that models that are appropriate with respect to the existing body of knowledge are easily implemented in the OxMetrics environment. "
    "The course is well arranged. "
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