Prof. Sébastien Laurent

Sébastien Laurent is co-course director of our PG Courses in Applied Econometrics and Data Science & Econometrics. He is Professor of Econometrics at IAE Aix-en-Provence, Aix-Marseille University, and a member of the Aix-Marseille School of Economics. He holds an MSc and a PhD in Financial Econometrics from Maastricht University, and is a senior member of the Institut Universitaire de France. His research spans financial, time series and computational econometrics, with sustained work on multivariate GARCH modelling, volatility forecast evaluation, jump detection, realised measures from high-frequency data, time-varying conditional betas and, more recently, interpretable machine learning.

• ●Econometrics of High-Frequency Data
• ●Machine Learning
• ●Programming in Python

• Co-editor, Wiley Handbook of Volatility Models and Their Applications.
• Developer of G@RCH, XlModeler, XlQuant and MulCom.
• Published in the Journal of Econometrics, Econometric Theory, the Journal of Applied Econometrics, the Journal of Business and Economic Statistics and the Journal of Financial Econometrics.