Our object is to study the adjustment process of five European exchange rates toward their fundamentals on the 1979-1999 period. We consider two approaches, namely nonlinear cointegration and fractional cointegration, in order to discriminate between nonlinear short memory and linear long memory...

The aim of this article is to study and quantify the transmission channels between the American and Mexican stock markets in the aftermath of the subprime crisis. To this end, we use a time-varying transition probability Markov-switching model, in which ?crisis? and ?non-crisis? periods are...

The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC stock markets in the aftermath of the 2007/2008 crisis be explained by the worsening financial environment in the US markets? To this end, we rely on a timevarying transition...

This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present a LR-based test that allows to discriminate between the standard fractional model and our model. We...

This paper uses the logistic smooth transition GARCH model to study the time-varying volatility of the USS?P 500 index. In the LSTGARCH specification, the parameters are function of some information variables that help capturing the conditional return volatility. Tests of standard GARCH models...

This paper provides empirical evidence that there is no absolute convergence between the GDP per capita of the developing countries since 1950. Relying upon recent econometric methodologies (nonstationary long-memory models, wavelet models and time-varying factor representation models), we show...