In this paper, in order to investigate if a long memory model will provide good forecasts even if the real DGP is affected by level shifts (as suggested by Diebold, F.X., Inoue, A., 2001. Long memory and regime switching Journal of Econometrics, 105, 131-159) we compare via simulations the...

In this paper, we consider the problem of robust estimation of the fractional parameter, d, in long memory autoregressive fractionally integrated moving average processes, when two types of outliers, i.e. additive and innovation, are taken into account without knowing their number, position or...

This paper introduces non-parametric estimators for upper and lower tail dependence whose confidence intervals are obtained with a bootstrap method. We call these estimators 'naive estimators' as they represent a discretization of Joe's formulae linking copulas to tail dependence. We apply the...

This article presents a 2-regime SETAR model with different long-memory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison to simple...

To detect chaos on observational data, we first need to know the embedding dimension. We propose a consistent approach to estimate this dimension using the theoretical work of Bosq and Guegan (1994) and we apply the results to real financial data.

Purpose – The aim of this paper is to show evidence and to quantify with forensic econometric methods the impact of the missing trader fraud (MTF) on European carbon allowances markets. This fraud occurred mainly between the end of 2008 and the beginning of 2009. In this paper, the financial...