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Long-run relationships between international stock prices : further evidence from fractional cointegration tests

Aloy, Marcel; Boutahar, Mohamed; Gente, Karine; … - In: Applied economics 45 (2013) 7/9, pp. 817-828

Persistent link: https://www.econbiz.de/10009718502

A fractionally integrated exponential STAR model applied to the US real effective exchange rate

Boutahar, Mohamed; Mootamri, Imène; Péguin-Feissolle, Anne - In: Economic modelling 26 (2009) 2, pp. 335-341

Persistent link: https://www.econbiz.de/10003839711

A simple fractionally integrated model with a time-varying long memory parameter d t

Boutahar, Mohamed; Dufrénot, Gilles; … - In: Computational economics 31 (2008) 3, pp. 225-241

Persistent link: https://www.econbiz.de/10003691880

A smooth transition long-memory model

Aloy, Marcel; Dufrénot, Gilles; Lai-Tong, Charles; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 3, pp. 281-296

Persistent link: https://www.econbiz.de/10009740335

Is financial repression a solution to reduce fiscal vulnerability? : the example of France since the end of World War II

Aloy, Marcel; Dufrénot, Gilles; Péguin-Feissolle, Anne - In: Applied economics 46 (2014) 4/6, pp. 629-637

Persistent link: https://www.econbiz.de/10010358751

Fractional integration and cointegration in stock prices and exchange rates

Aloy, Marcel; Boutahar, Mohamed; Gente, Karine; … - In: Economics Bulletin 30 (2010) 1, pp. 115-129

This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean...

Persistent link: https://www.econbiz.de/10008546796