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Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?
Aloy, Marcel; Boutahar, Mohamed; Gente, Karine; … - In: Economic modelling 28 (2011) 3, pp. 1279-1291
Persistent link: https://www.econbiz.de/10008893602
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A smooth transition long-memory model
Aloy, Marcel; Dufrénot, Gilles; Tong, Charles Lai; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 3, pp. 281-296
Persistent link: https://www.econbiz.de/10010118272
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Business cycles asymmetry and monetary policy: a further investigation using MRSTAR models
Dufrénot, Gilles; Mignon, Valérie; Péguin-Feissolle, Anne - In: Economic modelling 21 (2004) 1, pp. 37-72
Persistent link: https://www.econbiz.de/10006249897
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Modélisation de la volatilité de l'indice américain S&P 500 par un modèle LSTGARCH
Dufrénot, Gilles; Marimoutou, Vêlayoudom; … - In: Revue d'économie politique 114 (2004) 4, pp. 453-466
Persistent link: https://www.econbiz.de/10007958811
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Études pour la macroéconomie - Coi͏̈ntégration entre les taux de change et les fondamentaux - Changement de régime ou mémoire longue ?
Dufrénot, Gilles; Lardic, Sandrine; Mathieu, Laurent; … - In: Revue économique 55 (2004) 3, pp. 449-458
Persistent link: https://www.econbiz.de/10007961158
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Changing-regime volatility: a fractionally integrated SETAR model
Dufrénot, Gilles; Guégan, Dominique; … - In: Applied financial economics 18 (2008) 7-9, pp. 519-526
Persistent link: https://www.econbiz.de/10008070704
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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. 225-242
Persistent link: https://www.econbiz.de/10007988799
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Changing-regime volatility: a fractionally integrated SETAR model
Dufrénot, Gilles; Guégan, Dominique; … - In: Applied financial economics 18 (2008) 7, pp. 519-526
Persistent link: https://www.econbiz.de/10007994260
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Explaining the European exchange rates deviations: Long memory or non-linear adjustment?
Dufrénot, Gilles; Lardic, Sandrine; Mathieu, Laurent; … - In: Journal of international financial markets, … 18 (2008) 3, pp. 207-215
Persistent link: https://www.econbiz.de/10007995516
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Long-memory dynamics in a SETAR model #8211 applications to stock markets
Dufrénot, Gilles; Guégan, Dominique; … - In: Journal of international financial markets, … 15 (2005) 5, pp. 391-406
Persistent link: https://www.econbiz.de/10007097025