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Term premium and long-range dependence in volatility : A FIGARCH-M estimation on some Asian countries

Lardic, S.; Mignon, V. - Théorie Économique, Modélisation, Application … - 2002

Persistent link: https://www.econbiz.de/10005523761

Modeling long-range dependence in European time-varying term premia

Lardic, S.; Mignon, V. - Théorie Économique, Modélisation, Application … - 2002

Persistent link: https://www.econbiz.de/10005523794

Robert F. Engle etW.J. Granger : Prix Nobel d'économie 2003

Lardic, S.; Mignon, V. - Théorie Économique, Modélisation, Application … - 2003

Persistent link: https://www.econbiz.de/10005523838

The exact minimum likelihood estimation of ARFIMA processes and model selection criteria: A Monte Carlo study

Lardic, S.; Mignon, V. - Théorie Économique, Modélisation, Application … - 2003

Persistent link: https://www.econbiz.de/10005695683

Analyse intraquotidienne de l'impact des "news" sur le marché boursier français

Lardic, S.; Mignon, V. - Théorie Économique, Modélisation, Application … - 2002

Persistent link: https://www.econbiz.de/10005695723

Frequency-domain estimation of fractionally integrated processes: impact of short-term components on the bandwidth

Lardic, S.; Mignon, V.; Murtin, F. - Théorie Économique, Modélisation, Application … - 2003

Persistent link: https://www.econbiz.de/10005695727

Expliquer les déviations des taux de change européens: mémoire longue ou ajustement non linéaire ?

Dufrenot, G.; Lardic, S.; Mignon, V.; Péguin-Feissolle, A. - Théorie Économique, Modélisation, Application … - 2003

Persistent link: https://www.econbiz.de/10005695747

The exact maximum likelihood-based test for fractional cointegration: critical values, power and size

Dubois, E.; Lardic, S.; Mignon, V. - Théorie Économique, Modélisation, Application … - 2003

Persistent link: https://www.econbiz.de/10005341608

Fractional cointegration and term structure of interest rates

Lardic, S.; Mignon, V. - Théorie Économique, Modélisation, Application … - 2002

Persistent link: https://www.econbiz.de/10005328291

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

The standard macroeconomic view links the equilibrium level of foreign exchange rates to the state of the macroeconomic fundamentals. Any deviation from the equilibrium level is viewed as temporary since there are forces ensuring quickly mean-reverting dynamics. The aim of this article is to...

Persistent link: https://www.econbiz.de/10005403423