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Modeling the volatility of the US SαP 500 index using an LSTGARCH model

Dufrénot, Gilles; Marimoutou, Vêlayoudom; … - In: Revue d'économie politique 114 (2004) 4, pp. 453-465

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...

Persistent link: https://www.econbiz.de/10008680110

Econométrie - Modélisation et inférence

Florens, Jean-Pierre; Marimoutou, Vêlayoudom; … - Département Sciences Sociales, Agriculture et … - 2004

Persistent link: https://www.econbiz.de/10011149157

Identification of Treatment Effects Using Control Functions in Models with Continuous, Endogenous Treatment and Heterogeneous Effects

Meghir, Costas; Vytlacil, Edward; Florens, Jean-Pierre; … - National Bureau of Economic Research (NBER) - 2008

We use the control function approach to identify the average treatment effect and the effect of treatment on the treated in models with a continuous endogenous regressor whose impact is heterogeneous. We assume a stochastic polynomial restriction on the form of the heterogeneity but, unlike...

Persistent link: https://www.econbiz.de/10005049810

Panel data analysis of household brand choices

Chintagunta, Pradeep; Kyriazidou, Ekaterini; Perktold, Josef - In: Journal of Econometrics 103 (2001) 1-2, pp. 111-153

Persistent link: https://www.econbiz.de/10005228851

Market Institutions and Quality Enforcement

Kerschbamer, Rudolf; Niederle, Muriel; Perktold, Josef - Econometric Society - 2000

A competitive market for an experience good is considered where high quality is enforced by repeated game trigger strategies. The goods are demanded by long run (LR) and short run (SR) customers, the former buying repeatedly, the latter only once. SR buyers can free ride on quality enforcement...

Persistent link: https://www.econbiz.de/10005231090

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

On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree

Charlot, Philippe; Marimoutou, Vêlayoudom - In: Energy Economics 44 (2014) C, pp. 456-467

This study examines the volatility and correlation and their relationships among the euro/US dollar exchange rates, the S&P500 equity indices, and the prices of WTI crude oil and the precious metals (gold, silver, and platinum) over the period 2005 to 2012. Our model links the univariate...

Persistent link: https://www.econbiz.de/10011100124

Is there a structural break in equilibrium velocity in the euro area?

Bordes, Christian; Clerc, Laurent; Marimoutou, Vêlayoudom - HAL - 2007

We investigate the stability of M3 income velocity in the euro area. We apply a set of breakpoint procedures to examine this issue and conclude that at least one structural change occurred around 2000-2001. We also ...nd evidence of another structural break around 1992-1993. These two breaks...

Persistent link: https://www.econbiz.de/10010738650

On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree

Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2014

Persistent link: https://www.econbiz.de/10010899642

Une Europe monétaire à plusieurs vitesses ? La demande de monnaie dans les grands pays de la zone euro (1979-1999)

Marimoutou, Vêlayoudom; Chevrou-Séverac, Hélène; … - In: Économie et Prévision 147 (2001) 1, pp. 51-71

[fre] L'article porte sur la demande de monnaie -mesurée au moyen d'agrégats larges -dans les quatre grands pays de la zone euro (Allemagne, Espagne, France et Italie) sur la période 1979-1999. Il cherche à répondre, en priorité, aux deux questions suivantes. 1/ Peut-on mettre en...

Persistent link: https://www.econbiz.de/10010977725