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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

Fiscal policy and growth : an application to Sub Saharan economies

Aloy, Marcel; Nancy, Gilles - In: Proceedings / 95th Annual Conference on Taxation : …, (pp. 300-307). 2003

Persistent link: https://www.econbiz.de/10002160942

Optimal estimation strategies for bivariate fractional cointegration systems and the co-persistence analysis of stock market realized volatilities

Aloy, Marcel; Truchis, Gilles de - In: Computational economics 48 (2016) 1, pp. 83-104

Persistent link: https://www.econbiz.de/10011646595

Modeling time-varying conditional betas : a comparison of methods with application for REITs

Aloy, Marcel; Laly, Floris; Laurent, Sébastien; … - In: Recent econometric techniques for macroeconomic and …, (pp. 229-264). 2021

Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter proposes a review of different time series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed...

Persistent link: https://www.econbiz.de/10012395467