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Quantile and Copula spectrum : a new approach to investigate cyclical dependence in economic time series

Dufrénot, Gilles; Matsuki, Takashi; Sugimoto, Kimiko - In: Recent econometric techniques for macroeconomic and …, (pp. 3-34). 2021

This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard...

Persistent link: https://www.econbiz.de/10012395263

Stochastic nonlinearities in high frequency exchange rates : evidence from the US dollar - French franc, the US dollar - Deutsche Mark, and the Deutsche Mark - French franc

Drunat, Jérôme - In: Rivista internazionale di scienze economiche e … 43 (1996) 4, pp. 897-926

Persistent link: https://www.econbiz.de/10001213075

Persistence in the CEEC's exchange rate misalignments : an empirical analysis based on FI-STARMA models

Dufrénot, Gilles; Grimaud, Elisabeth; Latil, Eugénie; … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002436004

Modeling the French consumption functions using SETAR models

Dufrénot, Gilles (contributor); … - In: Economics bulletin : EB (2004)

Persistent link: https://www.econbiz.de/10003072890

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

Testing catching-up between the developing countries : "growth resistance" and sometimes "growth tragedy"

Dufrénot, Gilles; Mignon, Valérie; Naccache, Théo - In: Bulletin of economic research 64 (2012) 4, pp. 470-508

Persistent link: https://www.econbiz.de/10009722630

Testing real convergence in the ECOWAS countries in presence of heterogeneous long-run growths : a panel data study

Dufrénot, Gilles (contributor); Sanon, Gilles (contributor) - 2005

Persistent link: https://www.econbiz.de/10003313217

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/10003739214

The effect of ENSO shocks on commodity prices : a multi-time scale approach

Dufrénot, Gilles; Ginn, William; Pourroy, Marc - 2021

Persistent link: https://www.econbiz.de/10012548152

Unconventional monetary policy reaction functions : evidence from the US

Agnello, Luca; Castro, Vítor; Dufrénot, Gilles; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012299601

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