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Prévision bayésienne et structure par terme des taux d'intérêt

Bisière, Christophe - In: Revue économique : revue bimestrielle 41 (1990) 5, pp. 817-837

Persistent link: https://www.econbiz.de/10001095395

Estimating the long-memory parameter in nonstationary processes using wavelets

Boubaker, Heni; Péguin-Feissolle, Anne - In: Computational economics 42 (2013) 3, pp. 291-306

Persistent link: https://www.econbiz.de/10010189026

Robust tests for heteroscedasticity in a general framework

LeBreton, Marie-José; Péguin-Feissolle, Anne - In: Annales d'économie et de statistique 85 (2007), pp. 159-187

Persistent link: https://www.econbiz.de/10003690309

Tests of the constancy of conditional correlations of unknown functional form in multivariate GARCH models

Péguin-Feissolle, Anne; Sanhaji, Bilel - In: Annals of economics and statistics 123/124 (2016), pp. 77-101

Persistent link: https://www.econbiz.de/10011592735

Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form

Péguin-Feissolle, Anne - 2008

In this paper we propose a general method for testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. These tests are based on a Taylor expansion of the nonlinear model around a given point in the sample space. We study the performance of our tests...

Persistent link: https://www.econbiz.de/10012723989

Testing for misspecification in the short-run component of GARCH-type models

Chuffart, Thomas; Flachaire, Emmanuel; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-17

Persistent link: https://www.econbiz.de/10011965362

Least squares estimator for regression models with some deterministic time varying parameters

Boutahar, Mohamed - In: Metrika : international journal for theoretical and … 43 (1996) 1, pp. 57-67

Persistent link: https://www.econbiz.de/10001194792

Fractionally integrated time varying GARCH model

Nasr, Adnen Ben; Boutahar, Mohamed; Trabelsi, Abdelwahed - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 3, pp. 399-430

Persistent link: https://www.econbiz.de/10008649243

Identifying trend nature in time series using autocorrelation functions and stationarity tests

Boutahar, Mohamed; Royer-Carenzi, M. - In: International journal of computational economics and … 14 (2024) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10015062771