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Un test d'hétéroscédasticité conditionnelle inspiré de la modélisation en termes de réseaux neuronaux artificiels

Caulet, Renaud; Péguin-Feissolle, Anne - In: Annales d'économie et de statistique (2000), pp. 177-197

Persistent link: https://www.econbiz.de/10001536355

A comparison of the power of some tests for conditional heteroscedasticity

Péguin-Feissolle, Anne - In: Economics letters 63 (1999) 1, pp. 5-17

Persistent link: https://www.econbiz.de/10001398780

Protection tarifaire, brevets, et diffusion internationale de la connaissance : croissance et dynamique de court terme aux Etats-Unis de 1889 à 1985

Péguin-Feissolle, Anne - In: Revue économique : revue bimestrielle 44 (1993) 2, pp. 369-388

Persistent link: https://www.econbiz.de/10001331058

Bayesian estimation and forecasting in non-linear models : application to an LSTAR model

Péguin-Feissolle, Anne - In: Economics letters 46 (1994) 3, pp. 187-194

Persistent link: https://www.econbiz.de/10001172375

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

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

SEMIFARMA-HYGARCH modeling of Dow Jones return persistence

Chikhi, Mohamed; Péguin-Feissolle, Anne; Terraza, Michel - In: Computational economics 41 (2013) 2, pp. 249-265

Persistent link: https://www.econbiz.de/10009710572

Testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form

Péguin-Feissolle, Anne (contributor); … - 2007 - Rev. January 18, 2012

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 a sample space. We study the performance of our tests by...

Persistent link: https://www.econbiz.de/10003534364

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

A simple fractionally integrated model with a time-varying long memory parameter d t

Boutahar, Mohamed; Dufrénot, Gilles; … - In: Computational economics 31 (2008) 3, pp. 225-241

Persistent link: https://www.econbiz.de/10003691880