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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

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

Purchasing power parity and the long memory properties of real exchange rates : does one size fit all?

Aloy, Marcel; Boutahar, Mohamed; Gente, Karine; … - In: Economic modelling 28 (2011) 3, pp. 1279-1290

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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

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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

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