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Long-run relationships between international stock prices : further evidence from fractional cointegration tests

Aloy, Marcel; Boutahar, Mohamed; Gente, Karine; … - In: Applied economics 45 (2013) 7/9, pp. 817-828

Persistent link: https://www.econbiz.de/10009718502

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

Persistent link: https://www.econbiz.de/10009272177

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

A fractionally integrated exponential STAR model applied to the US real effective exchange rate

Boutahar, Mohamed; Mootamri, Imène; Péguin-Feissolle, Anne - In: Economic Modelling 26 (2009) 2, pp. 335-341

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing non-linearity and long-memory features. In this context, we use the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk et al. (van Dijk, D., Franses, P.H., and Paap, R.,...

Persistent link: https://www.econbiz.de/10005205705