This paper reinvestigates the presence and the causes of the underwriting cycle in the French property-liability insurance industry as displayed by the combined ratio for the 1963-2008 period. The question is still a timely issue if we refer to regulation issues and the recent proposals in the...

This paper examines the presence of a contagion effect between Chinese and G20 stock markets as well as its intensity over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula approach. The obtained results show strong evidence of...

This paper shows the usefulness and relevance of the multivariate fractional cointegration in exploring the dynamic

In this article, we propose two new semiparametric estimators in the wavelet domain in order to estimate the parameter of nonstationary long memory models. Compared to the Fourier transform, the advantage of the wavelet approach to analyze the behavior of nonstationary time series is that it can...

We propose a new long-memory model with a time-varying fractional integration parameter, evolving non-linearly according to a Logistic Smooth Transition Autoregressive (LSTAR) specification. To estimate the time-varying fractional integration parameter, we implement a method based on the wavelet...