The aim of this paper is to identify which factors explain why some countries are more prone to enjoy long durations of stability, while others experience crises in shorter intervals. To this end, we analyze the duration of stability periods between currency, debt, and banking crises from 1980...

In this paper, we investigate the microeconomic effects of one major feature of the German Hartz Reforms (2003-2005), namely the reduction in compensation duration for older unemployed above 45 years of age. We look at two potential effects of this measure: on job take-up rates, but also on...

The forecasting literature has identified three important and broad issues: the predictive content is unstable over time, in-sample and out-of-sample discordant results and the problematic statistical inference with highly persistent predictors. In this paper, we simultaneously address these...

We study the testability implications of public versus private consumption. The distinguishing feature of our approach is that we start from a revealed preference characterization of collectively rational behavior. Remarkably, we find that assumptions regarding the public or private nature of...

The objective of this paper is to provide a complete framework to aggregate different quantile and expectile models for obtaining more diversified Value-at-Risk and Expected Shortfall measures, by applying the diversification principle to model risk. Following Taylor (2008) and Gouriéroux and...

Long memory processes have been extensively studied over the past decades. When dealing with the financial and economic data, seasonality and time-varying long-range dependence can often be observed and thus some kind of non-stationarity can exist inside financial data sets. To take into account...

This paper presents a theorical framework to model the evolution of a portfolio whose weights vary over time. Such a portfolio is called a dynamic portfolio. In a first step, considering a given investment policy, we define the set of the investable portfolios. Then, considering portfolio...

This paper contributes to the discussion of the compatibility of consumers' behavior in "real" life with GARP. Within expenditure panel data we observe a relatively low rate of violation (240 out of 3630 households). We show that these violations do not imply an "irrational" behavior of the...

In order to comply with their commitments under the Kyoto Protocol, France and Germany participate to the European Union Emission Trading Scheme (EU ETS) which concerns predominantly electricity generation sectors. In this paper we seek to know if the EU ETS gives appropriate economic incentives...

With the emergence of the chaos theory and the method of surrogates data, nonlinear approaches employed in analysing time series typically suffer from high computational complexity and lack of straightforward explanation. Therefore, the need for methods capable of characterizing time series in...