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The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets.

Jondeau, E.; Rockinger, M. - Banque de France - 1999

In the following paper the authors start with a review of theoretical elements of extreme value theory (evt). In the empirical section of this study they consider five mature markets, nine Asian, six Eastern European, and seven Latin American emerging markets. The tail-behavior of returns is...

Persistent link: https://www.econbiz.de/10005036215

Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence.

Jondeau, E.; Rockinger, M. - Banque de France - 2000

Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional...

Persistent link: https://www.econbiz.de/10005487056

Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part I.

Lacroix, R. - Banque de France - 1999

Non parametric and parametric estimation for the spectral density of a stationary process is a well-known topic, except when the spectrum vanishes for some frequency. Indeed, for this frequency, the limit law degenerates, and traditional inference no longer applies. The paper introduces non...

Persistent link: https://www.econbiz.de/10005646649

Testing the Null Hypothesis of Stationarity in Fractionally Integrated Models.

Lacroix, R. - Banque de France - 1999

In this paper, we show how to estimate consistently the degree of fractional integration at a given frequency K, for both stationary and non stationary long-memory process. The statistics used are the periodigram for values Kn which converge to K with an appropriate rate. We also introduce tests...

Persistent link: https://www.econbiz.de/10005646652

Testing for Zeros in the Spectrum of an Univariate Stationary Process: Part II.

Lacroix, R. - Banque de France - 1999

It is well-known that traditional inference do not apply when the spectral density of a stationary process vanishes for some frequency. This paper examines some properties of several new non parametric tests of this hypothesis which have been recently proposed by Lacroix (1999). These tests...

Persistent link: https://www.econbiz.de/10005646661

Short-term forecasts of French GDP: a dynamic factor model with targeted predictors.

Bessec, M. - Banque de France - 2012

In recent years, factor models have received increasing attention from both econometricians and practitioners in the forecasting of macroeconomic variables. In this context, Bai and Ng (2008) find an improvement in selecting indicators according to the forecast variable prior to factor...

Persistent link: https://www.econbiz.de/10010593235

Did Tax Policies mitigate US Business Cycles?

Jimborean, R.; Ferroni, F. - Banque de France - 2010

I study whether US Tax Policies affected economic volatility during the post World War II period. I employ a Real … policies display a strong countercyclical behavior, (b) help to reduce the cyclical and raw volatility of GDP, consumption …, investment when the government can issue debt, and (c) unexpected changes in tax policies do not affect the volatility of the …

Persistent link: https://www.econbiz.de/10008682874

The possible shapes of recoveries in Markov-switching models

Bec, F.; Bouabdallah, O.; Ferrara, L. - Banque de France - 2011

This paper explores the various shapes the recoveries may exhibit within a Markov-Switching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the...

Persistent link: https://www.econbiz.de/10008873322

How do oil price forecast errors impact inflation forecast errors? An empirical analysis from French and US inflation forecasts.

Bec, F.; Gaye, A. De - Banque de France - 2014

price volatility is large. …

Persistent link: https://www.econbiz.de/10011079243

How Fiscal Policy Affects the Price Level: Britain’s First Experience with Paper Money.

Antipa, P. - Banque de France - 2014

Between 1797 and 1821, Britain suspended the gold standard in order to finance the Napoleonic Wars. This measure was accompanied by large scale debt accumulation and inflation: After Napoleon’s final defeat at Waterloo in 1815, the debt to GDP ratio had climbed to 226%; the price level...

Persistent link: https://www.econbiz.de/10011096086