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Wavelets unit root test vs DF test : A further investigation based on monte carlo experiments.

Ahamada, Ibrahim; Jolivaldt, Philippe - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

Test for unit root based in wavelets theory is recently defined (Gençay and Fan, 2007). While the new test is supposed to be robust to the initial value, we bring out by contrast the significant effects of the initial value in the size and the power. We found also that both the wavelets unit...

Persistent link: https://www.econbiz.de/10005510604

Testing fractional order of long memory processes : a Monte Carlo study.

Ferrara, Laurent; Guegan, Dominique; Lu, Zhiping - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

Testing the fractionally integrated order of seasonal and non-seasonal unit roots is quite important for the economic and financial time series modelling. In this paper, Robinson test (1994) is applied to various well-known long memory models. Via Monte Carlo experiments, we study and compare...

Persistent link: https://www.econbiz.de/10005510606

Inégalités et clubs de convergence : les résultats d'un modèle à seuil.

Azizi, Karim - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007

This paper deals with the effect of inequality on subsequent long run growth. Using a threshold regression analysis, we find two threshold variables, namely human capital and inequality. Three clubs are then identified. One of our results is that the estimated relationship exhibits multiple...

Persistent link: https://www.econbiz.de/10005510608

Comonotonic Monte Carlo and its applications in option pricing and quantification of risk

Chateauneuf, Alain; Mostoufi, Mina; Vyncke, David - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015

Monte Carlo (MC) simulation is a technique that provides approximate solutions to a broad range of mathematical … paper we introduce the Comonotonic Monte Carlo (CoMC) simulation, which uses the best features of both approaches. By using … the comonotonic approximation as a control variate we get more accurate estimates and hence the simulation is less time …

Persistent link: https://www.econbiz.de/10011194455

Wavelet method for locally stationary seasonal long memory processes.

Guegan, Dominique; Lu, Zhiping - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

simulation study. An application based on the error correction term of fractional cointegration analysis of the Nikkei Stock …

Persistent link: https://www.econbiz.de/10005012511

The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics.

Diongue, Abdou Kâ; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

Electricity spot prices exhibit a number of typical features that are not found in most financial time series, such as complex seasonality patterns, persistence (hyperbolic decay of the autocorrelation function), mean reversion, spikes, asymmetric behavior and leptokurtosis. Efforts have been...

Persistent link: https://www.econbiz.de/10005797746

Comparaison of several estimation procedures for long term behavior.

Guegan, Dominique; Lu, Zhiping; Zhu, BeiJia - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012

-parametric and parametric, which prevail in the existing literature are reviewed ; through the simulation study under the ARFIMA (p …

Persistent link: https://www.econbiz.de/10009492765

Tests of Structural Changes in Conditional Distributions with Unknown Changepoints.

Guegan, Dominique; Peretti, Philippe de - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011

This paper focuses on a procedure to test for structural changes in the first two moments of a time series, when no information about the process driving the breaks is available. To approximate the process, an orthogonal Bernstein polynomial is used and testing for the null is achieved either by...

Persistent link: https://www.econbiz.de/10009207540

Calendar effect and intraday volatility patterns of euro-dollar exchange rate: new evidence of Europe lunch period.

Darmoul, Mokhtar; Kouki, Mokhtar - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

In this article, we study the pattern as well as the systematic features of the calendar effect perceived in the intraday volatility of the foreign exchange rate of the euro vis-à-vis the dollar at five minutes of intervals. We obtain by the means of this analysis a differentiation of these...

Persistent link: https://www.econbiz.de/10008622020

Announcement effect and intraday volatility patterns of euro-dollar exchange rate : monetary policy news arrivals and short-run dynamic response.

Darmoul, Mokhtar; Kouki, Mokhtar - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

In this article, we examine the announcement effect of news relating to the monetary policies of the ECB and the FED and resulting from the official meetings of the Council of the governors and the FOMC on intraday volatility of the foreign exchange rate euro-dollar at five minutes of intervals....

Persistent link: https://www.econbiz.de/10008622030