Within a forward forecast test on Dynamic Conditional Correlation (DCC), we investigate the contagion of the subprime financial crisis between American, European and Asian stocks under asymmetry. In order to study this phenomenon we will follow these stages: Firstly we will use the Iterated...

Dans cet article, nous analysons le taux d'intérêt réel pour les bons du Trésor américain à trois mois par l'intermédiaire d'une représentation SETAR (Self Exciting Threshold AutoRegressive). Dans le but de distinguer la non linéarité de la non-stationnarité, nous utilisons des tests...

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...

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...

Many structural break and regime-switching models have been used with macroeconomic and financial data. In this paper, we develop an extremely flexible modeling approach which can accommodate virtually any of these specifications. We build on earlier work showing the relationship between...

Many structural break and regime-switching models have been used with macroeconomic and financial data. In this paper, we develop an extremely flexible modeling approach which can accommodate virtually any of these specifications. We build on earlier work showing the relationship between...

We analyze, in a unified theoretical framework, the two main models for equilibrium exchange rate, namely, the BEER and the FEER approaches. In order to understand the interactions between them, we study in detail the temporal links between these two measures. Our results show that, in average,...