In this paper, we propose a methodology for building an estimator of the covariance matrix. We use a robust measure of moments called L-moments (see hosking, 1986), and their extension into a multivariate framework (see Serfling and Xiao, 2007). Random matrix theory (see Edelman, 1989) allows us...

In this paper we perform a Monte Carlo study based on three well-known semiparametric estimates for the long memory fractional parameter. We study the efficiency of Geweke and Porter-Hudak, Gaussian semiparametric and wavelet Ordinary Least-Square estimates in both stationary and non stationary...

In this paper, we discuss the parameter estimation for a k-factor generalized long memory processwith conditionally heteroskedastic noise. Two estimation methods are proposed. The first method is based on the conditional distribution of the process and the second is obtained as an extension of...

In this paper, we discuss the parameter estimation for a k-factor generalized long memory process with conditionally heteroskedastic noise. Two estimation methods are proposed. The first method is based on the conditional distribution of the process and the second is obtained as an extension of...

Business surveys are an important element in the analysis of the short-term economic situation because of the timeliness and nature of the information they convey. Especially, surveys are often involved in econometric models in order to provide an early assessment of the current state of the...

Estimation of bivariate fractionally cointegrated models usually operates in two steps: the first step is to estimate the long run coefficient (\beta) whereas the second step estimates the long memory parameter (d) of the cointegrating residuals. We suggest an adaptation of the maximum...

We consider a prototypical representative-agent forward-looking model, and study the low frequency variability of the data when the agent's beliefs about the model are updated through linear learning algorithms. We find that learning in this context can generate strong persistence. The degree of...

The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a multivariate process exhibiting long term dependence in stock returns. More precisely, the long term dependence is examined in the …first conditional moment of US stock returns...

Weather derivatives are financial contracts for which the underlying is not a traded asset. Therefore, they cannot be priced by the traditional financial theory based on the hedging portfolio and on the arbitrage-free argument. Some authors suggest to use the actuarial pricing approach to value...

This paper examines the relationships between the CAC40 index, the Dow Jones index and the Euro/USD exchange rate using daily data over the period 1999-2008. We find that these variables are I(1) nonstationary series, but they are fractionally cointegrated: equilibrium errors exhibit slow mean...