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To what extent do exchange rates and their volatility affect trade ?

Huchet-Bourdon, Maryline; Korinek, J. - HAL - 2011

unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …

Persistent link: https://www.econbiz.de/10010899210

A DYNAMIC ANALYSIS OF SEGMENTED LABOR MARKET

Gaubert, Patrice; Cottrell, Marie - HAL - 1999

Using the Panel Study of Income Dynamics data on the period 1982-1992, this paper investigates some mechanisms of the labor market in the United States. This market is analyzed as a stable structure constituted of segments which present contrasted characteristics under the usual distinction...

Persistent link: https://www.econbiz.de/10010750531

Values for Markovian coalition processes

Faigle, Ulrich; Grabisch, Michel - HAL - 2012

Time series of coalitions (so-called scenarios) are studied that describe processes of coalition formation where several players may enter or leave the current coalition at any point in (discrete) time and convergence to the grand coalition is not necessarily prescribed. Transitions from one...

Persistent link: https://www.econbiz.de/10010899976

An allocation rule for dynamic random network formation processes

Caulier, Jean-François; Grabisch, Michel; Rusinowska, … - HAL - 2013

Most allocation rules for network games presented in the literature assume that the network structure is fixed. We put explicit emphasis on the construction of networks and examine the dynamic formation of networks whose evolution across time periods is stochastic. Time-series of networks are...

Persistent link: https://www.econbiz.de/10011025850

Values for Markovian coalition processes

Faigle, Ulrich; Grabisch, Michel - HAL - 2012

Persistent link: https://www.econbiz.de/10011025940

Values for Markovian coalition processes

Faigle, Ulrich; Grabisch, Michel - HAL - 2012

Persistent link: https://www.econbiz.de/10010775872

Markov switching quadratic term structure models

Goutte, Stéphane - HAL - 2013

In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest rate can have different economic or financial trends...

Persistent link: https://www.econbiz.de/10010821155

Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)

Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2011

This paper presents a new multivariate GARCH model with time-varying conditional correlation structure, which is a special case of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model which we have named Hierarchical RSDC (HRSDC), has been built with the hierarchical...

Persistent link: https://www.econbiz.de/10009151637

Sunshine-Factor Model with Treshold GARCH for Predicting Temperature of Weather Contracts

Hamisultane, Hélène - HAL - 2008

on the volatility by estimating a structural model with a periodic threshold GARCH. We show that this model provides …

Persistent link: https://www.econbiz.de/10008794220

Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model.

Charlot, Philippe; Marimoutou, Vêlayoudom - HAL - 2008

This paper presents a new multivariate GARCH model with time-varying conditional correlation structure which is a generalization of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006). This model, which we name Hierarchical RSDC, is building with the hierarchical generalization...

Persistent link: https://www.econbiz.de/10008794823