We suggest a new model-free definition of the beta coefficient, which plays an important rôle in systematic risk management. This setting, which is based on the existence of trends for financial time series via nonstandard analysis (Fliess M., Join C.: A mathematical proof of the existence of...

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and long memory features. In this context, we used the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk, Franses and Paap (2002) to the case when the...

The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and long memory features. In this context, we use the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk, Franses and Paap (2002) in the case when the...

This paper presents a 2-regime SETAR model with different longmemory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the absolute and squared returns of five stock indices. A comparison with simple...

This paper presents a 2-regime SETAR model with a long-memory process in the first regime and a short-memory process in the second regime. We briefly introduce the properties of this model and methods for locating the threshold parameter are proposed. Such a process is applied to stock indices...

Researchers in finance very often rely on highly persistent - nearly integrated - explanatory variables to predict returns. This paper proposes to stand up to the usual problem of persistent regressor bias, by detrending the highly auto-correlated predictors. We find that the statistical...