The aim of this work is to propose a new sequential strategy-three steps testing procedure- based on recently introduced econometric techniques, in order to assess the meanreverting properties of the real exchange rate and to check whether real exchange r

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four widely traded commodities (crude oil, natural gas, gold, and silver). A broad set of the most popular linear and

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the

We analyze the empirical relationship between announcement effects and return volatilities of four CAC40 companies using intraday financial and event data from SBF-Euronext and Bloomberg, respectively. We estimate the daily component of the intraday volatility using a FIGARCH model and the...

This paper investigates the dilemma of long memory versus a switching regime for the Tunisian real exchange rate (TRER). Empirically, three long memory tests are implemented to examine the long-range dependence in the processes of Tunisian REER. All long memory tests that we used are based on...

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four major commodities (crude oil, natural gas, gold, and sil- ver). A broad set of the most popular linear and nonlinear GARCH-type models is used to...

his paper attempts to predict the bear conditions on the US stock market. To this aim we elaborate simple predictive regressions, static and dynamic binary choice (BCM) as well as Markov-switching models. The in- and out-of-sample prediction ability is evaluated and we compare the forecasting...

Among the most popular techniques for portfolio insurance strategies that are used nowadays, the so-called \Constant Proportion Portfolio In- surance" (CPPI) allocation simply consists in reallocating the risky part of a portfolio according to the market conditions. This general method crucially...

In this paper we examine the degree of interdependence between oil prices and four major countries (United

As both speculative and hedging financial flows into commodity futures are expected to link commodity price formation more strongly to equity indices, we investigate whether these processes also create increased correlation amongst the commodities themselves. Considering U.S. oil and gas...