It is well known that traditional inference do not apply when the spectral density of a stationary process vanishes for some frequency. This paper examines some properties of several new non parametric tests of this hypothesis which have been recently proposed by Lacroix (1999). These tests...

Non parametric and parametric estimation for the spectral density of a stationary process is a well-known topic, except when the spectrum vanishes for some frequency. Indeed, for this frequency, the limit law degenerates, and traditional inference no longer applies. The paper introduces non...

The purpose of this article is to study the trends in per capita productivity in several major industrialised countries. The analysis is first based on annual data over a long period spanning the entire 20th century for the United States, France and the United Kingdom. Productivity trends are...

For central banks, institutional, and individual investors, it is crucial to understand the frequency and importance of drops or sudden rises in financial markets. Extreme value theory (EVT) is an interesting tool providing answers to questions such as: With what frequency do we find variations...

Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional...

We identify and examine the presence of the long memory in equity returns and more generally in specific transformations of these returns, on both the US and European stock markets. Taking into account the persistence phenomenon, we analyze the effect of the splitting of the sample period on the...

In addition to quantitative assessment of economic growth using econometric models, business cycle analyses have been proved to be helpful to practitioners in order to assess current economic conditions or to anticipate upcoming fluctuations. In this paper, we focus on the acceleration cycle in...

Economic theory identifies two potential sources of return predictability: time variation in expected returns (beta-predictability) or market inefficiencies (alpha-predictability). For the latter, Samuelson argued that macro-returns exhibit more inefficiencies than micro-returns, as individual...

In this paper, we show how to estimate consistently the degree of fractional integration at a given frequency θ, for both stationary and non stationary long-memory process. The statistics used are the periodogram for values θn which converge to θ with an appropriate rate. We also introduce...

Two different approaches are used in this article to study productivity per employee: the determinants of its growth rate in the 1990s are first examined, and then the determinants of its level, using a more structural approach. ICT are shown to have a positive and significant effect on both...