In a Constant Proportion Portfolio Insurance (CPPI) framework, a constant risk exposure is defined by the multiple of the strategy. This article proposes an alternative conditional multiple estimation model, which is based on an autoregressive quantile regression dynamic approach. We estimate...

We consider the problem of testing whether the observations X1, · · ·, Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed:...

This paper analyses the pricing behaviour of Luxembourg firms based on survey evidence. Luxembourg firms typically have low market share, many competitors and longstanding customer relationships. Price discrimination is frequently applied. A majority of firms use price review rules that include...

This paper investigates the properties of the decomposition of a time series presented in a companion paper (Lacroix, (2008)). The procedure relies upon an extension of Beveridge-Nelson methodology. We focus on its empirical implementation and show the need for additional steps in order to...

Short-term analysis is generally performed with seasonally adjusted data from which further estimation of the business cycle is performed through well-known filters (HP, Baxter-King). However, the whole procedure is not fully consistent, because seasonal adjustment and trend-cycle estimation do...

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...

Cet article propose un réexamen de la spécification de la fonction de demande de monnaie de la zone euro. En effet, les spécifications traditionnelles conduisent à des résultats parfois peu satisfaisants : instabilité des coefficient de court et long termes ; écarts relativement...

In recent years, the dynamics of M3 in the euro area have been driven by two factors: a strong preference for liquidity, observed between 2001 and 2003, followed by a normalisation, at a relatively moderate pace, of portfolio behaviour; as regards the counterparts, changes in M3 and net external...

L'objectif est de spécifier la nature des comportements saisonniers de la demande de séjours touristiques en Tunisie en utilisant les outils récents d'analyse des séries temporelles mensuelles. Les séries disponibles (dépenses touristiques, prix, revenus, nombre de nuitées, capacités...