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Assets returns volatility and investment horizon : the french case

Bec, Frédérique; Gollier, Christian - 2009

This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The...

Persistent link: https://www.econbiz.de/10003833321

Assets returns volatility and investment horizon : the French case

Bec, Frédérique (contributor); … - 2007 - Rev.

Persistent link: https://www.econbiz.de/10003532025

Comparing the shape of recoveries : France, the UK and the US

Bec, Frédérique; Bouabdallah, Othman; Ferrara, Laurent - In: Economic modelling 44 (2015), pp. 327-334

Persistent link: https://www.econbiz.de/10011326210

Are Southeast Asian real exchange rates mean reverting?

Bec, Frédérique; Zeng, Songlin - In: Journal of international financial markets, … 23 (2013), pp. 265-282

Persistent link: https://www.econbiz.de/10009707500

Detecting mean reversion in real exchange rates from a multiple regime STAR model

Bec, Frédérique (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002574193

Tests for unit-root versus threshold specification with an application to the purchasing power parity relationship

Bec, Frédérique; BenSalem, Mélika; Carrasco, Marine - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 382-395

Persistent link: https://www.econbiz.de/10002372870

Real exchange rates and real interest rates : a nonlinear perspective

Bec, Frédérique; BenSalem, Mélika; MacDonald, Ronald - In: Recherches économiques de Louvain 72 (2006) 2, pp. 177-194

Persistent link: https://www.econbiz.de/10003362541

Asymmetries in monetary policy reaction function : evidence for U.S. French and German central banks

Bec, Frédérique (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 6 (2002) 2

Persistent link: https://www.econbiz.de/10001790026

Is inflation driven by survey-based, VAR-based or myopic expectations? : an empirical assessment from US real-time data

Bec, Frédérique; Kanda, Patrick - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012659117

Dornsbush revisited from an asymmetrical perspective : evidence from G20 nominal effective exchange rates

Bec, Frédérique; BenSalem, Mélika - 2019

Persistent link: https://www.econbiz.de/10012211878

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