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Quantile and Copula spectrum : a new approach to investigate cyclical dependence in economic time series

Dufrénot, Gilles; Matsuki, Takashi; Sugimoto, Kimiko - In: Recent econometric techniques for macroeconomic and …, (pp. 3-34). 2021

This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard...

Persistent link: https://www.econbiz.de/10012395263

Croissance, fluctuations et chaos

Dufrénot, Gilles - 1999

Persistent link: https://www.econbiz.de/10001402144

Non-linéarité et chaos dans les séries macro-économiques françaises

Dufrénot, Gilles - In: Revue d'économie politique 104 (1994) 2, pp. 381-406

Persistent link: https://www.econbiz.de/10001165832

Methods in economics : testing for linearities

Dufrénot, Gilles - In: Journal des économistes et des études humaines : JEEH … 5 (1994) 2, pp. 393-408

Persistent link: https://www.econbiz.de/10001188482

A smooth transition long-memory model

Aloy, Marcel; Dufrénot, Gilles; Lai-Tong, Charles; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 3, pp. 281-296

Persistent link: https://www.econbiz.de/10009740335

Recent developments in nonlinear cointegration with applications to macroeconomics and finance

Dufrénot, Gilles; Mignon, Valérie - 2002

Persistent link: https://www.econbiz.de/10001665206

Testing catching-up between the developing countries : "growth resistance" and sometimes "growth tragedy"

Dufrénot, Gilles; Mignon, Valérie; Naccache, Théo - In: Bulletin of economic research 64 (2012) 4, pp. 470-508

Persistent link: https://www.econbiz.de/10009722630

A simple fractionally integrated model with a time-varying long memory parameter d t

Boutahar, Mohamed; Dufrénot, Gilles; … - In: Computational economics 31 (2008) 3, pp. 225-241

Persistent link: https://www.econbiz.de/10003691880

Changing-regime volatility : a fractionally integrated SETAR model

Dufrénot, Gilles; Guégan, Dominique; … - In: Applied financial economics 18 (2008) 7/9, pp. 519-526

Persistent link: https://www.econbiz.de/10003739214

A state-space model to estimate potential growth in the industrialized countries

Brand, Thomas; Dufrénot, Gilles; Mayerowitz, Antoine - In: Recent econometric techniques for macroeconomic and …, (pp. 61-77). 2021

This paper proposes new estimates of potential growth for 5 major industrialized countries. We use a state-space approach to obtain joint estimates of potential growth and the natural interest rates. The model is a reduced-form of a partial equilibrium model with a Phillips curve and an IS...

Persistent link: https://www.econbiz.de/10012395361