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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

The effects of the subprime crisis on the Latin American financial markets : an empirical assessment

Dufrénot, Gilles; Mignon, Valérie; Péguin-Feissolle, Anne - 2010

Persistent link: https://www.econbiz.de/10003996351

Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets : coupling or uncoupling? ; a study on sector-based data

Dufrénot, Gilles; Keddad, Benjamin - In: International review of financial analysis 33 (2014), pp. 17-32

Persistent link: https://www.econbiz.de/10010520091

Shift-volatility transmission in East Asian equity markets : new indicators

Aloy, Marcel; Truchis, Gilles de; Dufrénot, Gilles; … - In: Market microstructure and nonlinear dynamics : keeping …, (pp. 273-291). 2014

Persistent link: https://www.econbiz.de/10010480444

Financial spillovers from the US financial markets to the emerging markets during the subprime crisis : the example of Indian equity markets

Dufrénot, Gilles; Keddad, Benjamin; Sand-Zantman, Alain - 2010

Persistent link: https://www.econbiz.de/10008748815

The effects of the subprime crisis on the Latin American financial markets : an empirical assessment

Dufrénot, Gilles; Mignon, Valérie; Péguin-Feissolle, Anne - In: Economic modelling 28 (2011) 5, pp. 2342-2357

Persistent link: https://www.econbiz.de/10009273473

Long-memory dynamics in a SETAR model : applications to stock markets

Dufrénot, Gilles; Guégan, Dominique; … - In: Journal of international financial markets, … 15 (2005) 5, pp. 391-406

Persistent link: https://www.econbiz.de/10003270564

Modeling the volatility of the US S&P 500 index using an LSTGARCH model

Dufrénot, Gilles; Marimoutou, Vêlayoudom; … - In: Revue d'économie politique 114 (2004) 4, pp. 453-465

Persistent link: https://www.econbiz.de/10002233739

Modelling squared returns using a SETAR model with long-memory dynamics

Dufrénot, Gilles; Guégan, Dominique; … - In: Economics letters 86 (2005) 2, pp. 237-243

Persistent link: https://www.econbiz.de/10002584436

The Effects of the Subprime Crisis on the Latin American Financial Markets: an Empirical Assessment

Dufrénot, Gilles; Mignon, Valérie; Péguin-Feissolle, Anne - Centre d'études prospectives et d'informations … - 2010

The aim of this article is to answer the following question: can the considerable rise in the volatility of the LAC stock markets in the aftermath of the 2007/2008 crisis be explained by the worsening financial environment in the US markets? To this end, we rely on a timevarying transition...

Persistent link: https://www.econbiz.de/10008455799