In this paper, we estimate a reliable fundamental value of the S&P index, standing for a long run target value in Error-Correcting Modelling of the dynamics of the subsequnet returns. The present Value Model suggests two fundamentals: the dividends and a discount rate factor, specified as a...

In this paper, address the problem of testing persistent causality between integrated, possibly cointegrated, time series.

Ce papier propose une revue de litterature sur le theme de la causalite, aborde d'un point de vue econometrique. Cette revue, sans etre exhaustive, fait le point sur les resultats acquis jusqu'a des dates tres recentes et s'accompagne de propositions visant a enrichir la modelisation...

We built a portfolio choice model in which agents are heterogeneous and possibly draw systematic rational forecast errors.

Nous proposons une procedure de test pour analyser les liens de causalite indirects entre des series chronologiques extraites d'un systeme multivarie dont la dynamique est caracterise par un model vectoriel autoregressif stationnaire d'ordre fini.

This article investigates to what extent business cycles co-move in the four largest euro area economies, using a large-scale database of nonstationary series for the euro area over the 1980:Q1 to 2003:Q4 period. We apply the methodology proposed by Bai (2004) and Bai and Ng (2004) to construct...