This paper investigates the dynamic properties of both return and volatility of the oil price. The analysis is carried out using a set of double long memory specifications incorporating several features such as long range dependence, asymmetry in conditional variances and time varying...

This paper proposes an original framework based on nonlinear panel data models to study the empirical influence of the interest rate and the inflation rate on the non-life insurance premiums for fourteen developed countries over the period 1965-2008. More specifically, we apply the panel smooth...

In this paper, we propose a time-varying long memory model where the fractional integration parameter varies nonlinearly according to Smooth Transition Regressive (STR) model. To estimate the fractional integration parameter, we suggest a new estimation method based on wavelet approach. In...

This paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global financial crisis 2007-2009. The econometric approach is based on the extreme-value time-varying copula...

In this paper, we seek to examine the effect of the presence of long memory on the dependence structure between financial returns and on portfolio optimization. First, we focus on the dependence structure using copulas. To select the best copula, in addition to the goodness of fit tests, we...