Výsledky vyhledávání - "Anne Peguin-Feissolle"

Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form

Autor: Timo Teräsvirta, Birgit Strikholm, Anne Peguin-Feissolle

Publikováno v: Communications in Statistics-Simulation and Computation
Communications in Statistics-Simulation and Computation, Taylor & Francis, 2013, 42 (5), pp.1063-1087. ⟨10.1080/03610918.2012.661500⟩
Péguin-Feissolle, A, Strikholm, B & Teräsvirta, T 2013, ' Testing the Granger noncausality hypothesis in stationary models of unknown functional form ', Communications in Statistics: Simulation and Computation, vol. 42, pp. 1063-1087 . https://doi.org/10.1080/03610918.2012.661500
Communications in Statistics-Simulation and Computation, 2013, 42 (5), pp.1063-1087. ⟨10.1080/03610918.2012.661500⟩

AD; International audience; In this article, we propose a general method for testing the Granger noncausality hypothesis in stationary nonlinear models of unknown functional form. These tests are based on a Taylor expansion of the nonlinear model aro

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b51affe5d0982fe7ec665454c30addc
https://doi.org/10.1080/03610918.2012.661500

Zobrazit plný text záznamu

Testing for misspecification in the short-run component of GARCH-type models

Autor: Anne Peguin-Feissolle, Thomas Chuffart, Emmanuel Flachaire

Publikováno v: Studies in Nonlinear Dynamics and Econometrics
Studies in Nonlinear Dynamics and Econometrics, MIT Press, 2017, 22
Studies in Nonlinear Dynamics and Econometrics, MIT Press, 2018, 22 (5), ⟨10.1515/snde-2017-0069⟩
Studies in Nonlinear Dynamics and Econometrics, 2017, 22
Studies in Nonlinear Dynamics and Econometrics, 2018, 22 (5), ⟨10.1515/snde-2017-0069⟩

In this article, a misspecification test in conditional volatility and GARCH-type models is presented. We propose a Lagrange Multiplier type test based on a Taylor expansion to distinguish between (G)ARCH models and unknown GARCH-type models. This ne

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::12f1828b4131d16a10f1ee6e86eec1fc
https://hal.archives-ouvertes.fr/hal-03157205

Zobrazit plný text záznamu

Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models

Autor: Bilel Sanhaji, Anne Peguin-Feissolle

Publikováno v: Annals of Economics and Statistics
Annals of Economics and Statistics, CNGP-INSEE, 2016, pp.77--101. ⟨10.15609/annaeconstat2009.123-124.0077⟩
Annals of Economics and Statistics, 2016, 123/124, pp.77--101. ⟨10.15609/annaeconstat2009.123-124.0077⟩

ACL-2; International audience; We introduce two tests for the constancy of conditional correlations of unknown functional form in multivariate GARCH models. The first test is based on artificial neural networks and the second on a Taylor expansion of

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7eedd1e7379b4d2ecc2cd2eedf8eabb7
https://hal-amu.archives-ouvertes.fr/hal-01448238

Zobrazit plný text záznamu

Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets

Autor: Heni Boubaker, Anne Peguin-Feissolle

Publikováno v: Computational Economics
Computational Economics, Springer Verlag, 2013, 42 (3), pp.291--306
Computational Economics, 2013, 42 (3), pp.291--306

ACL-3; International audience; In this article, we propose two new semiparametric estimators in the wavelet domain in order to estimate the parameter of nonstationary long memory models. Compared to the Fourier transform, the advantage of the wavelet

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3c4faa15c155703c489dc5dc009e33ca
https://doi.org/10.1007/s10614-012-9355-6

Zobrazit plný text záznamu

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

Autor: Anne Peguin-Feissolle, Valérie Mignon, Gilles Dufrénot

Publikováno v: Economic Modelling. 28:2342-2357

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

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::2723a91799124a1c632b2bf0f796da24
https://doi.org/10.1016/j.econmod.2011.04.012

Zobrazit plný text záznamu

Explaining the European exchange rates deviations: Long memory or non-linear adjustment?

Autor: Sandrine Lardic, Laurent Mathieu, Anne Peguin-Feissolle, Valérie Mignon, Gilles Dufrénot

Publikováno v: Journal of International Financial Markets, Institutions & Money
Journal of International Financial Markets, Institutions & Money, 2008, 18 (3 July), pp.207-215. ⟨10.1016/j.intfin.2006.09.004⟩

International audience; The standard macroeconomic view links the equilibrium level of foreign exchange rates to the state of the macroeconomic fundamentals. Any deviation from the equilibrium level is viewed as temporary since there are forces ensur

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cb2b0cbc0d647b82976bdf391131bf6c
https://doi.org/10.1016/j.intfin.2006.09.004

Zobrazit plný text záznamu

A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t

Autor: Anne Peguin-Feissolle, Gilles Dufrénot, Mohamed Boutahar

Publikováno v: Computational Economics
Computational Economics, Springer Verlag, 2008, 31 (Issue 3 (April 2008)), pp.225-241. ⟨10.1007/s10614-007-9115-1⟩
Computational Economics, 2008, 31 (Issue 3 (April 2008)), pp.225-241. ⟨10.1007/s10614-007-9115-1⟩

International audience; This paper generalizes the standard long memory modeling by assuming that the long memory parameter d is stochastic and time-varying: we introduce a STAR process on this parameter characterized by a logistic function. We propo

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::33b2424935ce96033d363d6fdea8b6b9
https://doi.org/10.1007/s10614-007-9115-1

Zobrazit plný text záznamu

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

Autor: Anne Peguin-Feissolle, Gilles Dufrénot, Dominique Guegan

Publikováno v: Journal of International Financial Markets, Institutions and Money
Journal of International Financial Markets, Institutions and Money, 2005, 15, pp.391-406. ⟨10.1016/j.intfin.2004.09.001⟩
International Financial Markets, Inst. And Money
International Financial Markets, Inst. And Money, 2005, 15, pp.391-406

This paper presents a 2-regime SETAR model with a long-memory process in the first regime and a short-memory process in the second regime. We briefly introduce the properties of this model. Then, methods for locating the threshold parameter are propo

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::086044906f26a79e94c00e3c2c447b9c
https://doi.org/10.1016/j.intfin.2004.09.001

Zobrazit plný text záznamu

Modeling the volatility of the US SαP 500 index using an LSTGARCH model

Autor: Anne Peguin-Feissolle, Velayoudom Marimoutou, Gilles Dufrénot

Publikováno v: Revue d'économie politique
Revue d'économie politique, 2004, 114 (4), pp.453-465. ⟨10.3917/redp.144.0453⟩
Revue d'Economie Politique
Revue d'Economie Politique, Dalloz, 2004, 114 (4), pp.453-465

National audience; This paper uses the logistic smooth transition GARCH model to study the time-varying volatility of the USSαP 500 index. In the LSTGARCH specification, the parameters are function of some information variables that help capturing t

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d7d1b212e4ab329aa754b47500a11130
https://doi.org/10.3917/redp.144.0453

Zobrazit plný text záznamu

Vyhledávací nástroje:

Upřesnit hledání