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Bec, Frederique's
Scholarly Papers
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Total Downloads
523 |
Total
Citations
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Bec, Frederique University of Cergy-Pontoise - THEMA Ben Salem, Melika Université Paris-Est Marne la Vallée (UPEMLV) Carrasco, Marine University of Montreal - Departement de Ciences Economiques
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Half-life, purchasing power parity, mixing conditions, smooth transition autoregressive model, unit-root test, real exchange rate
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Assets Returns Volatility and Investment Horizon: The French Case
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Gollier, Christian University of Toulouse 1 - Industrial Economic Institute (IDEI) Bec, Frederique University of Cergy-Pontoise - THEMA
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Posted:
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12 Dec 07
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Last Revised:
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22 Apr 09
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Bec, Frederique University of Cergy-Pontoise - THEMA Gollier, Christian University of Toulouse 1 - Industrial Economic Institute (IDEI)
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asset return predictability, investment horizon, vector autoregression
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Gollier, Christian University of Toulouse 1 - Industrial Economic Institute (IDEI) Bec, Frederique University of Cergy-Pontoise - THEMA
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Asset return predictability, Investment horizon, Vector Autoregression
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Bec, Frederique University of Cergy-Pontoise - THEMA Gollier, Christian University of Toulouse 1 - Industrial Economic Institute (IDEI)
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expected equities returns, Value at Risk, investment horizon, vector auto-regression
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Bec, Frederique University of Cergy-Pontoise - THEMA Rahbek, Anders University of Copenhagen - Department of Statistics and Operations Research
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Bec, Frederique University of Cergy-Pontoise - THEMA Ben Salem, Melika Université Paris-Est Marne la Vallée (UPEMLV) Rahbek, Anders University of Copenhagen - Department of Statistics and Operations Research
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Real exchange rate, threshold vector equilibrium correction model
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Bec, Frederique University of Cergy-Pontoise - THEMA Guay, Alain University of Quebec at Montreal (UQAM) - Centre de recherche sur l'emploi et les fluctuations économiques (CREFÉ) Guerre, Emmanuel University of Paris VI Pierre et Marie Curie
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Unit root test, threshold autoregressive model, term structure of interest rates.
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Bassil, Charbel Notre Dame University Bec, Frederique University of Cergy-Pontoise - THEMA
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Federal Funds Rate, Unit root test, Structural change, Endogenous break dates
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8.
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Bastien, Alexia University of Paris 1 Pantheon-Sorbonne - Equipe Universitaire de Recherche en Economie Quantitative (EUREQUA) Bec, Frederique University of Cergy-Pontoise - THEMA
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aggregate supply and demand shocks, vector autoregression, structural break
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9.
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Bec, Frederique University of Cergy-Pontoise - THEMA Ben Salem, Melika Université Paris-Est Marne la Vallée (UPEMLV) Carrasco, Marine University of Montreal - Departement de Ciences Economiques
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Mixing conditions, real exchange rate, Threshold autoregressive model
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