Frederique Bec

University of Cergy-Pontoise - THEMA

33 boulevard du port

F-95011 Cergy-Pontoise Cedex, 95011

France

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

15 Boulevard Gabriel Peri

Malakoff Cedex, 1 92245

France

SCHOLARLY PAPERS

9

DOWNLOADS

766

SSRN CITATIONS

2

CROSSREF CITATIONS

6

Scholarly Papers (9)

Assets Returns Volatility and Investment Horizon: The French Case

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 22 Posted: 12 Dec 2007
Christian Gollier, Frederique Bec and Frederique Bec
University of Toulouse 1 - Industrial Economic Institute (IDEI) and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA
Downloads 179 (230,566)
Citation 3

Abstract:

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Asset return predictability, Investment horizon, Vector Autoregression

Assets Returns Volatility and Investment Horizon: The French Case

CESifo Working Paper Series No. 2622
Number of pages: 26 Posted: 22 Apr 2009
Frederique Bec, Frederique Bec and Christian Gollier
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA and University of Toulouse 1 - Industrial Economic Institute (IDEI)
Downloads 155 (260,726)

Abstract:

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asset return predictability, investment horizon, vector autoregression

2.

Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime Star Model

Number of pages: 36 Posted: 17 Jun 2004
Frederique Bec, Frederique Bec, Melika Ben Salem and Marine Carrasco
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA, Université Paris-Est Marne la Vallée (UPEMLV) and University of Montreal - Departement de Ciences Economiques
Downloads 229 (184,319)
Citation 9

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Half-life, purchasing power parity, mixing conditions, smooth transition autoregressive model, unit-root test, real exchange rate

3.

Term Structure and Cyclicity of Value-at-Risk: Consequences for the Solvency Capital Requirement

CESifo Working Paper Series No. 2596
Number of pages: 28 Posted: 26 Mar 2009
Frederique Bec, Frederique Bec and Christian Gollier
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA and University of Toulouse 1 - Industrial Economic Institute (IDEI)
Downloads 168 (243,122)
Citation 2

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expected equities returns, Value at Risk, investment horizon, vector auto-regression

4.

Nowcasting French GDP in Real-Time from Survey Opinions: Information or Forcast Combinations?

Banque de France Working Paper No. 436
Number of pages: 37 Posted: 22 Jun 2013
Matteo Mogliani, Frederique Bec and Frederique Bec
Banque de France and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA
Downloads 35 (593,124)
Citation 1

Abstract:

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Forecast Combinations, Pooling Information, Macroeconomic Nowcasting, Real-time data, Mixed-frequency data

5.

Purchasing Power Parity: A Nonlinear Multivariate Approach

Economics Bulletin, Vol. 6, No. 39, pp. 1-6, 2008
Posted: 21 Mar 2009
Frederique Bec, Frederique Bec, Melika Ben Salem and Anders Rahbek
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA, Université Paris-Est Marne la Vallée (UPEMLV) and University of Copenhagen - Department of Statistics and Operations Research

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Real exchange rate, threshold vector equilibrium correction model

6.

Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model

Journal of Econometrics, Vol. 142, 2008
Posted: 21 Mar 2009
Frederique Bec, Frederique Bec, Alain Guay and Emmanuel Guerre
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA, University of Quebec at Montreal (UQAM) - Centre de recherche sur l'emploi et les fluctuations économiques (CREFÉ) and University of Paris VI Pierre et Marie Curie

Abstract:

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Unit root test, threshold autoregressive model, term structure of interest rates.

7.

Federal Funds Rate Stationarity: New Evidence

Economics Bulletin, Forthcoming
Posted: 21 Mar 2009
Charbel Bassil, Frederique Bec and Frederique Bec
Notre Dame University - Louaize and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA

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Federal Funds Rate, Unit root test, Structural change, Endogenous break dates

8.

The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?

Studies in Nonlinear Dynamics and Econometrics, Vol. 11, 2007
Posted: 13 May 2007
Alexia Bastien, Frederique Bec and Frederique Bec
Université Paris I Panthéon-Sorbonne - Equipe Universitaire de Recherche en Economie Quantitative (EUREQUA) and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA

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aggregate supply and demand shocks, vector autoregression, structural break

9.

Tests for Unit-Root Versus Threshold Specification with an Application to the Purchasing Power Parity Relationship

Journal of Business and Economic Statistics, Forthcoming
Posted: 08 Jun 2004
Frederique Bec, Frederique Bec, Melika Ben Salem and Marine Carrasco
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA, Université Paris-Est Marne la Vallée (UPEMLV) and University of Montreal - Departement de Ciences Economiques

Abstract:

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Mixing conditions, real exchange rate, Threshold autoregressive model