Olivier Darné

University of Nantes - Faculty of Business and Economics

Nantes

France

SCHOLARLY PAPERS

25

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1,733

CITATIONS
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Top 3,857

in Total Papers Citations

138

Scholarly Papers (25)

1.

Dynamic Factor Models: A Review of the Literature

Number of pages: 54 Posted: 11 Jul 2013
Karim Barhoumi, Olivier Darné and Laurent Ferrara
International Monetary Fund (IMF), University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 462 (60,292)
Citation 3

Abstract:

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dynamic factor models, estimation, tests for the number of factors, macroeconomic applications

2.

International Stock Return Predictability: Evidence from New Statistical Tests

Number of pages: 33 Posted: 28 Mar 2015
Amélie Charles, Olivier Darné and Jae H. Kim
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and La Trobe University - School of Economics and Finance
Downloads 219 (137,514)

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Augmented Regression Method, Financial ratios, Forecasting, Short-term interest rate, Technical indicators, Wild bootstrap

3.

Will Precious Metals Shine? A Market Efficiency Perspective

FIRN Research Paper
Number of pages: 25 Posted: 21 Jun 2014
Amélie Charles, Olivier Darné and Jae H. Kim
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and La Trobe University - School of Economics and Finance
Downloads 146 (197,252)
Citation 8

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Adaptive markets hypothesis; Martingale difference hypothesis; Market Efficiency, Trading Strategy

4.

Stock Return Predictability: Evaluation Based on Prediction Intervals

Number of pages: 35 Posted: 20 Mar 2016 Last Revised: 14 Oct 2016
Amélie Charles, Olivier Darné and Jae H. Kim
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and La Trobe University - School of Economics and Finance
Downloads 141 (202,835)

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5.

Market Efficiency in the European Carbon Markets

USAEE Working Paper No. 12-139
Number of pages: 28 Posted: 18 Oct 2012
Amélie Charles, Olivier Darné and Jessica Fouilloux
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and IGR - IAE de Rennes 1
Downloads 105 (253,162)

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CO2 emission allowances, Cost-of-carry model, Spot and futures prices, Market efficiency

6.

Commodity Returns Co-Movements: Fundamentals or 'Style' Effect?

Number of pages: 34 Posted: 21 Jun 2015
Charlot Philippe, Olivier Darné and Zakaria Moussa
Universities of Marseille, University of Nantes - Faculty of Business and Economics and University of Nantes - LEMNA
Downloads 104 (254,786)
Citation 2

Abstract:

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Commodity Financialization; Style effect; Cross-market linkages; Financial crisis; RSDC model

7.

UNE REVUE DE LA LITTÉRATURE DES MODÈLES À FACTEURS DYNAMIQUES (Dynamic Factor Models: A Review of the Literature)

Banque de France Working Paper No. 430
Number of pages: 61 Posted: 04 Apr 2013
Karim Barhoumi, Olivier Darné and Laurent Ferrara
International Monetary Fund (IMF), University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 98 (265,171)

Abstract:

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Dynamic factor models, estimation, tests for the number of factors, macroeconomic applications

8.

Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices

Number of pages: 34 Posted: 02 Jun 2015
Amélie Charles, Olivier Darné and Jae H. Kim
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and La Trobe University - School of Economics and Finance
Downloads 96 (268,712)
Citation 1

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Islamic portfolio, Market Efficiency, Martingale difference hypothesis, Return predictability, Wild bootstrap

9.

Nowcasting German GDP: A Comparison of Bridge and Factor Models

Banque de France Working Paper No. 401
Number of pages: 27 Posted: 18 Oct 2012
Banque de France, Banque de France - Economic Study and Research Division, Banque de France and University of Nantes - Faculty of Business and Economics
Downloads 72 (319,955)
Citation 24

Abstract:

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GDP forecasting, bridge models, factor models, threshold auto-regression, bounce-back effects, business cycles, inventory investment

10.

Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach

Banque de France Working Paper No. 426
Number of pages: 52 Posted: 25 Mar 2013
Olivier Darné, Guy Levy-Rueff and Adrian Pop
University of Nantes - Faculty of Business and Economics, Banque de France and University of Nantes
Downloads 71 (322,420)
Citation 7

Abstract:

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Stress testing, Stress scenarios, Financial crises, Macroprudential regulation

11.

Testing the Speculative Efficiency Hypothesis on Co2 Emission Allowance Prices: Evidence from Bluenext

International Conference of the French Finance Association (AFFI), May 2011
Number of pages: 24 Posted: 08 May 2011
Olivier Darné, Jessica Fouilloux and Amélie Charles
University of Nantes - Faculty of Business and Economics, IGR - IAE de Rennes 1 and Audencia Nantes School of Management
Downloads 51 (379,790)

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CO2 emission allowances, Cointegration, Spot and futures prices, Market efficiency

12.

Monthly Forecasting of French GDP: A Revised Version of the Optim Model

Banque de France Working Paper No. 222
Number of pages: 49 Posted: 17 Sep 2010
Banque de France - Economic Study and Research Division, Banque de France, University of Nantes - Faculty of Business and Economics, Banque de France, Banque de France and Banque de France
Downloads 41 (414,866)

Abstract:

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GDP forecasting, Bridge models, General-to-specific approach

13.

Are Disaggregate Data Useful for Factor Analysis in Forecasting French GDP?

Banque de France Working Paper No. 232
Number of pages: 30 Posted: 14 Sep 2010
Barhoumi Karim, Olivier Darné and Laurent Ferrara
Banque de France - Economic Study and Research Division, University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 25 (486,502)
Citation 26

Abstract:

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GDP Forecasting, Factor Models, Data Aggregation

14.

New Estimate of the MIBA Forecasting Model. Modeling First-Release GDP Using the Banque De France's Monthly Business Survey and the 'Blocking' Approach

Number of pages: 46 Posted: 10 Jan 2014
Banque de France, Banque de France, University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 24 (491,975)
Citation 16

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GDP nowcasting; Real-time data; Mixed-frequency data

15.

Two Probabilistic Cyclical Turning Point Indicators for the French Economy (Deux Indicateurs Probabilistes de Retournement Cyclique Pour L’Économie Française) (French)

Banque de France Working Paper No. NER - E 187
Number of pages: 36 Posted: 08 Oct 2010
Banque de France, University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 24 (491,975)
Citation 27

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Business Cycle, Acceleration Cycle, Probabilistic Indicator, Markov-Switching Models, Surveys

16.

Identification of Slowdowns and Accelerations for the Euro Area Economy

Banque de France Working Paper No. 239
Number of pages: 38 Posted: 28 Aug 2010
Laurent Ferrara and Olivier Darné
Banque de France and University of Nantes - Faculty of Business and Economics
Downloads 20 (514,568)
Citation 1

Abstract:

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Acceleration cycle, Euro area, Dating chronology, Turning point indicator, Business surveys

17.

The Monthly Index of Business Activity (MIBA): A Revision

Banque de France Working Paper No. 171
Number of pages: 84 Posted: 21 Oct 2010
Olivier Darné and Véronique Brunhes-Lesage
University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 17 (531,975)

Abstract:

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Conjunctural analysis, GDP forecasting, bridge equations, business surveys

18.

Further Evidence on Mean Reversion in the Australian Exchange Rate

Bulletin of Economic Research, Vol. 59, No. 4, pp. 383-395, October 2007
Number of pages: 13 Posted: 20 Sep 2007
Olivier Darné and Jean-François Hoarau
University of Nantes - Faculty of Business and Economics and Université de la Réunion
Downloads 11 (567,590)
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19.

Identification of Slowdowns and Accelerations for the Euro Area Economy

CEPR Discussion Paper No. DP7376
Number of pages: 34 Posted: 26 Aug 2009
Olivier Darné and Laurent Ferrara
University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 3 (620,064)
Citation 7
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Acceleration cycle, Business surveys, Dating chronology, Euro area, Turning point indicator

20.

Testing the Number of Factors: An Empirical Assessment for a Forecasting Purpose

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 1, pp. 64-79, 2013
Number of pages: 16 Posted: 23 Dec 2012
Karim Barhoumi, Olivier Darné and Laurent Ferrara
International Monetary Fund (IMF), University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 1 (642,649)
Citation 5
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21.

Monthly GDP Forecasting Using Bridge Models: Application for the French Economy

Bulletin of Economic Research, Vol. 64, pp. s53-s70, 2012
Number of pages: 18 Posted: 11 Dec 2012
affiliation not provided to SSRN, Banque de France, University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 1 (642,649)
Citation 5
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bridge models, GDP forecasting, general‐to‐specific approach

22.

Variance-Ratio Tests of Random Walk: An Overview

Journal of Economic Surveys, Vol. 23, Issue 3, pp. 503-527, July 2009
Number of pages: 25 Posted: 09 Jun 2009
Amélie Charles and Olivier Darné
Audencia Nantes School of Management and University of Nantes - Faculty of Business and Economics
Downloads 1 (642,649)
Citation 19
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23.

Does the Great Recession Imply the End of the Great Moderation? International Evidence

Economic Inquiry, Vol. 56, Issue 2, pp. 745-760, 2018
Number of pages: 16 Posted: 22 Feb 2018
Amélie Charles, Olivier Darné and Laurent Ferrara
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 0 (660,893)
Citation 4
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24.

Is the Islamic Finance Model More Resilient than the Conventional Finance Model? Evidence from Sudden Changes in the Volatility of Dow Jones Indexes

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Posted: 10 May 2011
Amélie Charles, Adrian Pop and Olivier Darné
Audencia Nantes School of Management, Université d'Orléans and University of Nantes - Faculty of Business and Economics

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25.

The Random Walk Hypothesis for Chinese Stock Markets: Evidence from Variance Ratio Tests

Economic Systems, Vol. 33, No. 2, 2009
Posted: 30 Sep 2009
Amélie Charles and Olivier Darné
Audencia Nantes School of Management and University of Nantes - Faculty of Business and Economics

Abstract:

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Chinese stock markets, Market efficiency, Random walk hypothesis, Variance ratio test