Publications HAL

2020/01 Lithunian Mathematical Journal. – Estimation of Pickands dependence function of bivariate extremes under mixing conditions

2019/01 – Méthodes en séries temporelles et applications avec R Références Sciences, Ellipse

2016/01 ESAIM: Probability and Statistics – A test for the equality of transformations of two random variables

2013/09 Journal of Nonparametric Statistics – Nonparametric comparison of several transformations of distribution functions

2013/01 Journal of Nonparametric Statistics – Nonparametric comparison of several transformations of distribution functions

2012/10 Economics Bulletin – Power of the KPSS test against shift in variance: a further investigation

2012/01 Journal of Probability and Statistics – Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance

2011/10 – Testing for equality between two transformations of random variables

2011/06 Statistical Methods and Applications – A wavelet-based approach for modelling exchange rates

2011/05 – Estimation of the long memory parameter in non stationary models: A Simulation Study

2011/04 – Nonparametric test for detecting change in distribution with panel data

2011/02 – Long-run relationships between international stock prices: further evidence from fractional cointegration tests

2011/01 – Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?

2010/04 – The power of some standard tests of stationarity against changes in the unconditional variance

2010/02 – Testing for change in mean of heteroskedastic time series

2010/01 Economics Bulletin – A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach

2010/01 – Time varying fractionally integrated model

2010/01 – Structural change and long memory in the dynamic of U.S. inflation process

2010/01 – Fractional integration and cointegration in stock prices and exchange rates

2008/11 – A fractionally integrated exponential STAR model applied to the US real effective exchange rate

2008/11 – Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model

2008/10 – A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach

2008/09 Economic Modelling – A fractionally integrated exponential STAR model applied to the US real effective exchange rate

2008/05 – A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt – [Document de travail n°2008 – 10]

2008/01 Economics Bulletin – A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach

2008/01 Computational Economics – A simple fractionally integrated model with a time-varying long memory parameter dt

2007/09 – A METHODOLOGY FOR DETECTING BREAKS IN THE MEAN AND COVARIANCE STRUCTURE OF TIME SERIES

2007/06 – An exponential FISTAR model applied to the US real effective exchange rate

2007/03 – LE CHANGEMENT STRUCTUREL DANS UN ENVIRONNEMENT MÉMOIRE LONGUE

2006/01 – Limiting distribution of the least squares estimates in polynomial regression with long memory noises

2004/01 Applied Economics – Detecting Multiple Breaks in Time Series Covariance Structure: a Nonparametric Approach Based on the Evolutionary Spectral Density

2002/10 Economics Letters – Test for Covariance Stationarity and White Noise with an Application to euro/us dollar exchange rate