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 - Structural change and long memory in the dynamic of U.S. inflation process

2010/01 - Time varying fractionally integrated model

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

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