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Mohamed Boutahar

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Personal Details

First Name: Mohamed
Middle Name:
Last Name: Boutahar
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RePEc Short-ID: pmo828

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Affiliation

Faculté des sciences - Aix Marseille Université
Homepage: http://sciences.univ-amu.fr/
Location: France, Marseille

Works

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Working papers

  1. Khalfaoui, R & Boutahar, M, 2012. "Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis," MPRA Paper 41624, University Library of Munich, Germany.
  2. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?," Working Papers halshs-00559170, HAL.
  3. Mohamed Boutahar, 2011. "Testing for change in mean of heteroskedastic time series," Papers 1102.5431, arXiv.org.
  4. Khalfaoui Rabeh, K & Boutahar Mohamed, B, 2011. "A time-scale analysis of systematic risk: wavelet-based approach," MPRA Paper 31938, University Library of Munich, Germany.
  5. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Working Papers halshs-00567472, HAL.
  6. Mohamed Boutahar & Rabeh Khalfaoui2, 2011. "Estimation of the long memory parameter in non stationary models: A Simulation Study," Working Papers halshs-00595057, HAL.
  7. Ibrahim Ahamada & Mohamed Boutahar, 2010. "The Power of some Standard tests of stationarity against changes in the unconditional variance," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 10028, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  8. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Working Papers halshs-00536140, HAL.
  9. Mustapha Belkhouja & Imene Mootamri & Mohamed Boutahar, 2008. "Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model," Working Papers halshs-00331986, HAL.
  10. Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2008. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Working Papers halshs-00340831, HAL.
  11. Essahbi Essaadi & Mohamed Boutahar, 2008. "A Measure of Variability in Comovement for Economic Variables : a Time-Varying Coherence Function Approach," Post-Print, HAL halshs-00550460, HAL.
  12. Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008. "A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt," Working Papers halshs-00275254, HAL.
  13. Mohamed Boutahar & Jamel Jouini, 2007. "A Methodology For Detecting Breaks In The Mean And Covariance Structure Of Time Series," Working Papers halshs-00354249, HAL.
  14. Mohamed Boutahar & Mustapha Belkhouja, 2007. "Le Changement Structurel Dans Un Environnement Mémoire Longue," Working Papers halshs-00352610, HAL.
  15. Mohamed Boutahar & Imene Mootamri & Anne Peguin-Feissolle, 2007. "An exponential FISTAR model applied to the US real effective exchange rate," Working Papers halshs-00353836, HAL.
  16. Mohamed Boutahar, 2006. "Limiting distribution of the least squaresestimates in polynomial regression with longmemory noises," Working Papers halshs-00409571, HAL.
  17. Boutahar, M. & Deneau, C., 1993. "Limiting Distribution of Least Squares Estimates in Stable Multivariate Autoregressive Models Excited by Deterministic Input Signals," G.R.E.Q.A.M., Universite Aix-Marseille III 93a03, Universite Aix-Marseille III.
  18. Boutahar, M. & Deneau, C., 1992. "Almost Sure Convergence of Least Squares Estimates for Regular Multivariate ARX Systems," G.R.E.Q.A.M., Universite Aix-Marseille III 92a13, Universite Aix-Marseille III.

Articles

  1. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-Feissolle, 2013. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 45(7), pages 817-828, March.
  2. Bechir Raggad & Mohamed Boutahar, 2012. "Structural change in tail behaviour and the recent financial crises," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(3), pages 277-298.
  3. Ahamada Ibrahim & Boutahar Mohamed, 2012. "Power of the KPSS test against shift in variance: a further investigation," Economics Bulletin, AccessEcon, vol. 32(1), pages 854-865.
  4. Aloy, Marcel & Boutahar, Mohamed & Gente, Karine & Péguin-Feissolle, Anne, 2011. "Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?," Economic Modelling, Elsevier, Elsevier, vol. 28(3), pages 1279-1290, May.
  5. Boubaker Heni & Boutahar Mohamed, 2011. "A wavelet-based approach for modelling exchange rates," Statistical Methods and Applications, Springer, Springer, vol. 20(2), pages 201-220, June.
  6. Jamel JOUINI & Mohamed Boutahar, 2010. "The finite-sample properties of bootstrap tests in multiple structural change models," Economics Bulletin, AccessEcon, vol. 30(1), pages 55-66.
  7. Essahbi Essaadi & Mohamed Boutahar, 2010. "A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach," Economics Bulletin, AccessEcon, vol. 30(2), pages 1054-1070.
  8. Mohamed Boutahar, 2010. "Behaviour of skewness, kurtosis and normality tests in long memory data," Statistical Methods and Applications, Springer, Springer, vol. 19(2), pages 193-215, June.
  9. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods and Applications, Springer, Springer, vol. 19(3), pages 399-430, August.
  10. Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Péguin-feissolle, 2010. "Fractional integration and cointegration in stock prices and exchange rates," Economics Bulletin, AccessEcon, vol. 30(1), pages 115-129.
  11. Mohamed Boutahar, 2009. "Comparison of non-parametric and semi-parametric tests in detecting long memory," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 36(9), pages 945-972.
  12. Mohamed Boutahar & David Gbaguidi, 2009. "Which Econometric Specification to Characterize the U.S. Inflation Rate Process?," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 34(2), pages 145-172, September.
  13. Mustapha Belkhouja & Mohamed Boutahar, 2009. "Structural Change and Long Memory in the Dynamic of U.S. Inflation Process," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 34(2), pages 195-216, September.
  14. Leïla Nouira & Mohamed Boutahar & Vêlayoudom Marimoutou, 2009. "The effect of tapering on the semiparametric estimators for nonstationary long memory processes," Statistical Papers, Springer, Springer, vol. 50(2), pages 225-248, March.
  15. Boutahar, Mohamed & Mootamri, Imène & Péguin-Feissolle, Anne, 2009. "A fractionally integrated exponential STAR model applied to the US real effective exchange rate," Economic Modelling, Elsevier, Elsevier, vol. 26(2), pages 335-341, March.
  16. Ahdi Ajmi & Adnen Ben Nasr & Mohamed Boutahar, 2008. "Seasonal Nonlinear Long Memory Model for the US Inflation Rates," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 31(3), pages 243-254, April.
  17. Mohamed Boutahar & Gilles Dufrénot & Anne Péguin-Feissolle, 2008. "A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t ," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 31(3), pages 225-241, April.
  18. Mohamed Boutahar, 2008. "Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(4), pages 653-672, 07.
  19. Mohamed Boutahar & Velayoudom Marimoutou & Leila Nouira, 2007. "Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 34(3), pages 261-301.
  20. Jamel JOUINI & Mohamed BOUTAHAR, 2007. "wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence," Economics Bulletin, AccessEcon, vol. 3(3), pages 1-10.
  21. Jamel JOUINI & Mohamed BOUTAHAR, 2007. "Spuriousness of information criteria when selecting the number of breaks in stationary AR(p) process," Economics Bulletin, AccessEcon, vol. 3(38), pages 1-11.
  22. Mohamed Boutahar, 2007. "Optimal prediction with nonstationary ARFIMA model," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 26(2), pages 95-111.
  23. Jouini, Jamel & Boutahar, Mohamed, 2005. "Evidence on structural changes in U.S. time series," Economic Modelling, Elsevier, Elsevier, vol. 22(3), pages 391-422, May.
  24. Ibrahim Ahamada & Jamel Jouini & Mohamed Boutahar, 2004. "Detecting multiple breaks in time series covariance structure: a non-parametric approach based on the evolutionary spectral density," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 36(10), pages 1095-1101.
  25. Mohamed Safouane Ben Aissa & Mohamed Boutahar & Jamel Jouini, 2004. "Bai and Perron's and spectral density methods for structural change detection in the US inflation process," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(2), pages 109-115.
  26. Ahamada, Ibrahim & Boutahar, Mohamed, 2003. "Erratum to "Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density" [Economics Letters," Economics Letters, Elsevier, Elsevier, vol. 78(2), pages 293-293, February.
  27. J. Jouini & M. Boutahar, 2003. "Structural breaks in the U.S. inflation process: a further investigation," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(15), pages 985-988.
  28. Mohamed Boutahar, 2002. "General Autoregressive Models with Long-Memory Noise," Statistical Inference for Stochastic Processes, Springer, Springer, vol. 5(3), pages 321-333, October.
  29. Mohamed Boutahar & Claude Deniau, 1996. "Least squares estimator for regression models with some deterministic time varying parameters," Metrika, Springer, Springer, vol. 43(1), pages 57-67, December.
  30. Mohamed Boutahar & Claude Deniau, 1995. "A proof of asymptotic normality for some VARX models," Metrika, Springer, Springer, vol. 42(1), pages 331-339, December.

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2010-04-24
  2. NEP-ECM: Econometrics (4) 2010-04-24 2011-03-12 2011-06-04 2012-10-13. Author is listed
  3. NEP-ETS: Econometric Time Series (3) 2010-04-24 2011-03-12 2011-06-04. Author is listed
  4. NEP-FOR: Forecasting (1) 2012-10-13
  5. NEP-ORE: Operations Research (1) 2011-06-04
  6. NEP-RMG: Risk Management (2) 2011-07-13 2012-10-13. Author is listed

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