Marcel ALOY
Personal Details
First Name: | Marcel |
Middle Name: | |
Last Name: | Aloy |
Suffix: | |
RePEc Short-ID: | pal602 |
[This author has chosen not to make the email address public] | |
Affiliation
École d'Économie d'Aix-Marseille
Aix-Marseille Université
Aix-en-Provence/Marseille, Francehttp://www.amse-aixmarseille.fr/
RePEc:edi:amseafr (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Aloy, Marcel & Laly, Floris & Laurent, Sébastien & Lecourt, Christelle, 2021.
"Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs,"
LIDAM Reprints LFIN
2021021, Université catholique de Louvain, Louvain Finance (LFIN).
- Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 229-264, Springer.
- Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Post-Print hal-03103717, HAL.
- Marcel Aloy & Gilles Dufrénot & Anne Peguin-Feissolle, 2020. "Mémoire longue dans les séries financières (Chapitre 2)," Post-Print hal-03186759, HAL.
- Marcel Aloy & Gilles Dufrenot & Anne Peguin-Feissolle & Michel Aglietta, 2017. "Austérité budgétaire : remède ou poison ? La zone euro à l'épreuve de la crise," Post-Print hal-01683179, HAL.
- Marcel Aloy & Gilles de Truchis, 2015.
"Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities,"
Post-Print
hal-01410660, HAL.
- Marcel Aloy & Gilles Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 83-104, June.
- Marcel Aloy & Gilles De Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Post-Print hal-01447864, HAL.
- Marcel Aloy & Gilles Dufrénot, 2015.
"A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis,"
Post-Print
hal-01456110, HAL.
- Marcel Aloy & Gilles Dufrénot, 2015. "A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis," International Symposia in Economic Theory and Econometrics, in: Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons, volume 24, pages 419-449, Emerald Group Publishing Limited.
- Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2014. "Shift-volatility transmission in East Asian equity markets: new indicators," Post-Print hal-01410782, HAL.
- Marcel Aloy & Gilles Dufrénot & Anne Péguin-Feissolle, 2014.
"Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II,"
Post-Print
hal-01463920, HAL.
- Marcel Aloy & Gilles Dufr鮯t & Anne P駵in-Feissolle, 2014. "Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II," Applied Economics, Taylor & Francis Journals, vol. 46(6), pages 629-637, February.
- Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2014.
"Shift-Volatility Transmission in East Asian Equity Markets,"
AMSE Working Papers
1402, Aix-Marseille School of Economics, France, revised Mar 2014.
- Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2013. "Shift-Volatility Transmission in East Asian Equity Markets," Working Papers halshs-00935364, HAL.
- Marcel Aloy & Boutahar Mohamed & Karine Gente & Anne Peguin-Feissolle, 2013.
"Long-run relationships between international stock prices: further evidence from fractional cointegration tests,"
Post-Print
hal-00743767, HAL.
- Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne P駵in-Feissolle, 2013. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Applied Economics, Taylor & Francis Journals, vol. 45(7), pages 817-828, March.
- 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.
- Marcel Aloy & Gilles de Truchis, 2013.
"Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems,"
AMSE Working Papers
1353, Aix-Marseille School of Economics, France, revised 29 Oct 2013.
- Marcel Aloy & Gilles de Truchis, 2013. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems," Working Papers halshs-00879522, HAL.
- Marcel Aloy & Gilles de Truchis, 2012.
"Estimation and Testing for Fractional Cointegration,"
AMSE Working Papers
1215, Aix-Marseille School of Economics, France.
- Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," Working Papers halshs-00793206, HAL.
- Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012.
"A Smooth Transition Long-Memory Model,"
AMSE Working Papers
1240, Aix-Marseille School of Economics, France, revised Dec 2012.
- Aloy Marcel & Tong Charles Lai & Peguin-Feissolle Anne & Dufrénot Gilles, 2013. "A smooth transition long-memory model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 281-296, May.
- Marcel Aloy & Gilles Dufrénot & Charles Lai-Tong & Anne Peguin-Feissolle, 2013. "A smooth transition long-memory model," Post-Print hal-01498270, HAL.
- Marcel Aloy & Gilles Dufrenot & Charles Lai-Tong & Anne Peguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," Working Papers halshs-00793680, HAL.
- 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.
- 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, vol. 28(3), pages 1279-1290, May.
- Aloy M. & Moreno B. & Nancy G., 2010. "Does Fiscal Policy Matter in a Currency Board Regime? The Case of Argentina," EcoMod2003 330700005, EcoMod.
- 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.
- 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.
- Aloy, Marcel & Moreno-Dodson, Blanca & Nancy, Gilles, 2008. "Intertemporal adjustment and fiscal policy under a fixed exchange rate regime," Policy Research Working Paper Series 4607, The World Bank.
- G. NANCY & M. ALOY & Ph. GILLES & L. GONÇALVES, 1993. "Cycles de change et choix d'investissement en incertitude," Discussion Papers (REL - Recherches Economiques de Louvain) 1993021, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
Articles
- Marcel Aloy & Gilles Truchis, 2016.
"Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities,"
Computational Economics, Springer;Society for Computational Economics, vol. 48(1), pages 83-104, June.
- Marcel Aloy & Gilles de Truchis, 2015. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Post-Print hal-01410660, HAL.
- Marcel Aloy & Gilles De Truchis, 2016. "Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities," Post-Print hal-01447864, HAL.
- Marcel Aloy & Gilles Dufr鮯t & Anne P駵in-Feissolle, 2014.
"Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II,"
Applied Economics, Taylor & Francis Journals, vol. 46(6), pages 629-637, February.
- Marcel Aloy & Gilles Dufrénot & Anne Péguin-Feissolle, 2014. "Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II," Post-Print hal-01463920, HAL.
- Aloy Marcel & Tong Charles Lai & Peguin-Feissolle Anne & Dufrénot Gilles, 2013.
"A smooth transition long-memory model,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 281-296, May.
- Marcel Aloy & Gilles Dufrénot & Charles Lai-Tong & Anne Peguin-Feissolle, 2013. "A smooth transition long-memory model," Post-Print hal-01498270, HAL.
- Marcel Aloy & Gilles Dufrenot & Charles Lai-Tong & Anne Peguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," Working Papers halshs-00793680, HAL.
- Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," AMSE Working Papers 1240, Aix-Marseille School of Economics, France, revised Dec 2012.
- Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne P駵in-Feissolle, 2013.
"Long-run relationships between international stock prices: further evidence from fractional cointegration tests,"
Applied Economics, Taylor & Francis Journals, vol. 45(7), pages 817-828, March.
- 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.
- Marcel Aloy & Boutahar Mohamed & Karine Gente & Anne Peguin-Feissolle, 2013. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Post-Print hal-00743767, HAL.
- 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, vol. 28(3), pages 1279-1290, May.
- 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.
- 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.
- 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.
- Aloy, Marcel & Gente, Karine, 2009. "The role of demography in the long-run Yen/USD real exchange rate appreciation," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 654-667, December.
Chapters
- Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021.
"Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs,"
Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 229-264,
Springer.
- Marcel Aloy & Floris Laly & Sébastien Laurent & Christelle Lecourt, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," Post-Print hal-03103717, HAL.
- Aloy, Marcel & Laly, Floris & Laurent, Sébastien & Lecourt, Christelle, 2021. "Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs," LIDAM Reprints LFIN 2021021, Université catholique de Louvain, Louvain Finance (LFIN).
- Marcel Aloy & Gilles Dufrénot, 2015.
"A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis,"
International Symposia in Economic Theory and Econometrics, in: Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons, volume 24, pages 419-449,
Emerald Group Publishing Limited.
- Marcel Aloy & Gilles Dufrénot, 2015. "A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis," Post-Print hal-01456110, HAL.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Marcel Aloy & Gilles Dufrénot, 2015.
"A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis,"
Post-Print
hal-01456110, HAL.
- Marcel Aloy & Gilles Dufrénot, 2015. "A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis," International Symposia in Economic Theory and Econometrics, in: Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons, volume 24, pages 419-449, Emerald Group Publishing Limited.
Cited by:
- Arnold, Ivo J.M. & Soederhuizen, Beau, 2018. "The missing spillover of base expansion into monetary aggregates: Is there a puzzle?," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 64-76.
- Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2014.
"Shift-volatility transmission in East Asian equity markets: new indicators,"
Post-Print
hal-01410782, HAL.
Cited by:
- Keddad, Benjamin, 2016.
"How do the Renminbi and other East Asian currencies co-move?,"
MPRA Paper
83782, University Library of Munich, Germany.
- Keddad, Benjamin, 2019. "How do the Renminbi and other East Asian currencies co-move?," Journal of International Money and Finance, Elsevier, vol. 91(C), pages 49-70.
- Keddad, Benjamin & Schalck, Christophe, 2020. "Evaluating sovereign risk spillovers on domestic banks during the European debt crisis," Economic Modelling, Elsevier, vol. 88(C), pages 356-375.
- Gilles de Truchis & Benjamin Keddad, 2016.
"Long-Run Comovements in East Asian Stock Market Volatility,"
Post-Print
hal-01549713, HAL.
- Gilles Truchis & Benjamin Keddad, 2016. "Long-Run Comovements in East Asian Stock Market Volatility," Open Economies Review, Springer, vol. 27(5), pages 969-986, November.
- Keddad, Benjamin, 2016.
"How do the Renminbi and other East Asian currencies co-move?,"
MPRA Paper
83782, University Library of Munich, Germany.
- Marcel Aloy & Gilles Dufrénot & Anne Péguin-Feissolle, 2014.
"Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II,"
Post-Print
hal-01463920, HAL.
- Marcel Aloy & Gilles Dufr鮯t & Anne P駵in-Feissolle, 2014. "Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II," Applied Economics, Taylor & Francis Journals, vol. 46(6), pages 629-637, February.
Cited by:
- Carmen M. Reinhart & M. Belen Sbrancia1, 2015.
"The liquidation of government debt,"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 30(82), pages 291-333.
- Carmen M. Reinhart & M. Belen Sbrancia, 2011. "The Liquidation of Government Debt," NBER Working Papers 16893, National Bureau of Economic Research, Inc.
- Carmen M. Reinhart & M. Belen Sbrancia, 2011. "The Liquidation of Government Debt," Working Paper Series WP11-10, Peterson Institute for International Economics.
- Ms. Carmen Reinhart & M. Belen Sbrancia, 2015. "The Liquidation of Government Debt," IMF Working Papers 2015/007, International Monetary Fund.
- Carmen M. Reinhart & M. Belen Sbrancia, 2011. "The Liquidation of Government Debt," BIS Working Papers 363, Bank for International Settlements.
- Norkina, O. & Pekarski, S., 2015. "Nonmarket Debt Placement As Financial Repression," Journal of the New Economic Association, New Economic Association, vol. 28(4), pages 31-55.
- van Riet, Ad, 2018. "Modern financial repression in the euro area crisis: making high public debt sustainable?," MPRA Paper 92649, University Library of Munich, Germany.
- Pierre Aldama & Jérôme Creel, 2016.
"Why fiscal regimes matter for fiscal sustainability analysis: an application to France,"
Working Papers
hal-03459336, HAL.
- Aldama Pierre & Jérôme Creel, 2016. "Why fiscal regimes matter for fiscal sustainability analysis : an application to France," Documents de Travail de l'OFCE 2016-15, Observatoire Francais des Conjonctures Economiques (OFCE).
- Pierre Aldama & Jérôme Creel, 2016. "Why fiscal regimes matter for fiscal sustainability analysis: an application to France," SciencePo Working papers Main hal-03459336, HAL.
- pierre Aldama & Jérôme Creel, 2016. "Why fiscal regimes matter for fiscal sustainability analysis: an application to France," Sciences Po publications 2016-15, Sciences Po.
- Magazzino, Cosimo & Brady, Gordon L. & Forte, Francesco, 2019. "A panel data analysis of the fiscal sustainability of G-7 countries," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
- Pandey, Dharen Kumar & Lucey, Brian M. & Kumar, Satish, 2023. "Border disputes, conflicts, war, and financial markets research: A systematic review," Research in International Business and Finance, Elsevier, vol. 65(C).
- Olga A. Norkina & Sergey E. Pekarski, 2014. "Optimal Financial Repression," HSE Working papers WP BRP 81/EC/2014, National Research University Higher School of Economics.
- Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2014.
"Shift-Volatility Transmission in East Asian Equity Markets,"
AMSE Working Papers
1402, Aix-Marseille School of Economics, France, revised Mar 2014.
- Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2013. "Shift-Volatility Transmission in East Asian Equity Markets," Working Papers halshs-00935364, HAL.
Cited by:
- Keddad, Benjamin, 2016.
"How do the Renminbi and other East Asian currencies co-move?,"
MPRA Paper
83782, University Library of Munich, Germany.
- Keddad, Benjamin, 2019. "How do the Renminbi and other East Asian currencies co-move?," Journal of International Money and Finance, Elsevier, vol. 91(C), pages 49-70.
- Gilles de Truchis & Benjamin Keddad, 2016.
"Long-Run Comovements in East Asian Stock Market Volatility,"
Post-Print
hal-01549713, HAL.
- Gilles Truchis & Benjamin Keddad, 2016. "Long-Run Comovements in East Asian Stock Market Volatility," Open Economies Review, Springer, vol. 27(5), pages 969-986, November.
- Marcel Aloy & Boutahar Mohamed & Karine Gente & Anne Peguin-Feissolle, 2013.
"Long-run relationships between international stock prices: further evidence from fractional cointegration tests,"
Post-Print
hal-00743767, HAL.
- Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne P駵in-Feissolle, 2013. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Applied Economics, Taylor & Francis Journals, vol. 45(7), pages 817-828, March.
- 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.
Cited by:
- Narayan, Seema & Ur Rehman, Mobeen, 2017. "Diversification opportunities between emerging and frontier Asian (EFA) and developed stock markets," Finance Research Letters, Elsevier, vol. 23(C), pages 223-232.
- Ahmad, Nasir & Rehman, Mobeen Ur & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Does inter-region portfolio diversification pay more than the international diversification?," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 26-35.
- Marcel Aloy & Gilles de Truchis, 2012.
"Estimation and Testing for Fractional Cointegration,"
AMSE Working Papers
1215, Aix-Marseille School of Economics, France.
- Marcel Aloy & Gilles de Truchis, 2012. "Estimation and Testing for Fractional Cointegration," Working Papers halshs-00793206, HAL.
Cited by:
- Canarella, Giorgio & Miller, Stephen M., 2017. "Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration," Journal of Economics and Business, Elsevier, vol. 92(C), pages 45-62.
- Giorgio Canarella & Stephen M. Miller, 2016. "Inflation Targeting: New Evidence from Fractional Integration and Cointegration," Working papers 2016-08, University of Connecticut, Department of Economics.
- Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012.
"A Smooth Transition Long-Memory Model,"
AMSE Working Papers
1240, Aix-Marseille School of Economics, France, revised Dec 2012.
- Aloy Marcel & Tong Charles Lai & Peguin-Feissolle Anne & Dufrénot Gilles, 2013. "A smooth transition long-memory model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 281-296, May.
- Marcel Aloy & Gilles Dufrénot & Charles Lai-Tong & Anne Peguin-Feissolle, 2013. "A smooth transition long-memory model," Post-Print hal-01498270, HAL.
- Marcel Aloy & Gilles Dufrenot & Charles Lai-Tong & Anne Peguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," Working Papers halshs-00793680, HAL.
Cited by:
- Massimiliano Caporin & Rangan Gupta, 2014.
"Time-Varying Persistence in US Inflation,"
Working Papers
201457, University of Pretoria, Department of Economics.
- Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
- Boubaker Heni & Canarella Giorgio & Miller Stephen M. & Gupta Rangan, 2017.
"Time-varying persistence of inflation: evidence from a wavelet-based approach,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016. "Time-Varying Persistence of Inflation: Evidence from a Wavelet-based Approach," Working papers 2016-09, University of Connecticut, Department of Economics.
- Heni Boubaker & Giorgio Canarella & Rangan Gupta & Stephen M. Miller, 2016. "Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach," Working Papers 201647, University of Pretoria, Department of Economics.
- Biswajit Patra & Puja Padhi, 2015. "Backtesting of Value at Risk Methodology: Analysis of Banking Shares in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 9(3), pages 254-277, August.
- Boubaker Heni, 2018. "A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter," Journal of Time Series Econometrics, De Gruyter, vol. 10(1), pages 1-20, January.
- 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.
- 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, vol. 28(3), pages 1279-1290, May.
Cited by:
- José Manuel Belbute & Alfredo Marvão Pereira, 2016.
"Does final energy demand in Portugal exhibit long memory? A fractional integration analysis,"
Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 15(2), pages 59-77, August.
- José M. Belbute & Alfredo Marvão Pereira, 2015. "Does Final Energy Demand in Portugal Exhibit Long Memory? A Fractional Integration Analysis," Working Papers 163, Department of Economics, College of William and Mary.
- Slim Chaouachi & Zied Ftiti & Frederic Teulon, 2014. "Explaining the Tunisian Real Exchange: Long Memory versus Structural Breaks," Working Papers 2014-147, Department of Research, Ipag Business School.
- Zied Ftiti & Slim Chaouachi, 2018. "What Can We Learn About the Real Exchange Rate Behavior in the Case of a Peripheral Country?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(3), pages 681-707, September.
- Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements," International Review of Economics & Finance, Elsevier, vol. 30(C), pages 101-119.
- Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018.
"Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks,"
Post-Print
hal-01982032, HAL.
- Abderrazak Ben Maatoug & Rim Lamouchi & Russell Davidson & Ibrahim Fatnassi, 2018. "Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 10(1), pages 1-25, March.
- Long Hai Vo & Duc Hong Vo, 2020. "Modelling Australian Dollar Volatility at Multiple Horizons with High-Frequency Data," Risks, MDPI, vol. 8(3), pages 1-16, August.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013.
"Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate,"
Discussion Papers of DIW Berlin
1294, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Luis A. Gil-Alana, 2013. "Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate," CESifo Working Paper Series 4224, CESifo.
- Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2013. "Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 1-9.
- Oladunjoye Opeyemi Nathaniel, 2019. "Validity of Purchasing Power Parity (PPP) Hypothesis in the Ecowas (1980–2017)," Emerging Economy Studies, International Management Institute, vol. 5(2), pages 141-156, November.
- Mehmet DINÇ & Mustafa GÖMLEKSIZ2 & Özlem Gül DINÇ, 2022. "What Is New About the PPP Theory in the Nordic Countries? Evidence from Panel Unit Root Tests with Sharp Breaks and Gradual Shifts," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 165-186, April.
- Aloy M. & Moreno B. & Nancy G., 2010.
"Does Fiscal Policy Matter in a Currency Board Regime? The Case of Argentina,"
EcoMod2003
330700005, EcoMod.
Cited by:
- Oliver Grimm, 2007. "Fiscal Discipline and Stability under Currency Board Systems," CER-ETH Economics working paper series 07/66, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
- 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.
- 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.
Cited by:
- Kenneth D. West, 2012.
"Econometric Analysis of Present Value Models When the Discount Factor Is near One,"
NBER Working Papers
18247, National Bureau of Economic Research, Inc.
- West, Kenneth D., 2012. "Econometric analysis of present value models when the discount factor is near one," Journal of Econometrics, Elsevier, vol. 171(1), pages 86-97.
Articles
- Marcel Aloy & Gilles Dufr鮯t & Anne P駵in-Feissolle, 2014.
"Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II,"
Applied Economics, Taylor & Francis Journals, vol. 46(6), pages 629-637, February.
See citations under working paper version above.
- Marcel Aloy & Gilles Dufrénot & Anne Péguin-Feissolle, 2014. "Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II," Post-Print hal-01463920, HAL.
- Aloy Marcel & Tong Charles Lai & Peguin-Feissolle Anne & Dufrénot Gilles, 2013.
"A smooth transition long-memory model,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 281-296, May.
See citations under working paper version above.
- Marcel Aloy & Gilles Dufrénot & Charles Lai-Tong & Anne Peguin-Feissolle, 2013. "A smooth transition long-memory model," Post-Print hal-01498270, HAL.
- Marcel Aloy & Gilles Dufrenot & Charles Lai-Tong & Anne Peguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," Working Papers halshs-00793680, HAL.
- Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," AMSE Working Papers 1240, Aix-Marseille School of Economics, France, revised Dec 2012.
- Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne P駵in-Feissolle, 2013.
"Long-run relationships between international stock prices: further evidence from fractional cointegration tests,"
Applied Economics, Taylor & Francis Journals, vol. 45(7), pages 817-828, March.
See citations under working paper version above.
- 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.
- Marcel Aloy & Boutahar Mohamed & Karine Gente & Anne Peguin-Feissolle, 2013. "Long-run relationships between international stock prices: further evidence from fractional cointegration tests," Post-Print hal-00743767, HAL.
- 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, vol. 28(3), pages 1279-1290, May.
See citations under working paper version above.
- 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.
- 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.
See citations under working paper version above.
- 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.
- Aloy, Marcel & Gente, Karine, 2009.
"The role of demography in the long-run Yen/USD real exchange rate appreciation,"
Journal of Macroeconomics, Elsevier, vol. 31(4), pages 654-667, December.
Cited by:
- Grisse, Christian & Scheidegger, Fabian, 2021. "Covariability of real exchange rates and fundamentals," Economics Letters, Elsevier, vol. 201(C).
- Beissinger, Thomas & Hellier, Joël & Marczak, Martyna, 2020.
"Divergence in Labour Force Growth: Should Wages and Prices Grow Faster in Germany?,"
GLO Discussion Paper Series
620, Global Labor Organization (GLO).
- Beissinger, Thomas & Hellier, Joël & Marczak, Martyna, 2020. "Divergence in labour force growth: Should wages and prices grow faster in Germany?," Hohenheim Discussion Papers in Business, Economics and Social Sciences 09-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Beissinger, Thomas & Hellier, Joël & Marczak, Martyna, 2020. "Divergence in Labour Force Growth: Should Wages and Prices Grow Faster in Germany?," IZA Discussion Papers 13538, Institute of Labor Economics (IZA).
- Max Groneck & Christoph Kaufmann, 2017. "Determinants of Relative Sectoral Prices: The Role of Demographic Change," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(3), pages 319-347, June.
- Rod Tyers & Ying Zhang, 2011.
"Japan's Economic Recovery: Insights from Multi-Region Dynamics,"
Economics Discussion / Working Papers
11-13, The University of Western Australia, Department of Economics.
- Rod Tyers & Ying Zhang, 2011. "Japan’s Economic Recovery: Insights from Multi-Region Dynamics," CAMA Working Papers 2011-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Rod Tyers, 2012.
"Japanese Economic Stagnation: Causes and Global Implications,"
The Economic Record, The Economic Society of Australia, vol. 88(283), pages 517-536, December.
- Rod Tyers, 2011. "Japanese economic stagnation: Causes and global implications," CAMA Working Papers 2011-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Mr. Luis M. Cubeddu & Signe Krogstrup & Gustavo Adler & Mr. Pau Rabanal & Mai Dao & Mrs. Swarnali A Hannan & Luciana Juvenal & Ms. Carolina Osorio-Buitron & Cyril Rebillard & Mr. Daniel Garcia-Macia &, 2019. "The External Balance Assessment Methodology: 2018 Update," IMF Working Papers 2019/065, International Monetary Fund.
- Hoarau, Jean-François, 2009. "L’approche microéconomique du taux de change réel d’équilibre : une revue de la littérature théorique," L'Actualité Economique, Société Canadienne de Science Economique, vol. 85(4), pages 403-436, décembre.
- Claire Giordano, 2019.
"How frequent a BEER? Assessing the impact of data frequency on real exchange rate misalignment estimation,"
Questioni di Economia e Finanza (Occasional Papers)
522, Bank of Italy, Economic Research and International Relations Area.
- Claire Giordano, 2021. "How frequent a BEER? Assessing the impact of data frequency on real exchange rate misalignment estimation," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 365-404, July.
- Ghassan, Hassan B. & Alhajhoj, Hassan R. & Balli, Faruk, 2020.
"Bi-Demographic and Current Account Dynamics using SVAR Model: Evidence from Saudi Arabia,"
MPRA Paper
109772, University Library of Munich, Germany, revised Jun 2021.
- Hassan B. Ghassan & Hassan R. Alhajhoj & Faruk Balli, 2022. "Bi-demographic and current account dynamics using SVAR model: evidence from Saudi Arabia," Economic Change and Restructuring, Springer, vol. 55(3), pages 1327-1363, August.
- Rod Tyers & Ying Zhang, 2014.
"Real Exchange Rate Determination and the China Puzzle,"
Economics Discussion / Working Papers
14-19, The University of Western Australia, Department of Economics.
- Rod Tyers & Ying Zhang, 2014. "Real exchange rate determination and the China puzzle," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 28(2), pages 1-32, November.
- Kamrul Hassan & Ruhul Salim, 2011. "The linkage between relative population growth and purchasing power parity," International Journal of Development Issues, Emerald Group Publishing Limited, vol. 10(2), pages 154-169, July.
- Mr. Cian Allen & Camila Casas & Mr. Giovanni Ganelli & Luciana Juvenal & Mr. Daniel Leigh & Mr. Pau Rabanal & Cyril Rebillard & Jair Rodriguez & João Tovar Jalles, 2023. "2022 Update of the External Balance Assessment Methodology," IMF Working Papers 2023/047, International Monetary Fund.
- Xiaohui Liu & Zhihao Zhou & Jing Zhang, 2023. "Longevity, Fertility, and the Real Exchange Rate," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 31(2), pages 26-57, March.
Chapters
- Marcel Aloy & Gilles Dufrénot, 2015.
"A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis,"
International Symposia in Economic Theory and Econometrics, in: Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons, volume 24, pages 419-449,
Emerald Group Publishing Limited.
See citations under working paper version above.Sorry, no citations of chapters recorded.
- Marcel Aloy & Gilles Dufrénot, 2015. "A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis," Post-Print hal-01456110, HAL.
More information
Research fields, statistics, top rankings, if available.Statistics
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Rankings
This author is among the top 5% authors according to these criteria:Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (2) 2013-01-07 2013-11-14
- NEP-ETS: Econometric Time Series (2) 2013-01-07 2013-11-14
- NEP-CBA: Central Banking (1) 2008-09-13
- NEP-FMK: Financial Markets (1) 2014-02-02
- NEP-MAC: Macroeconomics (1) 2008-09-13
- NEP-OPM: Open Economy Macroeconomics (1) 2008-09-13
- NEP-SEA: South East Asia (1) 2014-02-02
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