Anne Péguin-Feissolle

Biographic Data

ID	5927521
NAME	Anne Péguin-Feissolle
GIVEN NAMES	Anne
FAMILY NAME	Péguin-Feissolle
SIGNATURE	PÉGUIN-FEISSOLLE A
AFFILIATIONS	Aix-Marseille Sciences Economiques
VERIFIED	No
TOTAL WORKS	21
TOTAL CITATIONS	0
AUTHOR COUNT	21
EDITOR COUNT	0
FIRST PUBLICATION YEAR	1990
LATEST PUBLICATION YEAR	2018
H-INDEX	0

Testing for misspecification in the short-run component of GARCH-type models
Thomas Chuffart, Emmanuel Flachaire et al.ARTICLEStudies in Nonlinear Dynamics and…2018
In this article, a misspecification test in conditional volatility and GARCH-type models is presented. We propose a Lagrange Multiplier type test based on a Taylor expansion to distinguish between (G)ARCH models and unknown GARCH-type models. This new test can be seen as a general misspecification test of a large set of GARCH-type univariate models. It focuses on the short-term component of the volatility. We investigate the size and the power of…
Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models
Anne Péguin-Feissolle, Anne Péguin-Feissolle Anne Péguin-Feissolle et al.ARTICLEAnnals of Economics and Statistics2016
Anne Péguin-Feissolle, Bilel Sanhaji, Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models, Annals of Economics and Statistics, No. 123/124, SPECIAL ISSUE ON RECENT DEVELOPMENTS IN FINANCIAL ECONOMETRICS (December 2016), pp. 77-101
A smooth transition long-memory model
Marcel Aloy, Gilles Dufrénot et al.ARTICLERePEc: Research Papers in Economics2013
This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present an LR-Based test that allows to discriminate between the standard fractional model and our model. We further apply a nonlinear least squares estimation method to estimate the long-memory parameter. We present an application to the unemployment rate in the Un…
Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II
Marcel Aloy, Gilles Dufrénot et al.ARTICLEApplied Economics2013
This article contributes to the recent empirical literature on financial repression and focuses on the French case since the end of World War II. We find that the fiscal adjustment needed to lower the debt ratio has been smaller during the years of financial repression in comparison with those of liberalized financial markets. This was possible because the real interest rates were low. We conduct a counterfactual analysis to see whether the vulne…
Purchasing power parity and the long memory properties of real exchange rates
Open AccessMarcel Aloy, Mohamed Boutahar et al.ARTICLEEconomic Modelling2011
Long-run relationships between international stock prices
Marcel Aloy, Mohamed Boutahar et al.ARTICLEApplied Economics2011
The recent empirical literature supports the view that most of the international stock prices are not pairwise cointegrated. However, by using fractional cointegration techniques, this article shows that France, Germany, Hong Kong and Japan's stock prices indices are pairwise fractionally cointegrated with US stock prices. Equilibrium errors are mean reverting with half-life lying between 2 and 12 days. It is worthwhile noting that emerging marke…
The effects of the subprime crisis on the Latin American financial markets
Open AccessGilles Dufrénot, Valérie Mignon et al.ARTICLEEconomic Modelling2011
Les effets de la crise des subprimes sur le marché financier mexicain
Gilles Dufrénot, Valérie Mignon et al.ARTICLERevue économique2011
L’objet de cet article est de répondre à la question suivante : dans quelle mesure le fort accroissement constaté de la volatilité sur le marché financier mexicain, suite à la crise de 2007-2008, peut-il s’expliquer par la dégradation de l’environnement financier sur les marchés américains ? À cette fin, nous recourons à un modèle à changement de régime avec probabilités de transition variables dans lequel les périodes de crise et de calme sont i…
Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
Open AccessAnne Péguin-Feissolle, Birgit Strikholm et al.ARTICLESSRN Electronic Journal2008
A fractionally integrated exponential STAR model applied to the US real effective exchange rate
Open AccessMohamed Boutahar, Imène Mootamri et al.ARTICLEEconomic Modelling2008
Persistent misalignments of the European exchange rates
Gilles Dufrénot, Laurent Mathieu et al.ARTICLEApplied Economics2006
The asymmetric and persistent adjustment of the European real exchange rates is investigated using the framework of non-linear cointegration. The episodes of slow mean-reversion dynamics over the period from 1979 to 1999 are explained. A test of unit root against STAR cointegration is proposed and some complete estimations and stochastic simulations of ESTAR models are presented. The presence of effective non-linear adjustment during the moving o…
Modeling the volatility of the US SαP 500 index using an LSTGARCH model
Gilles Dufrénot, Vêlayoudom Marimoutou et al.ARTICLERevue d économie politique2004
Modélisation de la volatilité de l’indice américain SαP 500 par un modèle LSTGARCH Cet article propose une modélisation empirique de la volatilité de l’indice SαP 500 américain à l’aide de modèles GARCH à transition douce. Dans ces modèles, la volatilité est décrite par des changements de régimes à l’aide de variables dont la dynamique gouverne des effets de seuil. Nous appliquons un test permettant de discriminer entre des effets GARCH habituels…
Modelling squared returns using a Setar model with long-memory dynamics
Open AccessGilles Dufrénot, Dominique Guégan et al.ARTICLEEconomics Letters2004
Cointegration entre les taux de change et les fondamentaux
Gilles Dufrénot, Sandrine Lardic et al.ARTICLERevue économique2004References: 1
International audience
Coïntégration entre les taux de change et les fondamentaux
Gilles Dufrénot, Sandrine Lardic et al.ARTICLERevue économique2004References: 2
National audience
Business cycles asymmetry and monetary policy
Open AccessGilles Dufrénot, Valérie Mignon et al.ARTICLEEconomic Modelling2003
A comparison of the power of some tests for conditional heteroscedasticity
Open AccessAnne Péguin-FeissolleARTICLEEconomics Letters1999
Bayesian estimation and forecasting in non-linear models application to an LSTAR model
Open AccessAnne Péguin-FeissolleARTICLEEconomics Letters1994
Protection tarifaire, brevets, et diffusion internationale de la connaissance
Anne Péguin-Feissolle, Denis PéguinARTICLERevue économique1993
Protection tarifaire, brevets et diffusion internationale de la connaissance
Denis Péguin, Anne Péguin-FeissolleARTICLERevue économique1993
Peguin-Feissolle Anne, Péguin Denis. Protection tarifaire, brevets et diffusion internationale de la connaissance : croissance et dynamique de court terme aux États-Unis de 1889 à 1985. In: Revue économique, volume 44, n°2, 1993. pp. 369-388.
Prévision bayésienne et structure par terme des taux d'intérêt
Open AccessAnne Péguin-Feissolle, Charles Lai Tong et al.ARTICLERevue économique1990
Prévision bayésienne et structure par terme des taux d'intérêt Cet article s'efforce d'approcher de manière originale les anticipations des agents concernant le taux long futur et sa volatilité, variables clés dans l'équation de détermination du taux long issue de la théorie des choix de portefeuille. D'une part, il est supposé que les agents forment leurs prévisions sur la base d'un modèle particulier, appelé modèle mental, qui représente l'idée…

Prévision bayésienne et structure par terme des taux d'intérêt
Open AccessAnne Péguin-Feissolle, Charles Lai Tong et al.ARTICLERevue économique1990
Prévision bayésienne et structure par terme des taux d'intérêt Cet article s'efforce d'approcher de manière originale les anticipations des agents concernant le taux long futur et sa volatilité, variables clés dans l'équation de détermination du taux long issue de la théorie des choix de portefeuille. D'une part, il est supposé que les agents forment leurs prévisions sur la base d'un modèle particulier, appelé modèle mental, qui représente l'idée…
Protection tarifaire, brevets, et diffusion internationale de la connaissance
Anne Péguin-Feissolle, Denis PéguinARTICLERevue économique1993
Protection tarifaire, brevets et diffusion internationale de la connaissance
Denis Péguin, Anne Péguin-FeissolleARTICLERevue économique1993
Peguin-Feissolle Anne, Péguin Denis. Protection tarifaire, brevets et diffusion internationale de la connaissance : croissance et dynamique de court terme aux États-Unis de 1889 à 1985. In: Revue économique, volume 44, n°2, 1993. pp. 369-388.
Bayesian estimation and forecasting in non-linear models application to an LSTAR model
Open AccessAnne Péguin-FeissolleARTICLEEconomics Letters1994
A comparison of the power of some tests for conditional heteroscedasticity
Open AccessAnne Péguin-FeissolleARTICLEEconomics Letters1999
Business cycles asymmetry and monetary policy
Open AccessGilles Dufrénot, Valérie Mignon et al.ARTICLEEconomic Modelling2003
Modeling the volatility of the US SαP 500 index using an LSTGARCH model
Gilles Dufrénot, Vêlayoudom Marimoutou et al.ARTICLERevue d économie politique2004
Modélisation de la volatilité de l’indice américain SαP 500 par un modèle LSTGARCH Cet article propose une modélisation empirique de la volatilité de l’indice SαP 500 américain à l’aide de modèles GARCH à transition douce. Dans ces modèles, la volatilité est décrite par des changements de régimes à l’aide de variables dont la dynamique gouverne des effets de seuil. Nous appliquons un test permettant de discriminer entre des effets GARCH habituels…
Modelling squared returns using a Setar model with long-memory dynamics
Open AccessGilles Dufrénot, Dominique Guégan et al.ARTICLEEconomics Letters2004
Cointegration entre les taux de change et les fondamentaux
Gilles Dufrénot, Sandrine Lardic et al.ARTICLERevue économique2004References: 1
International audience
Coïntégration entre les taux de change et les fondamentaux
Gilles Dufrénot, Sandrine Lardic et al.ARTICLERevue économique2004References: 2
National audience
Persistent misalignments of the European exchange rates
Gilles Dufrénot, Laurent Mathieu et al.ARTICLEApplied Economics2006
The asymmetric and persistent adjustment of the European real exchange rates is investigated using the framework of non-linear cointegration. The episodes of slow mean-reversion dynamics over the period from 1979 to 1999 are explained. A test of unit root against STAR cointegration is proposed and some complete estimations and stochastic simulations of ESTAR models are presented. The presence of effective non-linear adjustment during the moving o…
Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
Open AccessAnne Péguin-Feissolle, Birgit Strikholm et al.ARTICLESSRN Electronic Journal2008
A fractionally integrated exponential STAR model applied to the US real effective exchange rate
Open AccessMohamed Boutahar, Imène Mootamri et al.ARTICLEEconomic Modelling2008
Purchasing power parity and the long memory properties of real exchange rates
Open AccessMarcel Aloy, Mohamed Boutahar et al.ARTICLEEconomic Modelling2011
Long-run relationships between international stock prices
Marcel Aloy, Mohamed Boutahar et al.ARTICLEApplied Economics2011
The recent empirical literature supports the view that most of the international stock prices are not pairwise cointegrated. However, by using fractional cointegration techniques, this article shows that France, Germany, Hong Kong and Japan's stock prices indices are pairwise fractionally cointegrated with US stock prices. Equilibrium errors are mean reverting with half-life lying between 2 and 12 days. It is worthwhile noting that emerging marke…
The effects of the subprime crisis on the Latin American financial markets
Open AccessGilles Dufrénot, Valérie Mignon et al.ARTICLEEconomic Modelling2011
Les effets de la crise des subprimes sur le marché financier mexicain
Gilles Dufrénot, Valérie Mignon et al.ARTICLERevue économique2011
L’objet de cet article est de répondre à la question suivante : dans quelle mesure le fort accroissement constaté de la volatilité sur le marché financier mexicain, suite à la crise de 2007-2008, peut-il s’expliquer par la dégradation de l’environnement financier sur les marchés américains ? À cette fin, nous recourons à un modèle à changement de régime avec probabilités de transition variables dans lequel les périodes de crise et de calme sont i…
A smooth transition long-memory model
Marcel Aloy, Gilles Dufrénot et al.ARTICLERePEc: Research Papers in Economics2013
This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present an LR-Based test that allows to discriminate between the standard fractional model and our model. We further apply a nonlinear least squares estimation method to estimate the long-memory parameter. We present an application to the unemployment rate in the Un…
Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II
Marcel Aloy, Gilles Dufrénot et al.ARTICLEApplied Economics2013
This article contributes to the recent empirical literature on financial repression and focuses on the French case since the end of World War II. We find that the fiscal adjustment needed to lower the debt ratio has been smaller during the years of financial repression in comparison with those of liberalized financial markets. This was possible because the real interest rates were low. We conduct a counterfactual analysis to see whether the vulne…
Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models
Anne Péguin-Feissolle, Anne Péguin-Feissolle Anne Péguin-Feissolle et al.ARTICLEAnnals of Economics and Statistics2016
Anne Péguin-Feissolle, Bilel Sanhaji, Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models, Annals of Economics and Statistics, No. 123/124, SPECIAL ISSUE ON RECENT DEVELOPMENTS IN FINANCIAL ECONOMETRICS (December 2016), pp. 77-101
Testing for misspecification in the short-run component of GARCH-type models
Thomas Chuffart, Emmanuel Flachaire et al.ARTICLEStudies in Nonlinear Dynamics and…2018
In this article, a misspecification test in conditional volatility and GARCH-type models is presented. We propose a Lagrange Multiplier type test based on a Taylor expansion to distinguish between (G)ARCH models and unknown GARCH-type models. This new test can be seen as a general misspecification test of a large set of GARCH-type univariate models. It focuses on the short-term component of the volatility. We investigate the size and the power of…