Mohamed Boutahar
Biographic Data
| ID | 8759446 |
|---|---|
| NAME | Mohamed Boutahar |
| GIVEN NAMES | Mohamed |
| FAMILY NAME | Boutahar |
| SIGNATURE | BOUTAHAR M |
| AFFILIATIONS | GREQAM, CNRS, Centre de la Charité, Université de la Méditerranée , 2 rue de la Charite, 13236 Marseille, cedex 02, France |
| VERIFIED | No |
| TOTAL WORKS | 7 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 7 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2003 |
| LATEST PUBLICATION YEAR | 2011 |
| H-INDEX | 0 |
Purchasing power parity and the long memory properties of real exchange rates
Long-run relationships between international stock prices
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…
A fractionally integrated exponential STAR model applied to the US real effective exchange rate
Detecting multiple breaks in time series covariance structure
National audience
Evidence on structural changes in U.S. time series
Bai and Perron's and spectral density methods for structural change detection in the US inflation process
This paper addresses the issue of estimating the number of breaks and their locations in the monthly US inflation series using two different approaches to testing for structural changes. The first approach considers Bai and Perron's selection procedure based on a sequence of tests. This approach focuses on the instability problem in time. The second method uses a test similar to the one based on Kolmogorov–Smirnov statistics applied to the evolut…
Structural breaks in the U.S. inflation process
The selection procedure of Bai and Perron (Econometrica, 1998, 66, 47–78), based on a sequence of tests for multiple structural changes, is used to explore the empirical evidence of the instability by selecting the number of breaks and their locations for the post-war monthly U.S. inflation rate. The obtained results indicate that the U.S. inflation process is unstable after June 1982 as there is a break at the beginning of the 1990s. This conclu…
No prominent works on this page.
Structural breaks in the U.S. inflation process
The selection procedure of Bai and Perron (Econometrica, 1998, 66, 47–78), based on a sequence of tests for multiple structural changes, is used to explore the empirical evidence of the instability by selecting the number of breaks and their locations for the post-war monthly U.S. inflation rate. The obtained results indicate that the U.S. inflation process is unstable after June 1982 as there is a break at the beginning of the 1990s. This conclu…
Detecting multiple breaks in time series covariance structure
National audience
Evidence on structural changes in U.S. time series
Bai and Perron's and spectral density methods for structural change detection in the US inflation process
This paper addresses the issue of estimating the number of breaks and their locations in the monthly US inflation series using two different approaches to testing for structural changes. The first approach considers Bai and Perron's selection procedure based on a sequence of tests. This approach focuses on the instability problem in time. The second method uses a test similar to the one based on Kolmogorov–Smirnov statistics applied to the evolut…
A fractionally integrated exponential STAR model applied to the US real effective exchange rate
Purchasing power parity and the long memory properties of real exchange rates
Long-run relationships between international stock prices
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…
Econometrics (7 works) · Economics (7 works) · Market Dynamics and Volatility (6 works) · Monetary Policy and Economic Impact (6 works) · Complex Systems and Time Series Analysis (5 works) · Mathematics (5 works) · Physics (4 works) · Statistics (4 works) · Computer Science (3 works) · Structural break (3 works)