Details about Frédérique Bec

Access statistics for papers by Frédérique Bec.

Last updated 2009-11-19. Update your information in the RePEc Author Service.

Short-id: pbe92

Working Papers

2009

1. Assets Returns Volatility and Investment Horizon: The French Case
   CESifo Working Paper Series, CESifo Group Munich
   Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2008)
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2008) View citations
2. Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
   CIRANO Working Papers, CIRANO
   Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2004) View citations
3. Term Structure and Cyclicity of Value-at-Risk: Consequences for the Solvency Capital Requirement
   CESifo Working Paper Series, CESifo Group Munich

2008

4. Federal Funds Rate Stationarity: New Evidence
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise
5. The ACR model: a multivariate dynamic mixture autoregression
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise View citations
   See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)

2006

6. Real exchange rates and real interest rates: a nonlinear perspective
   Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations
   Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1999) View citations
   Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1999) View citations
   See also Journal Article in Recherches économiques de Louvain (2006)

2005

7. The Autoregressive Conditional Root (ACR) Model
   Working Papers, Centre de Recherche en Economie et Statistique
8. The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change ?
   Working Papers, Centre de Recherche en Economie et Statistique
   See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2007)

2002

9. Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model
   Working Papers, Centre de Recherche en Economie et Statistique View citations
   See also Journal Article in Journal of Econometrics (2008)

2000

10. Nonlinear Economic Policies: Pitfalls in the Lucas Critique Empirical Counterpart
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations

1999

11. Mondialisation, mobilite du capital et stabilite macro-economique
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1999)

1998

12. Trading Costs for Goods and PPP. A Nonlinear Alternative for Real Exchange rate Dynamics
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1998)

1992

13. La transmission internationale des fluctuations: une explication de la correlation croisee des consommations
    Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1)

Journal Articles

2008

1. Adaptive consistent unit-root tests based on autoregressive threshold model
   Journal of Econometrics, 2008, 142, (1), 94-133 View citations
   See also Working Paper (2002)
2. Purchasing power parity: A nonlinear multivariate perspective
   Economics Bulletin, 2008, 6, (39), 1-6
3. The ACR Model: A Multivariate Dynamic Mixture Autoregression
   Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 583-618 View citations
   See also Working Paper (2008)

2007

4. The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?
   Studies in Nonlinear Dynamics & Econometrics, 2007, 11, (4) View citations
   See also Working Paper (2005)

2006

5. Real exchange rates and real interest rates: a nonlinear perspective
   Recherches économiques de Louvain, 2006, 72, (2), 177-194 View citations
   See also Working Paper (2006)

2004

6. Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship
   Journal of Business & Economic Statistics, 2004, 22, 382-395 View citations
7. Vector equilibrium correction models with non-linear discontinuous adjustments
   Econometrics Journal, 2004, 7, (2), 628-651 View citations

2002

8. Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks
   Studies in Nonlinear Dynamics & Econometrics, 2002, 6, (2) View citations

1993

9. Une étude empirique des sources des fluctuations économiques dans le cadre d'un modéle à tendances communes
   Annales d'Economie et de Statistique, 1993, (30), 04