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Details about Frédérique Bec

E-mail:
Homepage:http://www.crest.fr/pageperso/bec/bec_en.htm
Workplace:Centre de Recherche en Économie et Statistique (CREST) (Research Center for Economics and Statistics), Institut National de la Statistique et des Études Économiques (INSEE) (National Institute of Statistics and Economic Studies), Government of France, (more information at EDIRC)
Théorie Économique, Modélisation, Application (THEMA) (Economic Theory, Modeling, Applications), Université de Cergy-Pontoise, (more information at EDIRC)

Access statistics for papers by Frédérique Bec.

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

Short-id: pbe92


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Working Papers

2009

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

2008

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

2006

  1. 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) Downloads 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

  1. The Autoregressive Conditional Root (ACR) Model
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  2. 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 Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2007)

2002

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

2000

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

1999

  1. 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

  1. 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

  1. 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 Downloads View citations
    See also Working Paper (2002)
  2. Purchasing power parity: A nonlinear multivariate perspective
    Economics Bulletin, 2008, 6, (39), 1-6 Downloads
  3. The ACR Model: A Multivariate Dynamic Mixture Autoregression
    Oxford Bulletin of Economics and Statistics, 2008, 70, (5), 583-618 Downloads View citations
    See also Working Paper (2008)

2007

  1. 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) Downloads View citations
    See also Working Paper (2005)

2006

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

2004

  1. 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 Downloads View citations
  2. Vector equilibrium correction models with non-linear discontinuous adjustments
    Econometrics Journal, 2004, 7, (2), 628-651 Downloads View citations

2002

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

1993

  1. 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 Downloads
 
 
Page updated 2009-11-24