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Details about Olivier Darné

Homepage:https://sites.google.com/site/odarne/research
Postal address:IEMN-IAE Chemin de la Censive du Tertre - BP 52231 44322 Nantes France
Workplace:Institut d'Économie et de Management de Nantes (IAE) (Nantes Institute of Economics and Management), Université de Nantes (University of Nantes), (more information at EDIRC)
Laboratoire d'Économie et de Management de Nantes-Atlantique (LEMNA) (Nantes-Antlantic Economics and Management Laboratory), Institut d'Économie et de Management de Nantes (IAE) (Nantes Institute of Economics and Management), Université de Nantes (University of Nantes), (more information at EDIRC)

Access statistics for papers by Olivier Darné.

Last updated 2017-04-26. Update your information in the RePEc Author Service.

Short-id: pda93


Jump to Journal Articles

Working Papers

2016

  1. La persistance des écarts de richesse entre la Réunion et les standards français et européens: l’apport des tests de racine unitaire
    Post-Print, HAL
    Also in Post-Print, HAL (2016)
    Post-Print, HAL (2010) View citations (1)
  2. Stock Exchange Mergers and Market
    Post-Print, HAL Downloads
  3. Stock Return Predictability: Evaluation based on Prediction Intervals
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Working Papers, HAL (2016) Downloads
  4. Stock market reactions to FIFA World Cup announcements: An event study
    Post-Print, HAL Downloads
    See also Journal Article in Economics Bulletin (2016)
  5. The impact of screening strategies on the performance of ESG indices
    Working Papers, HAL Downloads

2015

  1. A new monthly chronology of the US industrial cycles in the prewar economy
    Post-Print, HAL Downloads
    Also in Post-Print, HAL (2015)
    EconomiX Working Papers, University of Paris West - Nanterre la Defense, EconomiX (2011) Downloads View citations (2)
    Working Papers, HAL (2012) Downloads
    Working Papers, Association Française de Cliométrie (AFC) (2012) Downloads View citations (1)

    See also Journal Article in Journal of Financial Stability (2015)
  2. Are the Islamic indexes size or sector oriented? evidence from Dow Jones Islamic indexes
    Post-Print, HAL Downloads View citations (1)
    See also Journal Article in Economics Bulletin (2015)
  3. Are unit root tests useful in the debate over the (non)stationarity of hours worked?
    Post-Print, HAL Downloads
    Also in Post-Print, HAL (2011)
    Working Papers, HAL (2010) Downloads

    See also Journal Article in Macroeconomic Dynamics (2015)
  4. Identifying and characterizing business and acceleration cycles of French jobseekers Identifying and characterizing business and acceleration cycles of French jobseekers
    Working Papers, HAL Downloads
  5. La volatilité du Dow Jones: les leçons de l’histoire à travers l’étude des chocs (1928-2013)
    Post-Print, HAL
    See also Journal Article in Revue d'économie financière (2015)
  6. Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes
    Post-Print, HAL Downloads View citations (3)
    See also Journal Article in Research in International Business and Finance (2015)
  7. Will precious metals shine ? A market efficiency perspective
    Post-Print, HAL Downloads View citations (6)
    See also Journal Article in International Review of Financial Analysis (2015)

2014

  1. A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets
    Working Papers, HAL Downloads View citations (3)
  2. A revision of the US business-cycles chronology 1790-1928
    Post-Print, HAL Downloads
    Also in Working Papers, HAL (2011) Downloads
    Working Papers, Association Française de Cliométrie (AFC) (2011) Downloads

    See also Journal Article in Economics Bulletin (2014)
  3. Commodity returns co-movements: Fundamentals or "style" effect?
    Working Papers, HAL Downloads
    See also Journal Article in Journal of International Money and Finance (2016)
  4. Does the Great Recession imply the end of the Great Moderation? International evidence
    Working Papers, HAL Downloads View citations (3)
    Also in EconomiX Working Papers, University of Paris West - Nanterre la Defense, EconomiX (2014) Downloads View citations (3)
  5. Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013
    Post-Print, HAL Downloads View citations (11)
    See also Journal Article in Journal of Banking & Finance (2014)
  6. New estimate of the MIBA forecasting model. Modeling first-release GDP using the Banque de France's Monthly Business Survey and the “blocking” approach
    Working papers, Banque de France Downloads View citations (3)
  7. Precious metals shine? A market efficiency perspective
    Working Papers, HAL Downloads
  8. Production and consumption-based approaches for the Environmental Kuznets Curve in Latin America using Ecological Footprint
    Working Papers, HAL Downloads
  9. Stock Exchange Mergers and Market Efficiency
    Working Papers, HAL Downloads View citations (2)
    See also Journal Article in Applied Economics (2016)
  10. The sensitivity of Fama-French factors to economic uncertainty
    Working Papers, HAL Downloads
  11. Volatility persistence in crude oil markets
    Post-Print, HAL Downloads View citations (10)
    Also in Working Papers, HAL (2012) Downloads

    See also Journal Article in Energy Policy (2014)

2013

  1. Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach
    Working papers, Banque de France Downloads
  2. Dynamic Factor Models: A review of the Literature
    Working papers, Banque de France Downloads View citations (6)
    Also in Post-Print, HAL (2013)

    See also Journal Article in OECD Journal: Journal of Business Cycle Measurement and Analysis (2014)
  3. Environmental Kuznets Curve and Ecological Footprint: A Time Series Analysis
    Working Papers, HAL Downloads
    See also Journal Article in Economics Bulletin (2015)
  4. Market efficiency in the European carbon markets
    Post-Print, HAL Downloads View citations (5)
    See also Journal Article in Energy Policy (2013)
  5. Testing the number of factors: An empirical assessment for forecasting purposes
    Post-Print, HAL
  6. Une revue de la littérature des modèles à facteurs dynamiques
    Post-Print, HAL
    See also Journal Article in Economie & Prévision (2012)

2012

  1. A note of the uncertain trend in US real GNP: Evidence from robust unit root tests
    Post-Print, HAL Downloads
    Also in Working Papers, HAL (2010) Downloads

    See also Journal Article in Economics Bulletin (2012)
  2. Are Islamic Indexes more Volatile than Conventional Indexes? Evidence from Dow Jones Indexes
    Working Papers, HAL Downloads View citations (1)
  3. Convergence of real per capita GDP within COMESA countries: A panel unit root evidence
    Post-Print, HAL Downloads
    See also Journal Article in The Annals of Regional Science (2012)
  4. Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates
    Post-Print, HAL Downloads View citations (5)
    Also in Working Papers, HAL (2010) Downloads View citations (2)

    See also Journal Article in Journal of International Money and Finance (2012)
  5. Large Shocks in the Volatility of the Dow Jones Industrial Average Index: 1928-2010
    Working Papers, HAL Downloads
  6. Monthly GDP forecasting using bridge models: Comparison from the supply and demand sides for the French economy
    Post-Print, HAL
  7. Nowcasting German GDP: A comparison of bridge and factor models
    Working papers, Banque de France Downloads View citations (13)
    See also Journal Article in Journal of Policy Modeling (2012)
  8. Trends and random walks in macroeconomic time series: A reappraisal
    Post-Print, HAL Downloads
    See also Journal Article in Journal of Macroeconomics (2012)

2011

  1. Is the Islamic Finance Model More Resilient than the Conventional Finance Model? Evidence from sudden changes in the volatility of Dow Jones indexes
    Post-Print, HAL View citations (1)
  2. Is the Islamic Finance Model More Resilient than the Conventional Model
    Post-Print, HAL
    Also in Post-Print, HAL (2011)
    Post-Print, HAL (2011)
  3. Large shocks in U.S. macroeconomic time series: 1860-1988
    Post-Print, HAL Downloads View citations (2)
    Also in Working Papers, HAL (2009) Downloads

    See also Journal Article in Cliometrica, Journal of Historical Economics and Econometric History (2011)
  4. Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis
    Post-Print, HAL Downloads View citations (6)
    Also in Working Papers, School of Economics, La Trobe University (2010) Downloads
    Working Papers, School of Economics, La Trobe University (2010) Downloads

    See also Journal Article in Economics Letters (2011)
  5. Testing the Speculative Efficiency Hypothesis on CO 2 Emission Allowance Prices: Evidence from Bluenext
    Working Papers, HAL Downloads
    Also in Post-Print, HAL (2011)
  6. Testing the martingale difference hypothesis in CO2 emission allowances
    Post-Print, HAL
    See also Journal Article in Economic Modelling (2011)

2010

  1. Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?
    Post-Print, HAL
    Also in Working Papers, HAL (2009) Downloads View citations (1)
  2. Is the Islamic finance the right medecine to the global financial crisis?
    Post-Print, HAL
  3. Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II
    Working Papers, HAL Downloads View citations (1)
    Also in Post-Print, HAL (2010) View citations (1)

2009

  1. Are disaggregate data useful for factor analysis in forecasting French GDP?
    Working papers, Banque de France Downloads View citations (5)
    See also Journal Article in Journal of Forecasting (2010)
  2. Identification of slowdowns and accelerations for the euro area economy
    Working papers, Banque de France Downloads View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (5)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2011)
  3. Testing for random walk behavior in euro exchange rates
    Post-Print, HAL View citations (1)
    See also Journal Article in Economie Internationale (2009)
  4. The efficiency of the European carbon market: evidence from phase I and phase II on BlueNext
    Post-Print, HAL
  5. The efficiency of the crude oil markets: Evidence from variance ratio tests
    Post-Print, HAL Downloads View citations (22)
    See also Journal Article in Energy Policy (2009)
  6. The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests
    Post-Print, HAL Downloads View citations (6)
    See also Journal Article in Economic Systems (2009)
  7. Variance ratio tests of random walk: An overview
    Post-Print, HAL Downloads View citations (17)
    See also Journal Article in Journal of Economic Surveys (2009)

2008

  1. La parité des pouvoirs d'achat pour l'économie chinoise: une nouvelle analyse par les tests de racine unitaire
    Post-Print, HAL
    Also in Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2008) Downloads View citations (1)

    See also Journal Article in Recherches économiques de Louvain (2008)
  2. Monthly forecasting of French GDP: A revised version of the OPTIM model
    Working papers, Banque de France Downloads View citations (16)
  3. The impact of outliers on transitory and permanent components in macroeconomic time series
    Post-Print, HAL Downloads
    See also Journal Article in Economics Bulletin (2008)
  4. The purchasing power parity in Australia: evidence from unit root test with structural break
    Post-Print, HAL
    See also Journal Article in Applied Economics Letters (2007)

2007

  1. Deux indicateurs probabilistes de retournement cyclique pour l’économie française
    Working papers, Banque de France Downloads View citations (1)
  2. L’Indicateur Synthétique Mensuel d’Activité (ISMA): une révision
    Working papers, Banque de France Downloads
    See also Journal Article in Bulletin de la Banque de France (2007)

2006

  1. Cliometrics of Academic Careers and the Impact of Infrequent Large Shocks in Germany before 1945
    Working Papers, Association Française de Cliométrie (AFC) Downloads View citations (2)
  2. Testing the purchasing power parity in China
    EconomiX Working Papers, University of Paris West - Nanterre la Defense, EconomiX Downloads

2005

  1. Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des Etats-Unis
    Working Papers, Association Française de Cliométrie (AFC) Downloads View citations (2)
    See also Journal Article in Revue d'économie politique (2006)

2004

  1. Exchange rate regime classification and real performances: new empirical evidence
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group Downloads

Journal Articles

2016

  1. A World Trade Leading Index (WTLI)
    Economics Letters, 2016, 146, (C), 111-115 Downloads
  2. Commodity returns co-movements: Fundamentals or “style” effect?
    Journal of International Money and Finance, 2016, 68, (C), 130-160 Downloads
    See also Working Paper (2014)
  3. Stock exchange mergers and market efficiency
    Applied Economics, 2016, 48, (7), 576-589 Downloads
    See also Working Paper (2014)
  4. Stock market reactions to FIFA World Cup announcements: An event study
    Economics Bulletin, 2016, 36, (4), 2028-2036 Downloads
    See also Working Paper (2016)

2015

  1. A new monthly chronology of the US industrial cycles in the prewar economy
    Journal of Financial Stability, 2015, 17, (C), 3-9 Downloads
    See also Working Paper (2015)
  2. ARE UNIT ROOT TESTS USEFUL IN THE DEBATE OVER THE (NON)STATIONARITY OF HOURS WORKED?
    Macroeconomic Dynamics, 2015, 19, (01), 167-188 Downloads
    See also Working Paper (2015)
  3. Are the Islamic indexes size or sector oriented? evidence from Dow Jones Islamic indexes
    Economics Bulletin, 2015, 35, (3), 1897-1905 Downloads View citations (2)
    See also Working Paper (2015)
  4. Environmental Kuznets Curve and ecological footprint: A time series analysis
    Economics Bulletin, 2015, 35, (1), 814-826 Downloads
    See also Working Paper (2013)
  5. La volatilité du Dow Jones: les leçons de l’histoire à travers l’étude des chocs (1928-2013)
    Revue d'économie financière, 2015, n° 118, (2), 243-247 Downloads
    See also Working Paper (2015)
  6. Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes
    Research in International Business and Finance, 2015, 35, (C), 33-56 Downloads View citations (3)
    See also Working Paper (2015)
  7. Will precious metals shine? A market efficiency perspective
    International Review of Financial Analysis, 2015, 41, (C), 284-291 Downloads View citations (6)
    See also Working Paper (2015)

2014

  1. A revision of the US business-cycles chronology 1790-1928
    Economics Bulletin, 2014, 34, (1), 234-244 Downloads
    See also Working Paper (2014)
  2. Dynamic factor models: A review of the literature
    OECD Journal: Journal of Business Cycle Measurement and Analysis, 2014, 2013, (2), 73-107 Downloads View citations (4)
    See also Working Paper (2013)
  3. Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013
    Journal of Banking & Finance, 2014, 43, (C), 188-199 Downloads View citations (13)
    See also Working Paper (2014)
  4. Volatility persistence in crude oil markets
    Energy Policy, 2014, 65, (C), 729-742 Downloads View citations (11)
    See also Working Paper (2014)

2013

  1. Market efficiency in the European carbon markets
    Energy Policy, 2013, 60, (C), 785-792 Downloads View citations (4)
    See also Working Paper (2013)
  2. Testing the Number of Factors: An Empirical Assessment for a Forecasting Purpose
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 64-79 Downloads View citations (11)

2012

  1. A note on the uncertain trend in US real GNP: Evidence from robust unit root tests
    Economics Bulletin, 2012, 32, (3), 2399-2406 Downloads
    See also Working Paper (2012)
  2. Convergence of real per capita GDP within COMESA countries: A panel unit root evidence
    The Annals of Regional Science, 2012, 49, (1), 53-71 Downloads View citations (2)
    See also Working Paper (2012)
  3. Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates
    Journal of International Money and Finance, 2012, 31, (6), 1607-1626 Downloads View citations (9)
    See also Working Paper (2012)
  4. MONTHLY GDP FORECASTING USING BRIDGE MODELS: APPLICATION FOR THE FRENCH ECONOMY
    Bulletin of Economic Research, 2012, 64, (Supplement 1), s53-s70 Downloads View citations (18)
  5. Nowcasting German GDP: A comparison of bridge and factor models
    Journal of Policy Modeling, 2012, 34, (6), 864-878 Downloads View citations (14)
    See also Working Paper (2012)
  6. Nowcasting the French index of industrial production: A comparison from bridge and factor models
    Economic Modelling, 2012, 29, (6), 2174-2182 Downloads View citations (2)
  7. Trends and random walks in macroeconomic time series: A reappraisal
    Journal of Macroeconomics, 2012, 34, (1), 167-180 Downloads
    See also Working Paper (2012)
  8. Une revue de la littérature des modèles à facteurs dynamiques
    Economie & Prévision, 2012, n° 199, (1), 51-77 Downloads
    See also Working Paper (2013)

2011

  1. Identification of Slowdowns and Accelerations for the Euro Area Economy
    Oxford Bulletin of Economics and Statistics, 2011, 73, (3), 335-364 View citations (6)
    See also Working Paper (2009)
  2. Large shocks in U.S. macroeconomic time series: 1860-1988
    Cliometrica, Journal of Historical Economics and Econometric History, 2011, 5, (1), 79-100 Downloads View citations (3)
    See also Working Paper (2011)
  3. Small sample properties of alternative tests for martingale difference hypothesis
    Economics Letters, 2011, 110, (2), 151-154 Downloads View citations (21)
    See also Working Paper (2011)
  4. Testing the martingale difference hypothesis in CO2 emission allowances
    Economic Modelling, 2011, 28, (1), 27-35 Downloads View citations (3)
    Also in Economic Modelling, 2011, 28, (1-2), 27-35 (2011) Downloads View citations (4)

    See also Working Paper (2011)

2010

  1. Are disaggregate data useful for factor analysis in forecasting French GDP?
    Journal of Forecasting, 2010, 29, (1-2), 132-144 Downloads View citations (42)
    See also Working Paper (2009)

2009

  1. Performance of short-term trend predictors for current economic analysis
    Economics Bulletin, 2009, 29, (1), 79-89 Downloads
  2. Testing for Random Walk Behavior in Euro Exchange Rates
    Economie Internationale, 2009, (119), 25-45 Downloads View citations (4)
    See also Working Paper (2009)
  3. The efficiency of the crude oil markets: Evidence from variance ratio tests
    Energy Policy, 2009, 37, (11), 4267-4272 Downloads View citations (29)
    See also Working Paper (2009)
  4. The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests
    Economic Systems, 2009, 33, (2), 117-126 Downloads View citations (13)
    See also Working Paper (2009)
  5. The uncertain unit root in real GNP: A re-examination
    Journal of Macroeconomics, 2009, 31, (1), 153-166 Downloads View citations (11)
  6. Un indicateur probabiliste du cycle d'accélération pour l'économie française
    Economie & Prévision, 2009, n° 189, (3), 95-114 Downloads
    Also in Économie et Prévision, 2009, 189, (3), 95-114 (2009) Downloads
  7. VARIANCE-RATIO TESTS OF RANDOM WALK: AN OVERVIEW
    Journal of Economic Surveys, 2009, 23, (3), 503-527 Downloads View citations (33)
    See also Working Paper (2009)

2008

  1. La parité des pouvoirs d'achat pour l'économie chinoise: une nouvelle analyse par les tests de racine unitaire
    Recherches économiques de Louvain, 2008, 74, (2), 219-236 Downloads
    See also Working Paper (2008)
  2. OPTIM: a quarterly forecasting tool for French GDP
    Quarterly selection of articles - Bulletin de la Banque de France, 2008, (13), 31-47 Downloads
  3. OPTIM: un outil de prévision trimestrielle du PIB de la France
    Bulletin de la Banque de France, 2008, (171), 31-42 Downloads
  4. Pourquoi calculer un indicateur du climat des affaires dans les services ?
    Bulletin de la Banque de France, 2008, (171), 23-29 Downloads
  5. The impact of outliers on transitory and permanent components in macroeconomic time series
    Economics Bulletin, 2008, 3, (60), 1-9 Downloads
    See also Working Paper (2008)
  6. Using business survey in industrial and services sector to nowcast GDP growth:The French case
    Economics Bulletin, 2008, 3, (32), 1-8 Downloads View citations (2)
  7. Why calculate a business sentiment indicator for services?
    Quarterly selection of articles - Bulletin de la Banque de France, 2008, (13), 21-30 Downloads

2007

  1. FURTHER EVIDENCE ON MEAN REVERSION IN THE AUSTRALIAN EXCHANGE RATE
    Bulletin of Economic Research, 2007, 59, (4), 383-395 Downloads View citations (2)
  2. L’indicateur synthétique mensuel d’activité (ISMA): une révision
    Bulletin de la Banque de France, 2007, (162), 21-36 Downloads
    See also Working Paper (2007)
  3. The purchasing power parity in Australia: evidence from unit root test with structural break
    Applied Economics Letters, 2007, 15, (3), 203-206 Downloads View citations (5)
    See also Working Paper (2008)

2006

  1. Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des États-Unis
    Revue d'économie politique, 2006, 116, (1), 65-78 Downloads View citations (6)
    See also Working Paper (2005)
  2. Large shocks and the September 11th terrorist attacks on international stock markets
    Economic Modelling, 2006, 23, (4), 683-698 Downloads View citations (45)

2005

  1. Outliers and GARCH models in financial data
    Economics Letters, 2005, 86, (3), 347-352 Downloads View citations (32)

2004

  1. Forecasts of the seasonal fractional integrated series
    Journal of Forecasting, 2004, 23, (1), 1-17 Downloads View citations (3)
  2. Seasonal cointegration for monthly data
    Economics Letters, 2004, 82, (3), 349-356 Downloads View citations (2)
  3. The effects of additive outliers on stationarity tests: a monte carlo study
    Economics Bulletin, 2004, 3, (16), 1-8 Downloads View citations (2)
  4. Unit roots and infrequent large shocks: new international evidence on output
    Journal of Monetary Economics, 2004, 51, (7), 1449-1465 Downloads View citations (48)

2003

  1. La réserve monétaire de la Reichsbank, 1876-1920, une analyse cliométrique
    Economies et Sociétés (Serie 'Histoire Economique Quantitative'), 2003, (29), 25-42 Downloads
  2. Maximum likelihood seasonal cointegration tests for daily data
    Economics Bulletin, 2003, 3, (18), 1-8 Downloads

2002

  1. A Note on Seasonal Unit Root Tests
    Quality & Quantity: International Journal of Methodology, 2002, 36, (3), 305-310 Downloads
 
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