Details about Marcel ALOY

Access statistics for papers by Marcel ALOY.

Last updated 2023-01-18. Update your information in the RePEc Author Service.

Short-id: pal602

Working Papers

2021

1. Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs
   Post-Print, HAL
   See also Chapter (2021)

2017

2. Austérité budgétaire: remède ou poison ? La zone euro à l'épreuve de la crise
   Post-Print, HAL

2016

3. Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities
   Post-Print, HAL
   Also in Post-Print, HAL (2015)
   See also Journal Article in Computational Economics (2016)

2015

4. A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis
   Post-Print, HAL View citations (1)
   See also Chapter (2015)

2014

5. Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II
   Post-Print, HAL View citations (6)
   See also Journal Article in Applied Economics (2014)
6. Shift-Volatility Transmission in East Asian Equity Markets
   AMSE Working Papers, Aix-Marseille School of Economics, France View citations (2)
   Also in Working Papers, HAL (2013)
7. Shift-volatility transmission in East Asian equity markets: new indicators
   Post-Print, HAL View citations (3)

2013

8. A smooth transition long-memory model
   Post-Print, HAL
   Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2012) View citations (4)
   Working Papers, HAL (2012) View citations (1)
   See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2013)
9. Long-run relationships between international stock prices: further evidence from fractional cointegration tests
   Post-Print, HAL View citations (2)
   Also in Working Papers, HAL (2011)
   See also Journal Article in Applied Economics (2013)
10. Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems
    Working Papers, HAL
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2013)

2012

11. Estimation and Testing for Fractional Cointegration
    AMSE Working Papers, Aix-Marseille School of Economics, France View citations (2)
    Also in Working Papers, HAL (2012) View citations (2)

2011

12. Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?
    Working Papers, HAL View citations (12)
    See also Journal Article in Economic Modelling (2011)

2010

13. Does Fiscal Policy Matter in a Currency Board Regime? The Case of Argentina
    EcoMod2003, EcoMod View citations (1)
14. Fractional integration and cointegration in stock prices and exchange rates
    Working Papers, HAL View citations (2)
    See also Journal Article in Economics Bulletin (2010)

2008

15. Intertemporal adjustment and fiscal policy under a fixed exchange rate regime
    Policy Research Working Paper Series, The World Bank

1993

16. Cycles de change et choix d'investissement en incertitude
    Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Journal Articles

2016

1. Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities
   Computational Economics, 2016, 48, (1), 83-104
   See also Working Paper (2016)

2014

2. Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II
   Applied Economics, 2014, 46, (6), 629-637 View citations (9)
   See also Working Paper (2014)

2013

3. A smooth transition long-memory model
   Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (3), 281-296 View citations (2)
   See also Working Paper (2013)
4. Long-run relationships between international stock prices: further evidence from fractional cointegration tests
   Applied Economics, 2013, 45, (7), 817-828 View citations (2)
   See also Working Paper (2013)

2011

5. Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?
   Economic Modelling, 2011, 28, (3), 1279-1290 View citations (13)
   See also Working Paper (2011)

2010

6. Fractional integration and cointegration in stock prices and exchange rates
   Economics Bulletin, 2010, 30, (1), 115-129 View citations (2)
   See also Working Paper (2010)

2009

7. The role of demography in the long-run Yen/USD real exchange rate appreciation
   Journal of Macroeconomics, 2009, 31, (4), 654-667 View citations (17)

Chapters

2021

1. Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs
   Springer
   See also Working Paper (2021)

2015

2. A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis
   A chapter in Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons, 2015, vol. 24, pp 419-449 View citations (1)
   See also Working Paper (2015)