Details about Marcel ALOY

Access statistics for papers by Marcel ALOY.

Last updated 2024-03-08. 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
   Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2021)
   See also Chapter Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs, Dynamic Modeling and Econometrics in Economics and Finance, Springer (2021) (2021)

2020

2. Mémoire longue dans les séries financières (Chapitre 2)
   Post-Print, HAL

2017

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

2016

4. 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 Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities, Computational Economics, Springer (2016) (2016)

2015

5. A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis
   Post-Print, HAL View citations (1)
   See also Chapter A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis, International Symposia in Economic Theory and Econometrics, Emerald Group Publishing Limited (2015) View citations (1) (2015)

2014

6. 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 (7)
   See also Journal Article Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II, Applied Economics, Taylor & Francis Journals (2014) View citations (10) (2014)
7. 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)
8. Shift-volatility transmission in East Asian equity markets: new indicators
   Post-Print, HAL View citations (4)

2013

9. 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 A smooth transition long-memory model, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2013) View citations (2) (2013)
10. 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 Long-run relationships between international stock prices: further evidence from fractional cointegration tests, Applied Economics, Taylor & Francis Journals (2013) View citations (2) (2013)
11. Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems
    AMSE Working Papers, Aix-Marseille School of Economics, France
    Also in Working Papers, HAL (2013)

2012

12. 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

13. 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 Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?, Economic Modelling, Elsevier (2011) View citations (13) (2011)

2010

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

2008

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

1993

17. 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 Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities, Post-Print (2016) (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 (10)
   See also Working Paper Is financial repression a solution to reduce fiscal vulnerability? The example of France since the end of World War II, Post-Print (2014) View citations (7) (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 A smooth transition long-memory model, Post-Print (2013) (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 Long-run relationships between international stock prices: further evidence from fractional cointegration tests, Post-Print (2013) View citations (2) (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 Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?, Working Papers (2011) View citations (12) (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 Fractional integration and cointegration in stock prices and exchange rates, Working Papers (2010) View citations (2) (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 (18)

Chapters

2021

1. Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs
   Springer
   See also Working Paper Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs, HAL (2021) (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 A Comparison of the Fed’s and ECB’s Strategies during the Subprime Crisis, HAL (2015) View citations (1) (2015)