Details about Bertrand Candelon

Homepage:	http://sites.google.com/site/candelonbertrand1/
Workplace:	Louvain Finance, Louvain Institute of Data Analysis and Modelling in Economics and Statistics (LIDAM), Université Catholique de Louvain (Catholic University of Louvain-la-Neuve), (more information at EDIRC) Institut Louis Bachelier (Louis Bachelier Institute), (more information at EDIRC)

Access statistics for papers by Bertrand Candelon.

Last updated 2023-10-08. Update your information in the RePEc Author Service.

Short-id: pca231

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Working Papers

2023

1. Macroprudential Policy and Bank Systemic Risk: Does Inflation Targeting Matter?
   IMF Working Papers, International Monetary Fund
2. Testing for Causality between Climate Policies and Carbon Emissions Reduction
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
   Also in Post-Print, HAL (2023)
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2022)
   See also Journal Article in Finance Research Letters (2023)
3. Toward a Macroprudential Regulatory Framework for Mutual Funds
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
   Also in GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2020)
   Post-Print, HAL (2023)
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2020)

2022

4. Fragmentation in the European Monetary Union: Is it really over?
   LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (2)
   Also in LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2021)
   GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2021)
   See also Journal Article in Journal of International Money and Finance (2022)
5. Macroprudential Policies, Economic Growth and Banking Crises
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (5)
   Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2022) View citations (4)
   IMF Working Papers, International Monetary Fund (2020) View citations (5)
   See also Journal Article in Emerging Markets Review (2022)
6. Macroprudential Regulation and Sector-Specific Default Risk
   IMF Working Papers, International Monetary Fund
7. Should we care about ECB inflation expectations?
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN)

2021

8. A Multicountry Model of the Term Structures of Interest Rates with a GVAR
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (1)
9. Diversification Potential in Real Estate Portfolios
   LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN)
   Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2021)
   See also Journal Article in International Economics (2021)
10. ESG-Washing in the Mutual Funds Industry? From Information Asymmetry to Regulation
    Post-Print, HAL View citations (2)
    Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2021) View citations (2)
    See also Journal Article in Risks (2021)
11. Global financial interconnectedness: a non-linear assessment of the uncertainty channel
    LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (3)
    Also in Post-Print, HAL (2017)
    Post-Print, HAL (2016)
    Working papers, Banque de France (2018) View citations (8)
    EconomiX Working Papers, University of Paris Nanterre, EconomiX (2018) View citations (9)
    Post-Print, HAL (2017)
    Post-Print, HAL (2017)
    Post-Print, HAL (2017)
    Post-Print, HAL (2016)
    Working Papers, HAL (2018)
    GRU Working Paper Series, City University of Hong Kong, Department of Economics and Finance, Global Research Unit (2019)
    Post-Print, HAL (2017)
    Post-Print, HAL (2016)
    Post-Print, HAL (2016)
    Post-Print, HAL (2016)
    See also Journal Article in Applied Economics (2021)

2020

12. Testing for the Validity of W in GVAR models
    LIDAM Discussion Papers LFIN, Université catholique de Louvain, Louvain Finance (LFIN) View citations (4)

2019

13. Country factors and the investment decision-making process of sovereign wealth funds
    Post-Print, HAL View citations (5)
    See also Journal Article in Economic Modelling (2019)
14. Taming Financial Development to Reduce Crises
    IMF Working Papers, International Monetary Fund View citations (15)
    Also in LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN) (2019) View citations (15)
    See also Journal Article in Emerging Markets Review (2019)
15. The Limited Diversification Potential of 21st Century Real Estate Markets: An International Analysis
    ERES, European Real Estate Society (ERES)

2018

16. Financial Centres’ Polyarchy and Competitiveness Does Political Participation Change a Financial Centre’s Competitiveness?
    EconStor Preprints, ZBW - Leibniz Information Centre for Economics
17. Globalization and the New Normal
    IMF Working Papers, International Monetary Fund View citations (2)
18. SRI: Truths and lies
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2016

19. A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion
    Post-Print, HAL View citations (26)
    Also in Post-Print, HAL (2014) View citations (17)
    Working Papers, HAL (2014)
    See also Journal Article in Journal of Business & Economic Statistics (2016)
20. Do We Need High Frequency Data to Forecast Variances?
    Post-Print, HAL View citations (5)
    See also Journal Article in Annals of Economics and Statistics (2016)

2015

21. How Did Markets React to Stress Tests?
    IMF Working Papers, International Monetary Fund View citations (41)
22. Real exchanges rates, commodity prices and structural factors in developing countries
    Post-Print, HAL View citations (35)
    Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2011) View citations (5)
    Working Papers, HAL (2013)
    DEM Discussion Paper Series, Department of Economics at the University of Luxembourg (2013) View citations (21)
    Working Papers, HAL (2011) View citations (4)
    Working Papers, Department of Research, Ipag Business School (2014) View citations (27)
    See also Journal Article in Journal of International Money and Finance (2015)
23. Revisiting the New Normal Hypothesis
    Working Papers, Department of Research, Ipag Business School
    See also Journal Article in Journal of International Money and Finance (2016)

2014

24. Currency Crises Early Warning Systems: Why They Should Be Dynamic
    Post-Print, HAL View citations (15)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2010) View citations (12)
    Working Papers, Department of Research, Ipag Business School (2014) View citations (30)
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2010) View citations (12)
    See also Journal Article in International Journal of Forecasting (2014)
25. Detecting financial contagion in a multivariate system
    VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy, Verein für Socialpolitik / German Economic Association View citations (2)
26. Disentangling economic recessions and depressions
    Working Papers, Department of Research, Ipag Business School View citations (16)
    Also in Discussion Papers, Deutsche Bundesbank (2013) View citations (3)
27. Do We Need Ultra-High Frequency Data to Forecast Variances?
    Working Papers, HAL
28. Hierarchical Organization and Performance Inequality: Evidence from Professional Cycling
    Working Papers, Department of Research, Ipag Business School View citations (6)
    Also in Working Papers, Maastricht School of Management (2012) View citations (10)
    See also Journal Article in International Economic Review (2015)
29. Predicting and Capitalizing on Stock Market Bears in the U.S
    Working Papers, Department of Research, Ipag Business School View citations (21)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2012) View citations (4)
30. What Matters Most in the Design of Stress Tests? Evidence from U.S. and the Europe
    Working Papers, Department of Research, Ipag Business School

2013

31. A distribution-free test for outliers
    Discussion Papers, Deutsche Bundesbank View citations (4)
32. Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
    Post-Print, HAL View citations (5)
    Also in Working Papers, HAL (2012) View citations (4)
    See also Chapter (2013)
33. Network Effects and Infrastructure Productivity in Developing Countries
    NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (9)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2009) View citations (2)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2013)

2012

34. Extreme Financial Cycles
    Working Papers, HAL
    See also Journal Article in Revue d'économie politique (2012)
35. Fat tails in small samples
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (1)
36. Government bond market dynamics and sovereign risk: systemic or idiosyncratic?
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (1)
37. How to Evaluate an Early Warning System? Towards a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods
    Post-Print, HAL View citations (52)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2010) View citations (9)
    See also Journal Article in IMF Economic Review (2012)
38. How to evaluate an Early Warning System ?
    Working Papers, HAL View citations (51)
39. On the importance of indirect banking vulnerabilities in the Eurozone
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (3)
    See also Journal Article in Journal of Banking & Finance (2013)
40. Real exchanges rates in commodity producing countries: A reappraisal
    Post-Print, HAL View citations (61)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (1)
    Working Papers, HAL (2011) View citations (1)
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2011) View citations (10)
    Working Papers, HAL (2011) View citations (1)
    See also Journal Article in Journal of International Money and Finance (2012)
41. Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios
    Post-Print, HAL View citations (12)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) View citations (8)
    See also Journal Article in Journal of Empirical Finance (2012)
42. Testing for crude oil markets globalization during extreme price movements
    Working Papers, HAL View citations (1)
    Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2012) View citations (4)
    Post-Print, HAL (2012) View citations (4)
    Post-Print, HAL (2012) View citations (4)

2011

43. Are there Spillover Effects From Munis?
    IMF Working Papers, International Monetary Fund View citations (4)
44. Fiscal policy in good and bad times
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (6)
    See also Journal Article in Journal of Economic Dynamics and Control (2013)
45. Liberalisation and stock market co-movement between emerging economies
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (61)
    Also in CESifo Working Paper Series, CESifo (2007) View citations (8)
    See also Journal Article in Quantitative Finance (2011)
46. Modelling Financial Crises Mutation
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans View citations (1)
47. Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis
    CESifo Working Paper Series, CESifo View citations (198)
    Also in IMF Working Papers, International Monetary Fund (2011) View citations (186)

2010

48. Banking and Debt Crisis in Europe: The Dangerous Liaisons?
    CESifo Working Paper Series, CESifo View citations (7)
    See also Journal Article in De Economist (2010)
49. Entry and Exit Dynamics in Business Cycles
    EcoMod2002, EcoMod
50. Hierarchical Organization and Inequality in an Economy with an Implicit Market for Productive Time
    IZA Discussion Papers, Institute of Labor Economics (IZA)

2009

51. Backtesting value-at-risk: a GMM duration-based test
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (3)
    Also in Working Papers, HAL (2008) View citations (12)
    See also Journal Article in The Journal of Financial Econometrics (2011)
52. Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach
    Working Papers, Utrecht School of Economics View citations (1)
53. Testing for exceptional bulls and bears: a non-parametric perspective
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (1)
54. The Americanization of European higher education and research
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (7)

2008

55. Does Technology Spill Over across National Borders and Technology Regimes?
    Working Papers, Utrecht School of Economics
56. Fiscal policy and monetary integration in Europe: an update
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (1)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2007) View citations (10)
    See also Journal Article in Oxford Economic Papers (2010)
57. Non-Cooperative Solutions for Claims Problems
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (4)
58. The Nature of Occupational Unemployment Rates in the United States: Hysteresis or Structural?
    IZA Discussion Papers, Institute of Labor Economics (IZA)
    See also Journal Article in Applied Economics (2009)

2007

59. Testing for asset market linkages: a new approach based on time-varying copulas
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (3)
    See also Journal Article in Pacific Economic Review (2010)

2006

60. Testing for Parameter Stability in Dynamic Models Across Frequencies
    CEIS Research Paper, Tor Vergata University, CEIS View citations (3)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2005)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2006)

2005

61. A fixed point theorem for discontinuous functions
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (5)
62. Banking sector strength and the transmission of currency crises
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
63. Evidences of interdependence and contagion using a frequency domain framework
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
    See also Journal Article in Emerging Markets Review (2009)
64. The feasibility of a fixed exchange rate regime for new EU-members: evidence from real exchange rates
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (3)
    Also in Working Papers, Utrecht School of Economics (2005)

2004

65. Fractional Integration and Business Cycles Features
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (10)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2001)
    See also Journal Article in Empirical Economics (2004)
66. Seasonal and Long Run Fractional Integration in the Industrial Production Index of Some Latin Americ
    Faculty Working Papers, School of Economics and Business Administration, University of Navarra View citations (2)

2003

67. EMU membership and business cycle phases in Europe: a Markov switching VAR analysis
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (16)
    See also Journal Article in Journal of Economic Integration (2003)
68. Stabilization policy and business cycle phases in Europe: a Markov switching VAR analysis
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) View citations (5)

2002

69. Multi-regime common cyclical features
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)

2001

70. Testing for short and long-run causality: The case of the yield spread and economic growth
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

2000

71. Common cycles: A frequency domain approach
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (5)
72. Determining a perfect optimum currency area using common cycles
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
73. Labor Mobility in Belgium: An Empirical Analysis of the Relationship between Provincial Employment Dynamics and Migration
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (2)
74. On the reliability of chow type test for parameter constancy in multivariate dynamic models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (3)
    See also Journal Article in Economics Letters (2001)
75. Was there a regime change in the German monetary transmission mechanism in 1983?
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

1999

76. Appréhender la conjoncture à l'aide de la méthode de Stock-Watson: une application à l'économie belge
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (2)
    See also Journal Article in Économie et Prévision (2000)

1996

77. Is government stabilizing ? assessing the contribution from expenditures, taxes and transfers
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
78. La modelisation multivariee des contributions: une tentative d'explication des derniers retournements de la conjoncture
    Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1)
79. Politique monetaire et canal du credit: une estimation empirique sur l'economie francaise
    Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1) View citations (1)

Journal Articles

2023

1. Sovereign yield curves and the COVID-19 in emerging markets
   Economic Modelling, 2023, 127, (C)
2. Testing for causality between climate policies and carbon emissions reduction
   Finance Research Letters, 2023, 55, (PA)
   See also Working Paper (2023)

2022

3. Fragmentation in the European Monetary Union: Is it really over?
   Journal of International Money and Finance, 2022, 122, (C) View citations (2)
   See also Working Paper (2022)
4. Macroprudential policies, economic growth and banking crises
   Emerging Markets Review, 2022, 53, (C) View citations (3)
   See also Working Paper (2022)

2021

5. Diversification potential in real estate portfolios
   International Economics, 2021, 166, (C), 126-139
   Also in International Economics, 2021, (166), 126-139 (2021)
   See also Working Paper (2021)
6. ESG-Washing in the Mutual Funds Industry? From Information Asymmetry to Regulation
   Risks, 2021, 9, (11), 1-23 View citations (3)
   See also Working Paper (2021)
7. Global financial interconnectedness: a non-linear assessment of the uncertainty channel
   Applied Economics, 2021, 53, (25), 2865-2887 View citations (3)
   See also Working Paper (2021)

2020

8. The post-crises output growth effects in a globalized economy
   International Economics, 2020, 161, (C), 139-158 View citations (6)
   Also in International Economics, 2020, (161), 139-158 (2020) View citations (6)

2019

9. Country factors and the investment decision-making process of sovereign wealth funds
   Economic Modelling, 2019, 80, (C), 34-48 View citations (5)
   See also Working Paper (2019)
10. Taming financial development to reduce crises
    Emerging Markets Review, 2019, 40, (C), - View citations (14)
    See also Working Paper (2019)

2017

11. Contagion sur le marché des obligations municipales américaines: une leçon pour l’Europe ?
    Revue économique, 2017, 68, (HS1), 211-227

2016

12. A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion
    Journal of Business & Economic Statistics, 2016, 34, (2), 240-253 View citations (31)
    See also Working Paper (2016)
13. Do We Need High Frequency Data to Forecast Variances?
    Annals of Economics and Statistics, 2016, (123-124), 135-174 View citations (2)
    See also Working Paper (2016)
14. Does knowledge spill over across borders and technology regimes?
    Journal of Productivity Analysis, 2016, 46, (1), 63-82 View citations (2)
15. Revisiting the new normal hypothesis
    Journal of International Money and Finance, 2016, 66, (C), 5-31 View citations (9)
    See also Working Paper (2015)

2015

16. Detecting contagion in a multivariate time series system: An application to sovereign bond markets in Europe
    Journal of Banking & Finance, 2015, 59, (C), 1-13 View citations (34)
17. HIERARCHICAL ORGANIZATION AND PERFORMANCE INEQUALITY: EVIDENCE FROM PROFESSIONAL CYCLING
    International Economic Review, 2015, 56, (4), 1207-1236
    See also Working Paper (2014)
18. Real exchanges rates, commodity prices and structural factors in developing countries
    Journal of International Money and Finance, 2015, 51, (C), 264-284 View citations (33)
    See also Working Paper (2015)
19. Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (3), 355-376

2014

20. Currency crisis early warning systems: Why they should be dynamic
    International Journal of Forecasting, 2014, 30, (4), 1016-1029 View citations (30)
    See also Working Paper (2014)

2013

21. Fiscal policy in good and bad times
    Journal of Economic Dynamics and Control, 2013, 37, (12), 2679-2694 View citations (69)
    See also Working Paper (2011)
22. Long-term asset tail risks in developed and emerging markets
    Journal of Banking & Finance, 2013, 37, (6), 1832-1844 View citations (14)
23. Network Effects and Infrastructure Productivity in Developing Countries
    Oxford Bulletin of Economics and Statistics, 2013, 75, (6), 887-913 View citations (9)
    See also Working Paper (2013)
24. On the importance of indirect banking vulnerabilities in the Eurozone
    Journal of Banking & Finance, 2013, 37, (12), 5007-5024 View citations (13)
    See also Working Paper (2012)
25. Testing for Granger causality in distribution tails: An application to oil markets integration
    Economic Modelling, 2013, 31, (C), 276-285 View citations (23)

2012

26. Extreme Financial cycles
    Revue d'économie politique, 2012, 122, (6), 823-831
    See also Working Paper (2012)
27. How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods
    IMF Economic Review, 2012, 60, (1), 75-113 View citations (59)
    See also Working Paper (2012)
28. Real exchanges rates in commodity producing countries: A reappraisal
    Journal of International Money and Finance, 2012, 31, (6), 1482-1502 View citations (63)
    See also Working Paper (2012)
29. Sampling error and double shrinkage estimation of minimum variance portfolios
    Journal of Empirical Finance, 2012, 19, (4), 511-527 View citations (14)
    See also Working Paper (2012)

2011

30. Backtesting Value-at-Risk: A GMM Duration-Based Test
    The Journal of Financial Econometrics, 2011, 9, (2), 314-343 View citations (53)
    See also Working Paper (2009)
31. Liberalisation and stock market co-movement between emerging economies
    Quantitative Finance, 2011, 11, (2), 299-312 View citations (64)
    See also Working Paper (2011)

2010

32. Banking Sector Fragility and the Transmission of Currency Crises
    Open Economies Review, 2010, 21, (2), 263-292 View citations (4)
33. Banking and Debt Crises in Europe: The Dangerous Liaisons?
    De Economist, 2010, 158, (1), 81-99 View citations (36)
    See also Working Paper (2010)
34. Erratum to: Banking and Debt Crises in Europe: The Dangerous Liaisons?
    De Economist, 2010, 158, (3), 337-340 View citations (21)
35. Fiscal policy and monetary integration in Europe: an update
    Oxford Economic Papers, 2010, 62, (2), 323-349 View citations (43)
    See also Working Paper (2008)
36. INTRODUCTION TO THE SPECIAL ISSUE OF PACIFIC ECONOMIC REVIEW ON CONTAGION
    Pacific Economic Review, 2010, 15, (3), 336-339
37. TESTING FOR ASSET MARKET LINKAGES: A NEW APPROACH BASED ON TIME‐VARYING COPULAS
    Pacific Economic Review, 2010, 15, (3), 364-384 View citations (9)
    See also Working Paper (2007)

2009

38. Evidence of interdependence and contagion using a frequency domain framework
    Emerging Markets Review, 2009, 10, (2), 140-150 View citations (101)
    See also Working Paper (2005)
39. Multivariate Business Cycle Synchronization in Small Samples*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (5), 715-737 View citations (8)
40. The nature of occupational unemployment rates in the United States: hysteresis or structural?
    Applied Economics, 2009, 41, (19), 2483-2493 View citations (4)
    See also Working Paper (2008)

2008

41. A cautious note on the use of panel models to predict financial crises
    Economics Letters, 2008, 101, (1), 80-83 View citations (57)
42. On measuring synchronization of bulls and bears: The case of East Asia
    Journal of Banking & Finance, 2008, 32, (6), 1022-1035 View citations (104)

2007

43. Long-run real exchange rate determinants: Evidence from eight new EU member states, 1993-2003
    Journal of Comparative Economics, 2007, 35, (1), 87-107 View citations (23)

2006

44. Mean Reversion of Short‐run Interest Rates in Emerging Countries*
    Review of International Economics, 2006, 14, (1), 119-135 View citations (10)
45. Testing for Parameter Stability in Dynamic Models across Frequencies*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 741-760 View citations (3)
    See also Working Paper (2006)
46. Testing for multiple regimes in the tail behavior of emerging currency returns
    Journal of International Money and Finance, 2006, 25, (7), 1187-1205 View citations (21)
47. Testing for short- and long-run causality: A frequency-domain approach
    Journal of Econometrics, 2006, 132, (2), 363-378 View citations (345)

2005

48. Measuring common cyclical features during financial turmoil: Evidence of interdependence not contagion
    Journal of International Money and Finance, 2005, 24, (8), 1317-1334 View citations (39)
49. Nonlinear monetary policy in Europe: fact or myth?
    Economics Letters, 2005, 86, (3), 399-403 View citations (10)
50. Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks
    Review of World Economics (Weltwirtschaftliches Archiv), 2005, 141, (1), 124-140 View citations (49)

2004

51. Fractional integration and business cycle features
    Empirical Economics, 2004, 29, (2), 343-359 View citations (10)
    See also Working Paper (2004)
52. Seasonal and long-run fractional integration in the Industrial Production Indexes of some Latin American countries
    Journal of Policy Modeling, 2004, 26, (3), 301-313 View citations (1)

2003

53. EMU Membership and Business Cycle Phases in Europe: Markov-Switching VAR Analysis
    Journal of Economic Integration, 2003, 18, 214-242 View citations (14)
    See also Working Paper (2003)

2001

54. Is There a Common European Business Cycle?: New Insights from a Frequency Domain Analysis
    Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, 2001, 70, (3), 331-338 View citations (9)
55. On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models
    Economics Letters, 2001, 73, (2), 155-160 View citations (86)
    See also Working Paper (2000)

2000

56. Appréhender la conjoncture à l'aide de la méthode de Stock-Watson: une application à l'économie belge
    Économie et Prévision, 2000, 146, (5), 141-153 View citations (1)
    See also Working Paper (1999)
57. Assessing a Perfect European Optimum Currency Area: A Common Cycles Approach
    Empirica, 2000, 27, (2), 115-132 View citations (4)
58. Stability of activity-unemployment relationship in a codependent system
    Applied Economics Letters, 2000, 7, (10), 687-693 View citations (1)

1995

59. La récession des années quatre-vingt dix a-t-elle été exceptionnelle ?
    Économie et Prévision, 1995, 120, (4), 51-71 View citations (5)

Chapters

2013

1. Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
   A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 395-427 View citations (1)
   See also Working Paper (2013)

2011

2. Chapter 2 Linkages between Stock Market Fluctuations and Business Cycles in Asia
   A chapter in The Evolving Role of Asia in Global Finance, 2011, pp 23-51

Editor

1. Empirical Economics
   Springer