Details about Mohamed Boutahar

Access statistics for papers by Mohamed Boutahar.

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Short-id: pmo828

Working Papers

2013

1. 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)

2012

2. Portfolio Risk Evaluation An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis
   AMSE Working Papers, Aix-Marseille School of Economics, France View citations (7)
   Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (7)
   Working Papers, HAL (2012) View citations (7)
3. Power of the KPSS test against shift in variance: a further investigation
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   See also Journal Article Power of the KPSS test against shift in variance: a further investigation, Economics Bulletin, AccessEcon (2012) (2012)

2011

4. A time-scale analysis of systematic risk: wavelet-based approach
   MPRA Paper, University Library of Munich, Germany View citations (5)
5. Estimation of the long memory parameter in non stationary models: A Simulation Study
   Working Papers, HAL View citations (1)
6. 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)
7. Testing for change in mean of heteroskedastic time series
   Papers, arXiv.org
   Also in Working Papers, HAL (2010)

2010

8. A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach
   Post-Print, HAL View citations (7)
   Also in Post-Print, HAL (2008) View citations (3)
   See also Journal Article A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach, Economics Bulletin, AccessEcon (2010) View citations (9) (2010)
9. 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)
10. The Power of some Standard tests of stationarity against changes in the unconditional variance
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010)

2008

11. A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt - [Document de travail n°2008 - 10]
    Working Papers, HAL View citations (10)
12. A fractionally integrated exponential STAR model applied to the US real effective exchange rate
    Post-Print, HAL View citations (1)
    Also in Working Papers, HAL (2008) View citations (1)
    See also Journal Article A fractionally integrated exponential STAR model applied to the US real effective exchange rate, Economic Modelling, Elsevier (2009) (2009)
13. A simple fractionally integrated model with a time-varying long memory parameter dt
    Post-Print, HAL View citations (12)
    See also Journal Article A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t, Computational Economics, Springer (2008) View citations (14) (2008)
14. Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model
    Working Papers, HAL

2007

15. A METHODOLOGY FOR DETECTING BREAKS IN THE MEAN AND COVARIANCE STRUCTURE OF TIME SERIES
    Working Papers, HAL
16. An exponential FISTAR model applied to the US real effective exchange rate
    Working Papers, HAL View citations (1)
17. LE CHANGEMENT STRUCTUREL DANS UN ENVIRONNEMENT MÉMOIRE LONGUE
    Working Papers, HAL

2006

18. Limiting distribution of the least squaresestimates in polynomial regression with longmemory noises
    Working Papers, HAL

2004

19. Detecting Multiple Breaks in Time Series Covariance Structure: a Nonparametric Approach Based on the Evolutionary Spectral Density
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (3)
    See also Journal Article Detecting multiple breaks in time series covariance structure: a non-parametric approach based on the evolutionary spectral density, Applied Economics, Taylor & Francis Journals (2004) View citations (3) (2004)

2002

20. Test for Covariance Stationarity and White Noise with an Application to euro/us dollar exchange rate
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (4)

1993

21. Limiting Distribution of Least Squares Estimates in Stable Multivariate Autoregressive Models Excited by Deterministic Input Signals
    G.R.E.Q.A.M., Universite Aix-Marseille III

1992

22. Almost Sure Convergence of Least Squares Estimates for Regular Multivariate ARX Systems
    G.R.E.Q.A.M., Universite Aix-Marseille III

Journal Articles

2013

1. 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)
2. Nonparametric comparison of several transformations of distribution functions
   Journal of Nonparametric Statistics, 2013, 25, (3), 619-633

2012

3. Power of the KPSS test against shift in variance: a further investigation
   Economics Bulletin, 2012, 32, (1), 854-865
   See also Working Paper Power of the KPSS test against shift in variance: a further investigation, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2012) (2012)

2011

4. A wavelet-based approach for modelling exchange rates
   Statistical Methods & Applications, 2011, 20, (2), 201-220 View citations (21)
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. A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach
   Economics Bulletin, 2010, 30, (2), 1054-1070 View citations (9)
   See also Working Paper A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach, Post-Print (2010) View citations (7) (2010)
7. Behaviour of skewness, kurtosis and normality tests in long memory data
   Statistical Methods & Applications, 2010, 19, (2), 193-215 View citations (1)
8. 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)
9. Fractionally integrated time varying GARCH model
   Statistical Methods & Applications, 2010, 19, (3), 399-430 View citations (13)
10. The finite-sample properties of bootstrap tests in multiple structural change models
    Economics Bulletin, 2010, 30, (1), 55-66

2009

11. A fractionally integrated exponential STAR model applied to the US real effective exchange rate
    Economic Modelling, 2009, 26, (2), 335-341
    See also Working Paper A fractionally integrated exponential STAR model applied to the US real effective exchange rate, Post-Print (2008) View citations (1) (2008)
12. Comparison of non-parametric and semi-parametric tests in detecting long memory
    Journal of Applied Statistics, 2009, 36, (9), 945-972
13. Structural Change and Long Memory in the Dynamic of U.S. Inflation Process
    Computational Economics, 2009, 34, (2), 195-216 View citations (1)
14. The effect of tapering on the semiparametric estimators for nonstationary long memory processes
    Statistical Papers, 2009, 50, (2), 225-248 View citations (2)
15. Which Econometric Specification to Characterize the U.S. Inflation Rate Process?
    Computational Economics, 2009, 34, (2), 145-172 View citations (3)

2008

16. A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t
    Computational Economics, 2008, 31, (3), 225-241 View citations (14)
    See also Working Paper A simple fractionally integrated model with a time-varying long memory parameter dt, Post-Print (2008) View citations (12) (2008)
17. Identification of Persistent Cycles in Non‐Gaussian Long‐Memory Time Series
    Journal of Time Series Analysis, 2008, 29, (4), 653-672 View citations (2)
18. Seasonal Nonlinear Long Memory Model for the US Inflation Rates
    Computational Economics, 2008, 31, (3), 243-254 View citations (9)

2007

19. Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
    Journal of Applied Statistics, 2007, 34, (3), 261-301 View citations (12)
20. Optimal prediction with nonstationary ARFIMA model
    Journal of Forecasting, 2007, 26, (2), 95-111 View citations (3)
21. Spuriousness of information criteria when selecting the number of breaks in stationary AR(p) process
    Economics Bulletin, 2007, 3, (38), 1-11
22. wrong estimation of the true number of shifts in structural break models: Theoretical and numerical evidence
    Economics Bulletin, 2007, 3, (3), 1-10 View citations (3)

2005

23. Evidence on structural changes in U.S. time series
    Economic Modelling, 2005, 22, (3), 391-422 View citations (19)

2004

24. Bai and Perron's and spectral density methods for structural change detection in the US inflation process
    Applied Economics Letters, 2004, 11, (2), 109-115 View citations (19)
25. Detecting multiple breaks in time series covariance structure: a non-parametric approach based on the evolutionary spectral density
    Applied Economics, 2004, 36, (10), 1095-1101 View citations (3)
    See also Working Paper Detecting Multiple Breaks in Time Series Covariance Structure: a Nonparametric Approach Based on the Evolutionary Spectral Density, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2004) View citations (3) (2004)

2003

26. Erratum to "Tests for covariance stationarity and white noise, with an application to Euro/US dollar exchange rate: An approach based on the evolutionary spectral density" [Economics Letters 77 (2002) 177-186]
    Economics Letters, 2003, 78, (2), 293-293 View citations (2)
27. Structural breaks in the U.S. inflation process: a further investigation
    Applied Economics Letters, 2003, 10, (15), 985-988 View citations (14)

2002

28. General Autoregressive Models with Long-Memory Noise
    Statistical Inference for Stochastic Processes, 2002, 5, (3), 321-333

2001

29. Current components analysis of MIS/IL solar cells for different fabrication parameters
    Renewable Energy, 2001, 23, (3), 375-381

1996

30. Least squares estimator for regression models with some deterministic time varying parameters
    Metrika: International Journal for Theoretical and Applied Statistics, 1996, 43, (1), 57-67 View citations (3)

1995

31. A proof of asymptotic normality for some VARX models
    Metrika: International Journal for Theoretical and Applied Statistics, 1995, 42, (1), 331-339 View citations (2)