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Details about Mohamed Boutahar

Workplace:Faculté des sciences - Aix Marseille Université

Access statistics for papers by Mohamed Boutahar.

Last updated 2016-05-05. Update your information in the RePEc Author Service.

Short-id: pmo828


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Working Papers

2013

  1. Long-run relationships between international stock prices: further evidence from fractional cointegration tests
    Post-Print, HAL Downloads
    Also in Working Papers, HAL (2011) Downloads

    See also Journal Article in Applied Economics (2013)

2012

  1. 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 Downloads View citations (5)
    Also in Working Papers, HAL (2012) Downloads View citations (5)
    MPRA Paper, University Library of Munich, Germany (2012) Downloads View citations (6)
  2. 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 in Economics Bulletin (2012)

2011

  1. A time-scale analysis of systematic risk: wavelet-based approach
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  2. Estimation of the long memory parameter in non stationary models: A Simulation Study
    Working Papers, HAL Downloads
  3. Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?
    Working Papers, HAL Downloads View citations (6)
    See also Journal Article in Economic Modelling (2011)
  4. Testing for change in mean of heteroskedastic time series
    Papers, arXiv.org Downloads
    Also in Working Papers, HAL (2010) Downloads

2010

  1. A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach
    Post-Print, HAL View citations (4)
    Also in Post-Print, HAL (2008) Downloads View citations (2)

    See also Journal Article in Economics Bulletin (2010)
  2. Fractional integration and cointegration in stock prices and exchange rates
    Working Papers, HAL Downloads View citations (1)
    See also Journal Article in Economics Bulletin (2010)
  3. 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 Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads

2008

  1. A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt - [Document de travail n°2008 - 10]
    Working Papers, HAL Downloads View citations (9)
  2. 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) Downloads View citations (1)

    See also Journal Article in Economic Modelling (2009)
  3. A simple fractionally integrated model with a time-varying long memory parameter dt
    Post-Print, HAL View citations (6)
    See also Journal Article in Computational Economics (2008)
  4. Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model
    Working Papers, HAL Downloads

2007

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

2006

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

2004

  1. 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
    See also Journal Article in Applied Economics (2004)

2002

  1. 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

  1. 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

  1. 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 Downloads View citations (1)
    See also Working Paper (2013)
  2. Nonparametric comparison of several transformations of distribution functions
    Journal of Nonparametric Statistics, 2013, 25, (3), 619-633 Downloads

2012

  1. Power of the KPSS test against shift in variance: a further investigation
    Economics Bulletin, 2012, 32, (1), 854-865 Downloads
    See also Working Paper (2012)

2011

  1. A wavelet-based approach for modelling exchange rates
    Statistical Methods & Applications, 2011, 20, (2), 201-220 Downloads View citations (14)
  2. Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?
    Economic Modelling, 2011, 28, (3), 1279-1290 Downloads View citations (8)
    See also Working Paper (2011)

2010

  1. A Measure of Variability in Comovement for Economic Variables: a Time-Varying Coherence Function Approach
    Economics Bulletin, 2010, 30, (2), 1054-1070 Downloads View citations (8)
    See also Working Paper (2010)
  2. Behaviour of skewness, kurtosis and normality tests in long memory data
    Statistical Methods & Applications, 2010, 19, (2), 193-215 Downloads View citations (1)
  3. Fractional integration and cointegration in stock prices and exchange rates
    Economics Bulletin, 2010, 30, (1), 115-129 Downloads View citations (2)
    See also Working Paper (2010)
  4. Fractionally integrated time varying GARCH model
    Statistical Methods & Applications, 2010, 19, (3), 399-430 Downloads View citations (10)
  5. The finite-sample properties of bootstrap tests in multiple structural change models
    Economics Bulletin, 2010, 30, (1), 55-66 Downloads

2009

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

2008

  1. A Simple Fractionally Integrated Model with a Time-varying Long Memory Parameter d t
    Computational Economics, 2008, 31, (3), 225-241 Downloads View citations (6)
    See also Working Paper (2008)
  2. Identification of Persistent Cycles in Non‐Gaussian Long‐Memory Time Series
    Journal of Time Series Analysis, 2008, 29, (4), 653-672 Downloads View citations (2)
  3. Seasonal Nonlinear Long Memory Model for the US Inflation Rates
    Computational Economics, 2008, 31, (3), 243-254 Downloads View citations (9)

2007

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

2005

  1. Evidence on structural changes in U.S. time series
    Economic Modelling, 2005, 22, (3), 391-422 Downloads View citations (17)

2004

  1. 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 Downloads View citations (18)
  2. 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 Downloads View citations (2)
    See also Working Paper (2004)

2003

  1. 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 Downloads View citations (2)
  2. Structural breaks in the U.S. inflation process: a further investigation
    Applied Economics Letters, 2003, 10, (15), 985-988 Downloads View citations (15)

2002

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

2001

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

1996

  1. 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 Downloads

1995

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