Publications

2022

  • Backcasting world trade growth using data reduction methods. The World Economy, forthcoming (with Charles A.). abstract

2021

  • Stock return predictability: Evaluation based on prediction intervals. Bulletin of Economic Research, 74 (2), 363–385 (with Charles A. and Kim J.H.). abstract

  • Oil price shocks, real economic activity and uncertainty: A structural factor VAR GARCH-in-Mean model. Bulletin of Economic Research, 73, 364–392 (with Charles A., Chuah C.L. and Suardi S.). abstract

  • Econometric history of the growth-volatility relationship in the U.S.: 1919–2017. Cliometrica, 15, 419–442 (with Charles A.) abstract


2020

  • Nowcasting GDP growth using data reduction methods: Evidence for the French economy . Economics Bulletin, (with Charles A.) abstract

  • On the pernicious effects of oil price uncertainty on US real economic activities. Empirical Economics, 59, 2689–2715 (with Charles A., Chua C.L. and Suardi S.) abstract

2019

  • On the stationarity of CO2 emissions in OECD and BRICS countries: A sequential testing approach. Energy Economics, 83, 319-332, 2019 (with Zerbo E.) abstract

  • The accuracy of asymmetric GARCH model estimation. International Economics, 157, 179-202, 2019 (with Charles A.) abstract

Erratum table 1 - Forecasting codes: R-rugarch - GIG-Gretl

  • Volatility estimation for Bitcoin: Replication and robustness. International Economics, 157, 23-32, 2019 (with Charles A.) abstract

  • Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks. Economics Bulletin, 39 (2), 954-968, 2019 (with Charles A.) abstract

Online Appendix - dataset

  • How resilient is La Réunion in terms of international tourism attractiveness: An assessment from unit root tests with structural breaks from 1981-2015. Applied Economics, 51 (24), 2639-2653, 2019 (with Charles A. and Hoarau J-F.) abstract

2018

  • Does the Great Recession imply the end of the Great Moderation? International evidence. Economic Inquiry, 56 (2), 745-760, 2018 (with Charles A. and Ferrara L.) abstract

  • Uncertainty and the macroeconomy: Evidence from an uncertainty composite indicator. Applied Economics, 50, 1093-1107, 2018 (with Charles A. and Tripier F.) abstract (download free 1 month) data

2017

  • Forecasting crude oil market volatility: Further evidence with jumps. Energy Economics, 67, 508-519, 2017 (with Charles A.) abstract

  • Unit root and trend breaks in per capita output: Evidence from sub-Saharan African countries. Applied Economics, 50, 634-658, 2017 (with Zerbo E.) abstract

  • Adaptive markets hypothesis for Islamic stock portfolios: Evidence from Dow Jones size and sector-indices. International Economics, 151, 100-112, 2017 (with Charles A. and Kim J.H.) abstract

  • The new estimate MIBA model. Real-time nowcasting of French GDP using the Banque de France's monthly business survey. Economic Modelling, 64, 26–39, 2017 (with Mogliani M., Brunhes-Lesage V. and Pluyaud B.) abstract

  • International stock return predictability: Evidence from new statistical tests. International Review of Financial Analysis, 54, 97-113, 2017 (with Charles A. and Kim J.H.) abstract

2016

  • Commodity returns co-movements: Fundamentals or "style" effect? Journal of International Money and Finance, 68, 130-160, 2016 (with Charlot P. and Moussa Z.) abstract

  • A World Trade Leading Index (WTLI). Economics Letters, 146, 111-115, 2016 (with Barhoumi K. and Ferrara L.) abstract

  • Stock market reactions to FIFA World Cup announcements: An event study. Economics Bulletin, 36, 4, 2028-2036, 2016 (with Charles A.) abstract

  • Production and consumption-based approaches for the environmental Kuznets curve using ecological footprint, Journal of Environmental Economics and Policy, 5 (3), 318-334, 2016 (with Hervieux M-S.) abstract

2015

  • Stock exchange mergers and market efficiency. Applied Economics, 48(7), 576-589, 2015 (with Charles A., Kim J.H. and Redor E.) abstract

  • Will precious metals shine? A market efficiency perspective. International Review of Financial Analysis, 41, 284-291, 2015 (with Charles A. and Kim J.) abstract

  • Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes. Research in International Business and Finance, 35, 33-56, 2015 (with Charles A. and Pop A.) abstract

  • A new monthly chronology of the US industrial cycles in the prewar economy, Journal of Financial Stability, 17, 3-9, 2015 (with Charles A., Diebolt C. and Ferrara L.)abstract

  • Are unit root tests useful in the debate over the (non)stationarity of hours worked?, Macroeconomic Dynamics, 19 (1), 167-188, 2015 (with Charles A. and Tripier F.) abstract

  • Are the Islamic indexes size or sector oriented? Evidence from Dow Jones Islamic indexes', Economics Bulletin, 35(3), 1897-1905, 2015 (with Charles A.) download

  • Environmental Kuznets Curve and ecological footprint: A time series analysis, Economics Bulletin, 35(1), 814-826, 2015 (with Hervieux M-S.) download

2014

  • Large shocks in the volatility of the Dow Jones Industrial Average index: 1928-2010, Journal of Banking and Finance, 43, 188-199, 2014 (with Charles A.) abstract

  • Volatility persistence in crude oil markets, Energy Policy, 65, 729-742, 2014 (with Charles A.) abstract

  • A revision of the US business-cycles chronology 1790-1928, Economics Bulletin, 34 (1), 234-244, 2014 (with Charles A. and Diebolt C.) download

2013

  • Dynamic factor models: A review of the literature, Journal of Business Cycle Measurement and Analysis, 8 (2), 73-107, 2013 (with Barhoumi K. and Ferrara L.) abstract

  • Market efficiency in the European carbon markets, Energy Policy, 60, 785–792, 2013 (with Charles A. and Fouilloux J.) abstract

  • Testing the number of factors: An empirical assessment for a forecasting purpose, Oxford Bulletin of Economics and Statistics, 75, 64-79, 2013 (with Barhoumi K. and Ferrara L.) abstract

2012

  • Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates, Journal of International Money and Finance, 31, 1607–1626, 2012 (with Charles A. and Kim J.) abstract

  • Nowcasting the German GDP: A comparison of bridge and factor models, Journal of Policy Modelling, 34, 864-878, 2012 (with Antipa P., Barhoumi K. and Brunhes-Lesage V.) abstract

  • Monthly GDP forecasting using bridge models: Application for the French economy, Bulletin of Economic Research, 64, s53-s70, 2012 (with Barhoumi K., Ferrara L. and Pluyaud B.). abstract

  • Nowcasting the French index of industrial production: A comparison from bridge and factor models, Economic Modelling, 29, 2174-2182, 2012 (with Brunhes-Lesage V.) abstract

  • Trends and random walks in macroeconomic time series: A reappraisal, Journal of Macroeconomics, 34, 167-180, 2012 (with Charles A.). abstract

  • Convergence of real per capita GDP within COMESA countries: A panel unit root evidence, Annals of Regional Science, 49, 53-71, 2012 (with Charles A. and Hoarau J-F.) abstract

  • A note on the uncertain trend in US real GNP: Evidence from robust unit root tests, Economics Bulletin, 32, 3, 2012 (with Charles A.). abstract

2011

  • Identification of slowdowns and accelerations for the euro area economy, Oxford Bulletin of Economics and Statistics, 73 (3), 335-364, 2011 (with Ferrara L.). abstract

  • Small sample properties of alternative tests for martingale difference hypothesis, Economics Letters, 110, 151-154, 2011 (with Charles A. and Kim J.). abstract

  • Testing the martingale difference hypothesis in the EU ETS markets for the CO2 emission allowances: Evidence from Phase I and Phase II, Economic Modelling, 28, 27-35, 2011 (with Charles A. and Fouilloux J.). abstract

  • Large shocks in U.S. macroeconomic time series: 1860–1988, Cliometrica, 5, 79-100, 2011 (with Charles A.). abstract

2010

  • Are disaggregate data useful for factor analysis in forecasting French GDP? , Journal of Forecasting, 29, 132-144, 2010 (with Barhoumi K. and Ferrara L.). abstract

2009

  • Variance ratio tests of random walk: An overview. Journal of Economic Surveys, 23, 503-527, 2009 (with Charles A.) abstract

  • Testing for random walk behavior in Euro exchange rates, International Economics, 119, 25-45, 2009 (with Charles A.). download

  • The efficiency of the crude oil markets: Evidence from variance ratio tests, Energy Policy, 37, 4267-4272, 2009 (with Charles A.). abstract

  • The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests, Economic System, 33 (2), 117-126, 2009 (with Charles A.) abstract

  • Spurious rejections with endogenous break unit root tests in the presence of outliers and breaks, Communications in Statistics – Simulation and Computation, 38(5), 1037-1050, 2009. abstract

  • The uncertain unit roots in real GNP: A re-examination, Journal of Macroeconomics, 31, 153-166, 2009. abstract

  • Performance of short-term trend predictors for current economic analysis, Economics Bulletin, 29 (1), 79-89, 2009 (with Dagum E.B.). abstract

2008

  • A note on unit root tests and GARCH errors: A simulation experiment, Communications in Statistics – Simulation and Computation, 37 (1-2), 314-319, 2008 (with Charles A.). abstract

  • The impact of outliers on transitory and permanent components in macroeconomic time series, Economics Bulletin, 3 (60), 1-9, 2008 (with Charles A.) abstract

  • Using business survey in industrial and services sector to nowcast GDP growth: The French case, Economics Bulletin, 3 (32), 1-8, 2008. abstract

2007

  • The purchasing power parity in Australia: Evidence from unit root test with structural break, Applied Economics Letters, 15 (3), 203-206, 2007 (with Hoarau J-F.). abstract

  • Further evidence on mean reversion in the Australian exchange rate, Bulletin of Economic Research, 59 (4), 383-395, 2007 (with Hoarau J-F.). abstract

  • Cliometrics of academic careers and the impact of infrequent large shocks in Germany before 1945, Empirical Economics Letters, 6(3), 173-183, 2007 (with Diebolt C.)

2006

  • Large shocks and the September 11th terrorist attacks: An intervention analysis approach on international stock markets, Economic Modelling, 23 (4), 683-698, 2006 (with Charles A.). abstract

2005

  • Relevance of detecting outliers in GARCH models for modelling and forecasting financial data, Finance, 26 (1), 33-71, 2005 (with Charles A.). abstract

  • Outliers and GARCH models in daily financial data, Economics Letters, 86 (3), 347-352, 2005 (with Charles A.). abstract

2004

  • Unit root and infrequent large shocks: New international evidence on output, Journal of Monetary Economics, 51 (7), 1449-1465, 2004 (with Diebolt C.). abstract

  • Seasonal cointegration for monthly data, Economics Letters, 82 (3), 349-356, 2004. Gauss codes upon request. abstract.

  • Forecasts of the seasonal fractional integrated series, Journal of Forecasting, 23 (1), 1-17, 2004 (with Guiraud V. and Terraza M.). abstract

  • The effects of additive outliers on stationarity tests: A Monte Carlo study, Economics Bulletin, 3 (16), 1-8, 2004. abstract

2003

  • Maximum likelihood seasonal cointegration tests for daily data, Economics Bulletin, 3 (18), 1-8, 2003. abstract

2002

  • A note on seasonal unit root tests, Quality and Quantity, 36 (3), 305-310, 2002 (with Diebolt C.) abstract

2000

  • Explorations in Monetary Cliometrics: The Reichsbank, 1876-1920, Historical Social Research, 25 (3/4), 23-35, 2000 (with Diebolt C.)

Publications in French

  • Une revue de la littérature des modèles à facteurs dynamiques, Economie et Prévision, 199, 51-77, 2013 (with Barhoumi K. and Ferrara L.) abstract

  • Un indicateur probabiliste du cycle d’accélération pour l’économie française, Economie et Prévision, 189, 95-114, 2009 (with Adanero-Donderis M. and Ferrara L.). abstract

  • La parité des pouvoirs d'achat pour l'économie chinoise : une nouvelle analyse par les tests de racine unitaire, Louvain Economic Research, 74 (2), 219-236, 2008 (with Hoarau J-F.). abstract

  • Pourquoi calculer un indicateur du climat des affaires dans les services ?, Bulletin de la Banque de France n°171, pp. 23-29, 2008 (with Brunhes-Lesage V.). abstract

  • OPTIM : un outil de prévision trimestrielle du PIB de la France, Bulletin de la Banque de France n°171, pp. 31-42, 2008 (with Barhoumi K., V. Brunhes-Lesage V., Ferrara L., Pluyaud B. and Rouvreau B.) abstract

  • L'indicateur synthétique mensuel d'activité (ISMA) : une révision, Bulletin de la Banque de France n°162, pp. 21-36, 2007 (with Brunhes-Lesage V.). abstract

  • Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des Etats-Unis, Revue d’Economie Politique, 116 (1), 65-78, 2006 (with Diebolt C.). abstract

  • Les méthodes et logiciels de désaisonnalisation en économie : une revue de la littérature, Journal de la Société Française de Statistique, 145 (4), 2004. download

  • La réserve monétaire de la Reichsbank, 1876-1920. Une analyse cliométrique, Economies et Sociétés, Série AF, 29 (1), 25-42, 2003 (with Diebolt C.). abstract

  • Tests de racines unitaires saisonnières pour des données journalières, Revue de Statistique Appliquée, L(2), 71-91, 2002 (with Litago J. and Terraza M.). download