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Information about:
Frédérique Bec

Personal Details | Affiliation | Works
This is information that was supplied by Frédérique Bec in registering through RePEc. If you are Frédérique Bec , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Frédérique
Middle Name:
Last Name: Bec
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RePEc Short-ID: pbe92

Email: [This author has chosen not to make the email address public]
Homepage: http://www.crest.fr/pageperso/bec/bec_en.htm
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Frédérique Bec & Christian Gollier, 2009. "Term Structure and Cyclicity of Value-at-Risk: Consequences for the Solvency Capital Requirement," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]

  2. Frédérique BEC, Charbel BASSIL, 2008. "Federal Funds Rate Stationarity: New Evidence," THEMA Working Papers 2008-35, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]

  3. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR model: a multivariate dynamic mixture autoregression," THEMA Working Papers 2008-11, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Published as:

  4. BEC, Frédérique & GOLLIER, Christian, 2006. "Assets Returns Volatility and Investment Horizon: The French Case," IDEI Working Papers 467, Institut d'Économie Industrielle (IDEI), Toulouse, revised 30 Nov 2008. [Downloadable!]
    Other versions:

  5. Frédérique Bec ; Anders Rahbek ; Neil Shephard, 2005. "The Autoregressive Conditional Root (ACR) Model," Working Papers 2005-26, Centre de Recherche en Economie et Statistique, revised 2005. [Downloadable!]

  6. Alexia Bastien ; Frédérique Bec, 2005. "The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan : Has There Been a Structural Change ?," Working Papers 2005-14, Centre de Recherche en Economie et Statistique, revised 2005. [Downloadable!]
    Published as:

  7. Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    Other versions:

  8. Frédérique Bec ; Alain Guay ; Emmanuel Guerre, 2002. "Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model," Working Papers 2002-46, Centre de Recherche en Economie et Statistique. [Downloadable!]
    Published as:

  9. Frederique Bec, 2000. "Nonlinear Economic Policies: Pitfalls in the Lucas Critique Empirical Counterpart," Econometric Society World Congress 2000 Contributed Papers 1401, Econometric Society. [Downloadable!]

  10. Bec, F., 1999. "Mondialisation, mobilite du capital et stabilite macro-economique," Papers 99-16, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
    Other versions:

  11. Bec, F. & Salem, M.B. & MacDonald, R., 1999. "Real Exchange Rates and Real Interest Rates: a nonlinear Perspective," Papers 99-17, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
    Other versions:
    Published as:

  12. Bec, F., 1992. "La transmission internationale des fluctuations: une explication de la correlation croisee des consommations," Papiers d'Economie Mathématique et Applications 92.38, Université Panthéon-Sorbonne (Paris 1).

Articles

  1. Frédérique Bec & Mélika Ben Salem & Anders Rahbek, 2008. "Purchasing power parity: A nonlinear multivariate perspective," Economics Bulletin, Economics Bulletin, vol. 6(39), pages 1-6. [Downloadable!]

  2. Bec, Frederique & Guay, Alain & Guerre, Emmanuel, 2008. "Adaptive consistent unit-root tests based on autoregressive threshold model," Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January. [Downloadable!] (restricted)
    Other versions:

  3. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October. [Downloadable!] (restricted)
    Other versions:

  4. Frédérique Bec & Alexia Bastien, 2007. "The Transmission of Aggregate Supply and Aggregate Demand Shocks in Japan: Has There Been a Structural Change?," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(4), pages 1342-1342. [Downloadable!] (restricted)
    Other versions:

  5. Frédérique Bec & Mélika Ben Salem & Ronald MacDonald, 2006. "Real exchange rates and real interest rates : a nonlinear perspective," Recherches économiques de Louvain, De Boeck Université, vol. 72(2), pages 177-194. [Downloadable!] (restricted)
    Other versions:

  6. Frédérique Bec & Anders Rahbek, 2004. "Vector equilibrium correction models with non-linear discontinuous adjustments," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 628-651, December. [Downloadable!] (restricted)

  7. Frederic Bec & Melika Ben Salem & Marine Carrasco, 2004. "Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 382-395, October. [Downloadable!] (restricted)

  8. Frédérique Bec & Mélika Ben Salem & Fabrice Collard, 2002. "Asymmetries in Monetary Policy Reaction Function: Evidence for U.S. French and German Central Banks," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 6(2), pages 1006-1006. [Downloadable!] (restricted)

  9. Frédéric Bec & Jean-Olivier Hairaut, 1993. "Une étude empirique des sources des fluctuations économiques dans le cadre d'un modéle à tendances communes," Annales d'Economie et de Statistique, ADRES, issue 30, pages 04, Avril-Jui. [Downloadable!]

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (2) 2009-01-31 2009-05-16 Author is listed
  2. NEP-ECM: Econometrics (3) 2004-09-30 2008-04-12 2009-05-16 Author is listed
  3. NEP-EEC: European Economics (1) 2007-08-27
  4. NEP-ETS: Econometric Time Series (2) 2004-09-30 2008-04-12 Author is listed
  5. NEP-FIN: Finance (1) 2004-09-30
  6. NEP-FMK: Financial Markets (2) 2007-08-27 2008-04-04 Author is listed
  7. NEP-IFN: International Finance (2) 2004-09-30 2009-05-16 Author is listed
  8. NEP-MAC: Macroeconomics (1) 2008-04-04
  9. NEP-RMG: Risk Management (1) 2008-04-04
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This page was last updated on 2009-10-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.