Long Memory Process in Asset Returns with Multivariate GARCH innovations

The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a multivariate process exhibiting long term dependence in stock returns. More precisely, the long term dependence is examined in the …first conditional moment of US stock returns through multivariate ARFIMA process and the time-varying feature of volatility is explained by MGARCH models. An empirical application to the returns series is carried out to illustrate the usefulness of our approach. The main results confi…rm the presence of long memory property in the conditional mean of all stock returns.Forecasting; Long memory; Multivariate GARCH; Stock Returns

The Relation between the Consumer’s Knowledge and the Browsing Behavior

This research will focus on the study of the relation between the level of the consumer’s knowledge and the browsing behavior. An experimentation has been carried out in a real commercial context: A shop for sale of computers & accessories "Scoop", with 250 customers, shows that the behavior of browsing varies significantly according to the level of the consumer’s knowledge (high, moderate and low) and reaches its maximum with moderate-level knowledgeable individuals. Furthermore it emphasizes on the mediatory role of the implication towards the category of product in question between the level of knowledge (Low and moderate) and the browsing behavior. However, it is turned out that the relation between the consumers’ level of knowledge (high, moderate and low) and their browsing behavior is independent of their cognitions needs. Finally, the browsing behavior has no effect on the subjective knowledge of the consumers.browsing behavior, knowledge, cognition need, implication

Tunisian Financial System: a Growth Factor

The relationship between financial development and economic growth were the subject of many recent theorical and empirical works [Shepherd, Hasan and Klapper, 2004; Gylfason, 2004; Rioja and Valev, 2003; Driffill, 2004; Haas, 2002; Carlin and Mayer, 2000]. These authors generally focused their analysis of the link finance- growth on the mature financial systems. As the Tunisian economy knew a long period of financial repression before starting the phases of liberalization, it would be more judicious to start by McKinnon and Shaw’s theory of “financial deepening” (1973) to then determinate the impact of Tunisian financial system development on economic growth. Indeed, McKinnon and Shaw were the first authors to analyze positive effects of financial liberalization policy on economic performance of less developed countries. To check the relevance of this assumption in Tunisian’s context, we built a model inspired of the model of King and Levine (1993) who by measuring instruments of economic and financial development appears good indicators of Tunisian economy’s financiarisation. The results of the empirical study on Tunisia stemming from causality tests within B-VAR framework nuance McKinnon and Shaw’s theorical contribution. Reciprocal relationships are only finding between the ratio of investment on the GDP and the loans granted to private and public sectors. The economic role of State is highlighted, over the period of pre-reforms as well as during the recent time.financial repression; financial deepening; economic development; finance and growth; B-VAR

Analysing CPI inflation by the fractionally integrated ARFIMA-STVGARCH model

The aim of this paper is to study the dynamic evolution of inflation rate. The model is constructed by extending the ARFIMA-GARCH to ARFIMA with a time varying GARCH model where the transition from one regime to another is evolving smoothly over time. We show by Monte Carlo experiments that the constancy parameter tests perform well. We apply then this new model on eight countries from Europe, Japan and Canada and find that this model is appropriate for six among these countries.ARFIMA model, Generalised autoregressive conditional heteroscedasticity model, Inflation rate, Long memory process, Nonlinear time series, Time-varying parameter mode