Olivier Darné

TL;DR: In this article, the authors present the conventional individual and multiple variance-ratio (VR) tests as well as their improved modifications based on power-transformed statistics, rank and sign tests, subsampling and bootstrap methods, among others.

TL;DR: In this paper, the authors compared the performance of alternative factor models based on static and dynamic principal components for the French economy, and evaluated the forecasting accuracy in two ways for GDP growth: aggregate or disaggregate data (with three disaggregating levels) to extract the factors.

TL;DR: In this paper, the authors compared the performance of alternative factor models based on monthly time series for the French economy, and empirically showed that static factors, estimated from a small database, lead to competitive results, especially for nowcasting.

TL;DR: The authors examined the random walk hypothesis for the crude oil markets, using daily data over the period 1982-2008, and found that the Brent crude oil market is weak-form efficiency while the WTI market seems to be inefficiency on the 1994-2008 sub-period.