Most of the information presented on this page have been retrieved from RePEc with the kind authorization of Christian Zimmermann
Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time SeriesBook chapterGilles Dufrénot, Takashi Matsuki and Kimiko Sugimoto, In: Recent Econometric Techniques for Macroeconomic and Financial Data, Gilles Dufrénot and Takashi Matsuki (Eds.), 2021-01, Volume 27, pp. 3-34, Springer, 2021

This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard spectral analysis, new tools are now used based on copula spectrum, quantile spectrum and Laplace periodogram in both non-parametric and parametric contexts. The chapter presents a comprehensive overview of both theoretical and empirical issues as well as a computational approach to explain how the methods can be implemented using the R Package.

Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITsBook chapterMarcel Aloy, Floris Laly, Sébastien Laurent and Christelle Lecourt, In: Recent Econometric Techniques for Macroeconomic and Financial Data, Gilles Dufrénot and Takashi Matsuki (Eds.), 2021-01, pp. 229-264, Springer International Publishing, 2021

Beta coefficients are the cornerstone of asset pricing theory in the CAPM and multiple factor models. This chapter proposes a review of different time series models used to estimate static and time-varying betas, and a comparison on real data. The analysis is performed on the USA and developed Europe REIT markets over the period 2009–2019 via a two-factor model. We evaluate the performance of the different techniques in terms of in-sample estimates as well as through an out-of-sample tracking exercise. Results show that dynamic models clearly outperform static models and that both the state space and autoregressive conditional beta models outperform the other methods.

Optimal Switching from Competition to Cooperation: A Preliminary ExplorationBook chapterRaouf Boucekkine, Carmen Camacho and Benteng Zou, In: Dynamic Economic Problems with Regime Switches, V. Veliov, J. Haunschmied, R. Kovacevic and W. Semmler (Eds.), 2021, pp. 209-225, Springer International Publishing, 2021

In this paper, we tackle a generic optimal regime switching problem where the decision-making process is not the same from one regime to another. Precisely, we consider a simple model of optimal switching from competition to cooperation. To this end, we solve a two-stage optimal control problem. In the first stage, two players engage in a dynamic game with a common state variable and one control for each player. We solve for open-loop strategies with a linear state equation and linear-quadratic payoffs. More importantly, the players may also consider the possibility to switch at finite time to a cooperative regime with the associated joint optimization of the sum of the individual payoffs. Using theoretical analysis and numerical exercises, we study the optimal switching strategy from competition to cooperation. We also discuss reverse switching.