O
Olivier Darné
Researcher at University of Nantes
Publications - 148
Citations - 2773
Olivier Darné is an academic researcher from University of Nantes. The author has contributed to research in topics: Unit root & Volatility (finance). The author has an hindex of 27, co-authored 146 publications receiving 2474 citations. Previous affiliations of Olivier Darné include Banque de France & University of Montpellier.
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Variance ratio tests of random walk: An overview
Amélie Charles,Olivier Darné +1 more
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.
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Large shocks and the September 11th terrorist attacks on international stock markets
Amélie Charles,Olivier Darné +1 more
TL;DR: In this paper, the effects of terrorist attacks in U.S. on September 11, 2001, on international stock markets have been investigated using the outlier detection methodology and they show that the international stock market experienced large (permanent and temporary) shocks in response to the terrorist attacks and its aftermath.
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Are Disaggregate Data Useful for Factor Analysis in Forecasting French GDP
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.
Journal ArticleDOI
Variance-ratio tests of random walk: an overview
Amélie Charles,Olivier Darné +1 more
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.
Journal ArticleDOI
Unit roots and infrequent large shocks: new international evidence on output
TL;DR: In this paper, the authors analyzed the nature and magnitude of economic shocks that have affected the per capita GDP of 16 OECD countries over a long period using the outlier method and found that infrequent large permanent and transitory shocks were found, essentially resulting from the two major wars in the twentieth century, the recession in the 1920s, the Great Depression, among others.