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Olivier DARNE

Professor in Economics, Nantes University
84
Documents
Current affiliations
  • 1088598
Web site
  • https://sites.google.com/site/odarne/home

Publications

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Stock Return Predictability: Evaluation based on interval forecasts

Amélie Charles , Olivier Darné , Jae Kim
Bulletin of Economic Research, 2022, 74 (2), pp.363-385. ⟨10.1111/boer.12298⟩
Journal articles hal-03656310v1
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Backcasting world trade growth using data reduction methods

Amélie Charles , Olivier Darné
The World Economy, 2022, 45 (10), pp.3169 - 3191. ⟨10.1111/twec.13274⟩
Journal articles hal-04027843v1
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Econometric history of the growth–volatility relationship in the USA: 1919–2017

Amélie Charles , Olivier Darné
Cliometrica, 2021, 15, pp.419 - 442. ⟨10.1007/s11698-020-00209-y⟩
Journal articles hal-03186891v1
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Oil Price Shocks, Real Economic Activity and Uncertainty

Amélie Charles , Chew Lian Chua , Olivier Darné , Sandy Suardi
Bulletin of Economic Research, 2021, 73 (3), pp.364-392. ⟨10.1111/boer.12252⟩
Journal articles hal-03284089v1
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Nowcasting GDP growth using data reduction methods: Evidence for the French economy

Olivier Darné , Amelie Charles
Economics Bulletin, 2020
Journal articles hal-02948802v1
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On the Pernicious Effects of Oil Price Uncertainty on U.S. Real Economic Activities

Amélie Charles , Chew Lian Chua , Olivier Darné , Sandy Suardi
Empirical Economics, 2020, 59 (6), pp.2689-2715. ⟨10.1007/s00181-019-01801-6⟩
Journal articles hal-03040689v1
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How resilient is La Réunion in terms of international tourism attractiveness: an assessment from unit root tests with structural breaks from 1981-2015

Amélie Charles , Olivier Darné , Jean-François Hoarau
Applied Economics, 2019, 51 (24), pp.2639-2653. ⟨10.1080/00036846.2018.1558349⟩
Journal articles hal-02053296v1
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Volatility estimation for Bitcoin: Replication and robustness

Olivier Darné , Amélie Charles
Économie Internationale, 2019, 157, pp.23-32. ⟨10.1016/j.inteco.2018.06.004⟩
Journal articles hal-01941102v1
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The accuracy of asymmetric GARCH model estimation

Amélie Charles , Olivier Darné
International Economics, 2019, 157, pp.179-202. ⟨10.1016/j.inteco.2018.11.001⟩
Journal articles hal-01943883v1

On the stationarity of CO2 emissions in OECD and BRICS countries: A sequential testing approach

Eléazar Zerbo , Olivier Darné
Energy Economics, 2019, 83, pp.319-332. ⟨10.1016/j.eneco.2019.07.013⟩
Journal articles hal-04295880v1

Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks

Amélie Charles , Olivier Darné
Economics Bulletin, 2019, 39 (2), pp.954-968
Journal articles hal-03794543v1
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Does the Great Recession imply the end of the Great Moderation? International evidence

Amélie Charles , Olivier Darné , Laurent Ferrara
Economic Inquiry, 2018, 56 (2), pp.745-760. ⟨10.1111/ecin.12551⟩
Journal articles hal-01757081v1
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The new MIBA model: Real-time nowcasting of French GDP using the Banque de France's monthly business survey

Matteo Mogliani , Olivier Darné , Bertrand Pluyaud
Economic Modelling, 2017, 64, pp.26-39. ⟨10.1016/j.econmod.2017.03.003⟩
Journal articles hal-03764267v1
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Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices

Amélie Charles , Olivier Darné , Jae H Kim
SSRN : Social Science Research Network, 2017, ⟨10.2139/ssrn.2611472⟩
Journal articles hal-01526483v1
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Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices

Amélie Charles , Olivier Darné , Jae H Kim
International Economics/Economie Internationale, 2017, 151, pp.100 - 112. ⟨10.1016/j.inteco.2017.05.002⟩
Journal articles hal-01579718v1
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Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices

Amélie Charles , Olivier Darné , Jae Paul Kim
International Economics, 2017, 151, pp.100-112. ⟨10.1016/j.inteco.2017.05.002⟩
Journal articles hal-01598139v1
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Forecasting crude-oil market volatility: Further evidence with jumps

Amélie Charles , Olivier Darné
Energy Economics, 2017, ⟨10.1016/j.eneco.2017.09.002⟩
Journal articles hal-01598141v1
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International Stock Return Predictability: Evidence from New Statistical Tests

Amélie Charles , Olivier Darné , Jae H Kim
International Review of Financial Analysis, 2017, 54, pp.97-113. ⟨10.1016/j.irfa.2016.06.005⟩
Journal articles hal-01626101v1
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Uncertainty and the Macroeconomy

Amélie Charles , Olivier Darné , Fabien Tripier
Applied Economics, 2017, 50 (10), pp.1093-1107. ⟨10.1080/00036846.2017.1349294⟩
Journal articles hal-01549625v1
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Stock market reactions to FIFA World Cup announcements: An event study

Amélie Charles , Olivier Darné
Economics Bulletin, 2016, 36 (4), pp.2028-2036
Journal articles hal-01395333v1
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Stock Exchange Mergers and Market

Amélie Charles , Olivier Darné , Jae H. Kim , Etienne Redor
Applied Economics, 2016, 48 (7), pp.576-589. ⟨10.1080/00036846.2015.1083090⟩
Journal articles hal-01238707v1

A world trade leading index (WLTI)

Laurent Ferrara , Olivier Darné , Karim Barhoumi
Economics Letters, 2016, 146, pp.111-115
Journal articles hal-01635948v1
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Will precious metals shine ? A market efficiency perspective

Amélie Charles , Olivier Darné , Jae H. Kim
International Review of Financial Analysis, 2015, 41, pp.284-291. ⟨10.1016/j.irfa.2015.01.018⟩
Journal articles hal-01238706v1
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Are unit root tests useful in the debate over the (non)stationarity of hours worked?

Amélie Charles , Olivier Darné , Fabien Tripier
Macroeconomic Dynamics, 2015, 19, pp.167 - 188. ⟨10.1017/S1365100513000321⟩
Journal articles hal-01101618v1
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Are the Islamic indexes size or sector oriented? evidence from Dow Jones Islamic indexes

Amélie Charles , Olivier Darné
Economics Bulletin, 2015, 35 (3), pp.1897-1905
Journal articles hal-01330467v1
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Risk and ethical investment: Empirical evidence from Dow Jones Islamic indexes

Amélie Charles , Olivier Darné , Adrian Pop
Research in International Business and Finance, 2015, 35, pp.33-56. ⟨10.1016/j.ribaf.2015.03.003⟩
Journal articles hal-01153899v1
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A new monthly chronology of the US industrial cycles in the prewar economy

Amélie Charles , Olivier Darné , Claude Diebolt , Laurent Ferrara
Journal of Financial Stability, 2015, 17, pp.3-9. ⟨10.1016/j.jfs.2014.06.002⟩
Journal articles hal-01146800v2

La volatilité du Dow Jones : les leçons de l’histoire à travers l’étude des chocs (1928-2013)

Amélie Charles , Olivier Darné
Revue d'économie financière, 2015, 118, pp.243-247. ⟨10.3917/ecofi.118.0243⟩
Journal articles hal-01169737v1
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A revision of the US business-cycles chronology 1790-1928

Amélie Charles , Olivier Darné , Claude Diebolt
Economics Bulletin, 2014, 34 (1), pp.234-244
Journal articles hal-01122519v2
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Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013

Amélie Charles , Olivier Darné
Journal of Banking and Finance, 2014, 43, pp.188-199. ⟨10.1016/j.jbankfin.2014.03.022⟩
Journal articles hal-01122507v1
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Volatility persistence in crude oil markets

Amélie Charles , Olivier Darné
Energy Policy, 2014, 65, pp.729-742. ⟨10.1016/j.enpol.2013.10.042⟩
Journal articles hal-00940312v1

Testing the number of factors: An empirical assessment for forecasting purposes

Karim Barhoumi , Olivier Darné , Laurent Ferrara
Oxford Bulletin of Economics and Statistics, 2013, 75, pp.64 - 79
Journal articles hal-01385876v1
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Dynamic factor models: A review of the literature

Karim Barhoumi , Olivier Darné , Laurent Ferrara
Journal of Business Cycle Measurement and Analysis, 2013, 2, pp.73 - 107. ⟨10.1787/jbcma-2013-5jz417f7b7nv⟩
Journal articles hal-01385974v1

Une revue de la littérature des modèles à facteurs dynamiques

Karim Barhoumi , Olivier Darné , Laurent Ferrara
Počítačová podpora v archeologii, 2013
Journal articles hal-01385940v1
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Market efficiency in the European carbon markets

Amélie Charles , Olivier Darné , Jessica Fouilloux
Energy Policy, 2013, 60, pp.785-792. ⟨10.1016/j.enpol.2013.05.036⟩
Journal articles halshs-00846679v1

Testing the Number of Factors: An Empirical Assessment for a Forecasting Purpose

Karim Barhoumi , Olivier Darné , Laurent Ferrara
Oxford Bulletin of Economics and Statistics, 2012, 75 (1), pp.64-79. ⟨10.1111/obes.12010⟩
Journal articles hal-04344628v1
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A note of the uncertain trend in US real GNP: Evidence from robust unit root tests

Olivier Darné , Amélie Charles
Economics Bulletin, 2012, 32 (3), pp.2399-2406
Journal articles hal-00956936v1
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Trends and random walks in macroeconomic time series: A reappraisal

Amélie Charles , Olivier Darné
Journal of Macroeconomics, 2012, 34 (1), pp.167-180. ⟨10.1016/j.jmacro.2011.10.001⟩
Journal articles hal-00956937v1
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Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates

Amélie Charles , Olivier Darné , Jae H. Kim
Journal of International Money and Finance, 2012, 31 (6), pp.1607-1626. ⟨10.1016/j.jimonfin.2012.03.003⟩
Journal articles hal-00958288v1
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Convergence of real per capita GDP within COMESA countries: A panel unit root evidence

Amélie Charles , Olivier Darné , Jean-François Hoarau
Annals of Regional Science, 2012, 49 (1), pp.53-71. ⟨10.1007/s00168-010-0427-z⟩
Journal articles hal-00956938v1

Monthly GDP forecasting using bridge models: Comparison from the supply and demand sides for the French economy

Karim Barhoumi , Olivier Darné , Laurent Ferrara , Bertrand Pluyaud
Bulletin of Economic Research, 2012, 64, pp.53 - 70
Journal articles hal-01385807v1
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Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis

Amélie Charles , Olivier Darné , Jae Kim
Economics Letters, 2011, 110 (2), pp.151-154. ⟨10.1016/j.econlet.2010.11.018⟩
Journal articles hal-00771829v1

Testing the martingale difference hypothesis in CO2 emission allowances

Amélie Charles , Olivier Darné , Jessica Fouilloux
Economic Modelling, 2011, 28 (1-2), pp.27-35. ⟨10.1016/j.econmod.2010.10.003⟩
Journal articles halshs-00600724v1
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Large shocks in U.S. macroeconomic time series: 1860-1988

Olivier Darné , Amélie Charles
Cliometrica, 2011, 5, pp.79-100. ⟨10.1007/s11698-010-0052-1⟩
Journal articles hal-00771828v1

Testing for random walk behavior in euro exchange rates

Amélie Charles , Olivier Darné
International Economics/Economie Internationale, 2009,   (119), pp.25-45
Journal articles hal-00771082v1
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The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests

Amélie Charles , Olivier Darné
Economic Systems, 2009, 33 (2), pp.117-126. ⟨10.1016/j.ecosys.2008.09.003⟩
Journal articles hal-00771080v1
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Variance ratio tests of random walk: An overview

Amélie Charles , Olivier Darné
Journal of Economic Surveys, 2009, 23 (3), pp.503-527. ⟨10.1111/j.1467-6419.2008.00570.x⟩
Journal articles hal-00771078v1
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The efficiency of the crude oil markets: Evidence from variance ratio tests

Amélie Charles , Olivier Darné
Energy Policy, 2009, 37 (11), pp.4267-4272. ⟨10.1016/j.enpol.2009.05.026⟩
Journal articles hal-00771081v1

The purchasing power parity in Australia: evidence from unit root test with structural break

Olivier Darné , Jean-François Hoarau
Applied Economics Letters, 2008, 15 (3), pp.203--206. ⟨10.1080/13504850600721957⟩
Journal articles hal-01243482v1

La parité des pouvoirs d'achat pour l'économie chinoise : une nouvelle analyse par les tests de racine unitaire

Olivier Darné , Jean-François Hoarau
Recherches Economiques de Louvain - Louvain economic review, 2008, 74 (2), pp.219--236
Journal articles hal-01243479v1
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The impact of outliers on transitory and permanent components in macroeconomic time series

Olivier Darné , Amélie Charles
Economics Bulletin, 2008, 3 (60), pp.1-9
Journal articles hal-00765362v1

La Reichsbank, 1876-1920. Une analyse institutionnelle et cliométrique

Olivier Darné , Claude Diebolt
Revue européenne des sciences sociales (Cahiers Vilfredo Pareto), 2006, 45 (137), pp.203-212. ⟨10.4000/ress.233⟩
Journal articles hal-00279130v1

Chocs temporaires et permanents dans le PIB de la France, du Royaume-Uni et des États-Unis

Olivier Darné , Claude Diebolt
Revue d'économie politique, 2006, 1 (116), pp.65-78. ⟨10.3917/redp.161.0065⟩
Journal articles hal-00279389v1

Cliometrics of Academic Careers and the Impact of Infrequent Large Shocks in Germany before 1945

Claude Diebolt , Olivier Darné
Empirical Economic Letters, 2005, pp.20
Journal articles hal-00279246v1

Unit Roots and Infrequent Large Shocks : New International Evidence on Output

Olivier Darné , Claude Diebolt
Journal of Monetary Economics, 2004, 51 (7), pp.1449-1465. ⟨10.1016/j.jmoneco.2003.12.007⟩
Journal articles hal-00279015v1

A Brief History of Seasonal Adjustment Methods and Software Tools

Olivier Darné , Laurent Ferrara , Dominique Ladiray
Handbook on Seasonal Adjustment, eurostat, pp.69-90, 2018, Manuals and guidelines, 978-92-79-80170-9
Book sections hal-03754072v1

Non-stationarity Tests in Macroeconomic Time Series

Olivier Darné , Claude Diebolt
Claude Diebolt; Catherine Kyrtsou. New Trends in Macroeconomics, Springer Verlag, pp.173-194, 2005, 978-3-540-28556-4. ⟨10.1007/3-540-28556-3_9⟩
Book sections hal-00279447v1
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Forecasting and risk management in the Vietnam Stock Exchange

Manh Ha Nguyen , Olivier Darné
2018
Preprints, Working Papers, ... halshs-01679456v1
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How resilient is La Réunion interms of international tourism attractiveness: an assessment from unit root tests with structural breaks from1981-2015

Amélie Charles , Olivier Darné , Jean-François Hoarau
2018
Preprints, Working Papers, ... hal-01943891v1
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The impact of screening strategies on the performance of ESG indices

Amélie Charles , Olivier Darné , Jessica Fouilloux
2016
Preprints, Working Papers, ... hal-01344699v1
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Stock Return Predictability: Evaluation based on prediction intervals

Amélie Charles , Olivier Darné , Jae H. Kim
2016
Preprints, Working Papers, ... hal-01295037v1
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Identifying and characterizing business and acceleration cycles of French jobseekers Identifying and characterizing business and acceleration cycles of French jobseekers

Amélie Charles , Olivier Darné
2015
Preprints, Working Papers, ... hal-01160090v1
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Commodity returns co-movements: Fundamentals or "style" effect?

Philippe Charlot , Olivier Darné , Zakaria Moussa
2014
Preprints, Working Papers, ... hal-01093631v1
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Stock Exchange Mergers and Market Efficiency

Amélie Charles , Olivier Darné , Jae H. Kim , Etienne Redor
2014
Preprints, Working Papers, ... hal-00940105v1
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Precious metals shine? A market efficiency perspective

Amélie Charles , Olivier Darné , Jae H. Kim
2014
Preprints, Working Papers, ... hal-01010516v1
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Production and consumption-based approaches for the Environmental Kuznets Curve in Latin America using Ecological Footprint

Marie-Sophie Hervieux , Olivier Darné
2014
Preprints, Working Papers, ... hal-00958692v1
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Does the Great Recession imply the end of the Great Moderation? International evidence

Amélie Charles , Olivier Darné , Laurent Ferrara
2014
Preprints, Working Papers, ... hal-00952951v1
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The sensitivity of Fama-French factors to economic uncertainty

Amélie Charles , Olivier Darné , Zakaria Moussa
2014
Preprints, Working Papers, ... hal-01015702v1
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Does the Great Recession imply the end of the Great Moderation? International evidence

Amélie Charles , Olivier Darné , Laurent Ferrara
2014
Preprints, Working Papers, ... hal-04141344v1
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A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets

Liang Guo-Fitoussi , Olivier Darné
2014
Preprints, Working Papers, ... hal-00962247v1
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Environmental Kuznets Curve and Ecological Footprint: A Time Series Analysis

Marie-Sophie Hervieux , Olivier Darné
2013
Preprints, Working Papers, ... hal-00781958v1
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Are Islamic Indexes more Volatile than Conventional Indexes? Evidence from Dow Jones Indexes

Amélie Charles , Olivier Darné , Adrian Pop
2012
Preprints, Working Papers, ... hal-00678895v1
Image document

Volatility Persistence in Crude Oil Markets

Amélie Charles , Olivier Darné
2012
Preprints, Working Papers, ... hal-00719387v1
Image document

Large Shocks in the Volatility of the Dow Jones Industrial Average Index: 1928-2010

Amélie Charles , Olivier Darné
2012
Preprints, Working Papers, ... hal-00678932v1
Image document

A new monthly chronology of the US industrial cycles in the prewar economy

Amélie Charles , Olivier Darné , Claude Diebolt , Laurent Ferrara
2011
Preprints, Working Papers, ... hal-04140957v1
Image document

Testing the Speculative Efficiency Hypothesis on CO 2 Emission Allowance Prices: Evidence from Bluenext

Amélie Charles , Olivier Darné , Jessica Fouilloux
2011
Preprints, Working Papers, ... hal-00570307v1
Image document

Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates

Amélie Charles , Olivier Darné , Jae H. Kim
2010
Preprints, Working Papers, ... hal-00547722v1
Image document

Are Unit Root Tests Useful in the Debate over the (Non)Stationarity of Hours Worked?

Amélie Charles , Olivier Darné , Fabien Tripier
2010
Preprints, Working Papers, ... hal-00527122v1
Image document

A note on the uncertain trend in US real GNP: Evidence from robust unit root test

Amélie Charles , Olivier Darné
2010
Preprints, Working Papers, ... hal-00547737v1
Image document

Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II

Amélie Charles , Olivier Darné , Jessica Fouilloux
2010
Preprints, Working Papers, ... hal-00473727v1
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Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?

Amélie Charles , Olivier Darné , Jean-François Hoarau
2009
Preprints, Working Papers, ... hal-00422522v1
Image document

Large shocks in U.S. macroeconomic time series: 1860–1988

Olivier Darné , Amélie Charles
2009
Preprints, Working Papers, ... hal-00422502v1
Image document

Testing the purchasing power parity in China

Olivier Darné , Jean-François Hoarau
2006
Preprints, Working Papers, ... hal-04138871v1