L'économétrie des modèles dynamiques : avantages et limites des modèles ARCH

Antoine Frachot; Christian Gourieroux

Journal de la société française de statistique (1992)

  • Volume: 133, Issue: 4, page 53-64
  • ISSN: 1962-5197

How to cite


Frachot, Antoine, and Gourieroux, Christian. "L'économétrie des modèles dynamiques : avantages et limites des modèles ARCH." Journal de la société française de statistique 133.4 (1992): 53-64. <http://eudml.org/doc/198294>.

author = {Frachot, Antoine, Gourieroux, Christian},
journal = {Journal de la société française de statistique},
language = {fre},
number = {4},
pages = {53-64},
publisher = {Société de statistique de Paris},
title = {L'économétrie des modèles dynamiques : avantages et limites des modèles ARCH},
url = {http://eudml.org/doc/198294},
volume = {133},
year = {1992},

AU - Frachot, Antoine
AU - Gourieroux, Christian
TI - L'économétrie des modèles dynamiques : avantages et limites des modèles ARCH
JO - Journal de la société française de statistique
PY - 1992
PB - Société de statistique de Paris
VL - 133
IS - 4
SP - 53
EP - 64
LA - fre
UR - http://eudml.org/doc/198294
ER -


  1. BOLLERSLEV T. (1986) " Generalized Autoregressive Conditional Heteroskedasticity", J. of Econometrics, 307-327. Zbl0616.62119MR853051
  2. CHAMBERLAIN G., ROTHSCHILD H. (1983) " Arbitrage, Factor Structure and Mean Variance Analysis on Change Asset Markets", Econometrica, 1281-1301. Zbl0523.90017MR736051
  3. DIEBOLD F., NERLOVE M. (1989) " The Dynamic of Exchange Rate Volatility : A Multivariate Latent Factor ARCH Model", J. of Applied Econometrics, 1-22. Zbl1126.91365
  4. DUFFIE D., SINGLETON R. (1989) Simulated Moments Estimation of Markov Models of Asset Prices, Working Paper. Zbl0783.62099
  5. ENGLE R. (1982) " Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, 987-1008. Zbl0491.62099MR666121
  6. ENGLE R., LILIEN D., ROBBINS R. (1987) " Estimating Time Varying Risk Premium in the Tenu Structure : the ARCH-M Model", Econometrica, 391-407. 
  7. GOURIEROUX C. (1992) " Models ARCH : Applications Financières", Economica 400. 
  8. GOURIEROUX C., MONFORT A. (1992) " Qualitative Threshold ARCH Models", J. of Econometrics, 52, 159-200. Zbl0792.62103MR1165647
  9. GOURIEROUX C., MONFORT A., RENAULT E. (1991) Dynamic Factor Models, CREST D.P. 
  10. GOURIEROUX C., PEAUCELLE I. (1991) Analyse statistique des transitions : l'exemple de la Nouvelle Politique Économique en URSS 1922-1927, à paraître dans Economie et Prévision. 
  11. HAMILTON J. (1989) " A New approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle", Econometrica, 357-384. Zbl0685.62092MR996941
  12. HARVEY A., RUIZ E., SHEPARD N. (1991) Modelling Volatility : Some Alternatives to ARCH, London School of Economies. 
  13. KING M., SANTANA E., WADHWANI S. (1990) A Heteroscedastic Factor Model of Asset Returns and Risk Premia with Time Varying Volatility : An Application to Sixteen World Stock Markets, London School of Economics. 
  14. LOFTON T. (1986) Trading Tactics : A Livestock Futures Anthology, Chicago Mercantile Exchange. 
  15. NELSON D. (1987) Conditional Heteroskedasticity in Asset Return : A New Approach, M.I.T. D.P.. 
  16. PAGAN A., SCHWERT W. (1990) " Alternative Models for Conditional Stock Volatility", J. of Econometrics, 267-290. 
  17. RABEMANANJARA R., ZAKOÏAN J.M. (1992) Threshold GARCH models and Asymmetries in Volatility, à paraître dans J. of Applied Econometrics. 
  18. TAYLOR S. (1985) Modelling Financial Time Series, North-Holland. Zbl1130.91345

NotesEmbed ?


You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.


Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.