Les apports de la coïntégration aux tests d'efficience

 Access to full text

 Full (PDF)

1. ARTUS P. (1988) " Efficience et cloisonnement du marché des changes et des marchés financiers en France 1970-1986", Cahiers Économiques et Monétaires, n° 31, 49-116. 
2. BESSLER D. A. et COVEY T. (1991) " Cointegration : some Results on U.S. Cattle Prices", Future Markets, n° 4, 461-474. 
3. BOURGUINAT H. et ARTUS P. (1989) Théorie économique et crise des marchés financiers, Économica. 
4. BOX G.E.P. et JENKINS C.M. (1970) Time Series Analysis Forecasting and Control, San Francisco, Holden Day. Zbl0249.62009MR272138
5. BRENNAN P. et ULVELING E. (1984) " Considering an Informational Role for a Future Market", Review of Economic Studies, 33-52. 
6. CAMPBELL J.Y. et SHILLER R.J. (1987) " Cointegration and Tests of Present Value Models", J. Political Economy, n° 5, 1063-1088. 
7. CHOWDHURY A.R. (1991) " Futures Market Efficiency : Evidence from Cointegration Tests", J. Future Markets, n° 5, 577-589. 
8. CROWDER W.J. et HAMED A. (1993) " A Cointegration Test for Oil Futures Market Efficiency", J. Future Markets, n°, 933-943. 
9. DIBA B.T. GROSSMAN H.I. (1988) " Rational Inflationnary Bubbles", J. Monetary Economics, 35-64. 
10. DICKEY D. et FULLER W. (1981) " Likehood Ratio Satistics for Autoregressive Time Series with a Unit Root", Econometrica, 1057-1072. Zbl0471.62090MR625773
11. DOLADO J.J., JENKINSON T. et SOSVILLA-RIVERO S. (1990) " Cointegration and Unit Roots", J. Economic Surveys, n° 3, 249-273. 
12. ENGLE et GRANGER C.W.J. (1987) " Cointegration and Error Correction : Representation, Estimation and Testing", Econometrica, 251-276. Zbl0613.62140
13. ENGLE R.F. et YOO B.S. (1987) " Forecasting and Testing in a Co-integrated Systems", Econometrics, 143-159. Zbl0649.62108
14. EVANS G.B. et SAVIN N.E. (1984) " Testing for Unit Roots : 2", Econometrica, 1241-1269. Zbl0579.62014MR763072
15. FIGLEWSKY S. (1981) " Futures Trading and Volatility in the GNMA Markets", J. Finance, 445-456. 
16. FONTAINE P. (1990) " Peut-on prédire l'évolution des marchés d'actions à partir des cours et des dividendes passés ?", J. de la Société de Statistique de Paris, n° 1, 17-36. 
17. FORTENBERY T.R. et ZAPATA H.O. (1993) " An Examination of Cointegration Relations between Futures and Local Grain Markets", J. Future Markets, n° 8, 921-932. 
18. GHOSH A. (1993) " Cointegration and Error Correction Models : Intertemporal Causality between Index and Futures Prices", J. Future Markets, n° 2, 193-198. 
19. GRANGER C.W.J. et WEISS A.A. (1983) " Times Series Analysis of Error Correction Models", in Karlin-Amemiya-Goodman (eds), Studies in Econometric Time Series and Multivariate Statistics, New-York, Academic Press. Zbl0547.62060MR738656
20. GRANGER C.W.J. (1986) " Developments in the Study of Cointegrated Economic Variables", Oxford Bulletin of Economics and Statistics, n° 3, 213-228. 
21. GRANGER C.W.J. (1966) " The Typical Spectral Shape of an Economic Variable", Econometrica, 150-166. 
22. HAKKIO C.S. et RUSH M. (1989) " Market Efficiency and Cointegration : an Application to the Sterling and Deutschmark Exchange Markets", J. International Money and Finance, 75-88. 
23. KREHBIEL T. et ADKINS L.C. (1993) " Cointegration Tests of the Unbiaised Expectations Hypothesis in Metals Markets", J. Future Markets, n° 7, 753-764. 
24. LAI K.S. et LAI M. (1991) " A Cointegration Test for Market Efficiency", J. Future Markets, n° 5, 567-575. 
25. LE ROY S. et PORTER R. (1981) " The Present Value Relation : Test Based on Implied Variance Bounds", Econometrica, 555-574. Zbl0469.62096
26. LIEN D. et LUO X. (1993) " Estimating Multiperiod Hedge Ratios in Cointegrated Markets", J. Future Markets, n° 8, 909-920. 
27. LO A. et MACKINLEY C. (1988) " Stock Market Prices Do Not Follow Random Walks : Evidence from a Simple Specification Test", R. Financial Studies, 41-66. 
28. MANDELBROT B. (1962) " Sur certains prix spéculatifs : faits empiriques et modèle basé sur les processus stables additifs non gaussiens de Paul Lévy", Compte Rendus à l'Académie des Sciences, 3968-3970. Zbl0100.34904
29. MYERS S.C. (1988) " Colloque de la London School of Economics", Financial Times, 5 avril. 
30. NELSON C.R. et PLOSER C.I. (1982) " Trends and Random Walk in Macro-Economic Time Series", J. Monetary Economics, 139-162. 
31. SALMON M. (1982) " Error Correction Mechanisms", Economic Journal, 615-629. 
32. SARGAN J.D. (1964) " Wages and Prices in the United Kingdom : a Study in Methodology", in Econometric Analysis for National Economic Planning, Hart-Mills-Whittaker Eds, Londres. 
33. SCHROEDER T.C. et GOODWIN B.K. (1991) " Price Discovery and Cointegration for Live Hogs", J. Future Markets, n° 6, 685-696. 
34. SCHWERT G.W. (1987) " Effects of Model Specification on Tests for Unit Roots Economic Data", J. Monetary Economics, 73-103. 
35. SHILLER R. (1979) " The Volatility of Long-term Interest Rates and Expectations Models of the Term Structure", J. Political Economy, 1190-1218. 
36. SUMMERS L. (1986) " Does the Stock Market Rationnaly Reflect Fundamental Values?", J. Finance, 591-600. 
37. TURNOVSKY S. (1979) " Futures Markets, Private Storage and Price Stabilization", J. Public Economics, 301-327. 
38. WAHAB M. et LASHGARI M. (1993) " Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets : a Cointegration Approach", J. Future Markets, n° 7, 711-742. 

1. Auguste Mpacko Priso, Efficience du marché boursier new-yorkais. Une analyse à partir de la théorie de la cointégration
2. Jean-Jacques Lilti, Dépendance de durée et tests de bulles spéculatives