Une approche prospective des modèles ARCH
Journal de la société française de statistique (1992)
- Volume: 133, Issue: 4, page 65-76
- ISSN: 1962-5197
Access Full Article
topHow to cite
topAvouyi-Dovi, Sanvi. "Une approche prospective des modèles ARCH." Journal de la société française de statistique 133.4 (1992): 65-76. <http://eudml.org/doc/198537>.
@article{Avouyi1992,
author = {Avouyi-Dovi, Sanvi},
journal = {Journal de la société française de statistique},
language = {fre},
number = {4},
pages = {65-76},
publisher = {Société de statistique de Paris},
title = {Une approche prospective des modèles ARCH},
url = {http://eudml.org/doc/198537},
volume = {133},
year = {1992},
}
TY - JOUR
AU - Avouyi-Dovi, Sanvi
TI - Une approche prospective des modèles ARCH
JO - Journal de la société française de statistique
PY - 1992
PB - Société de statistique de Paris
VL - 133
IS - 4
SP - 65
EP - 76
LA - fre
UR - http://eudml.org/doc/198537
ER -
References
top- AVOUYI-DOVI S. (1992) Les modèles ARCH : mythe ou réalité, Document de Travail CDC, 1992-12T.
- ATLAN F., AVOUYI-DOVI S., DUCOS Ph. (1990) Dynamique des taux de change : les propriétés statistiques, Document de Travail CDC, n° 1990//01T.
- BAILLIE R.T., BOLLERSLEV T. (1989) " The Message in Daily Exchange Rates : A Conditional Variance Tale", J. of Business and Economics Statistics, 297-305.
- BAILLIE RT., BOLLERSLEV T. (1991) " Intra Day and Inter Market Volatility in Foreign Exchange Rates", R. of Economics Studies, 565-585.
- BARNEA A., DOWNES D.H. (1976) " A Reexamination of Empirical Distribution of Stock Price Changes", J. of the American Statistical Association, 348-351.
- BÉRA A., LEE S., HIGGINGS M.L. ( 1990a) Interaction between Autocorrelation and Conditional Heteroskedasticity : A Random Coefficient Approach, D.P. (90-25), University of California.
- BOLLERSLEV T. (1986) " Generalized Autoregressive Conditional Heterosckedasticity", J. of Econometrics, 307-327. Zbl0616.62119MR853051
- BOLLERSLEV T. (1987) " A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Retum", R. of Economics and Statistics, 542-547.
- BOLLERSLEV T. (1990) " Modeling the Coherence in Short-Run Nominal Exchange Rates : A Multivariate Generalized ARCH Approach", R. of Economics and Statistics, 498-505.
- BOLLERSLEV T., ENGLE R. (1986) " Modeling the Persistence of Conditional Variances" Econometric Review. Zbl0619.62105MR876792
- BOLLERSLEV T., ENGLE R., WOOLDRIDGE J. (1988) " A Capital Asset Pricing Model with Time Varying Covariance", J. of Political Economy, 116-131.
- BOLLERSLEV T., WOOLDRIDGE J.M. (1990) " Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances", Econometric Review, Forthcoming. Zbl0850.62884MR1185178
- BOLLERSLEV T., JAYARAMAN N., CHOU R., KRONER K. (1992) " ARCH Modeling in Finance : A Review ofthe Theory and Empirical Evidence", J. of Econometrics, n° 1/2. Zbl0825.90057
- BOOTHE P., GLASSMAN D. (1987) " The Statistical Distribution of Exchange Rates : Empirical Evidence and Economic Implications", J. of International Economics.
- BOUTILLIER M. (1991) Approche Patrimoniale du Marché des Changes, Thèse de doctorat, Université d'Orléans.
- DIEBOLD F.X., PAULY P. (1988) " Endogenous Risk in a Portfolio Balance Rational Expectations Model ofthe DM - Dollar Rate", European Economic Review.
- DIEBOLD F.X., NERLOVE M. (1989) " The Dynamic of Exchange Volatility : A Multivariate Latent Factor ARCH Model", J. of Applied Econometrics, 1-21. Zbl1126.91365
- ENGLE B. (1982) " Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, 987-1008. Zbl0491.62099
- ENGLE B. (1987) Multivariate GARCH with Structure Cointegration in Variance, Unpublished Manuscript (Department of Economics UCSD).
- ENGLE B., LILIEN D., ROBINS R. (1987) " Estimating Time Varying Risk Premia in the Term Structure : The Arch-M Model", Econometrica, 391-407.
- FAMA E. (1965) " The Behavior of Stock Market Prices", J. of Business, 34-105.
- FRIEDMAN D., VANDERSTEEL S. (1982) " Short-Run Fluctuations in Foreign Ex-change Rates : Evidence firm Data 1973-1979", J. of International Economics, 171-186.
- GOURIÉROUX C. (1992) Modèles ARCH : applications financières et monétaires, Economica, Paris.
- GOURIÉROUX C., MONFORT A. (1992) " Qualitative Threshold ARCH Models", J. of Econometrics, n° 1/2. Zbl0792.62103MR1165647
- HARVEY A.C., RUIZ E. (1990) Unobserved Component Time Series Models with ARCH Disturbances, Mimeo, Department of Statistical and Mathematical Sciences, London School of Economics.
- HSIEH D.A. ( 1989a) " Modeling Heteroskedasticity in Daily Foreign Exchange Rates", J. of Business and Economic Statistics, 307-317.
- HSIEH D.A. ( 1989b) Testing for Nonlinear Dependence in Daily Foreign Exchange Rates, Mimeo Graduate School of Business, University of Chicago.
- JORION P.N. (1988) " On Jump Process in the Foreign Exchange and Stock Markets", R. of Financial Studies, 427-445.
- KRONER K., LASTRAPES W. (1990) The impact of Exchange Rate Volatility on International Trade : Estimates Using the GARCH M. Model, Unpublished Manuscript, Department of Economics, University of Pennsylvania.
- MAC MAHON P. (1989) Taux de change et mesure de risque : une étude empirique, Mimeo, Banque d'Angleterre.
- MANDELBROT B. (1963) " The Variation of Certain Speculative Prices", J. of Business, 394-419.
- MARK N. (1988) " Time Varying Beats and Risk Premia in the Pricing of Forward Foreign Exchange Contracts", J. of Financial Economics, 335-354.
- NELSON D.B. ( 1990a) " Stationarity and Persistence in the GARCH (1,1) Model", Econometric Theory, 318-334. MR1085577
- NELSON D.B. ( 1990b) " Conditional Heteroskedasticity in Assets Returns : A New Approach", Econometrica, 347-370. Zbl0722.62069MR1097532
- NELSON D.B. ( 1990c) " ARCH Models in Diffusion Approximations", J. of Econometrics, 1-21. Zbl0719.60089MR1381076
- PAGAN A.R, ULLAH A. (1988) " The Econometric Analysis of Models with Risk Terms", J. of Applied Econometrics, 87-105.
- PANTULA S.G. (1985) Estimation of Autoregressive Models with ARCH Errors, Unpublished Manuscript, Department of Statistics, North Carolina State University. Zbl0639.62084
- WEISS AA. (1984) " ARMA Models with ARCH Errors", J. of Time Series Analysis. Zbl0549.62079
- ZAKOIAN J.M. (1990) Threshold Heteroskedastic Models, Unpublished Manuscript, INSEE. Zbl0806.90018
NotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.