Une approche prospective des modèles ARCH

Sanvi Avouyi-Dovi

Journal de la société française de statistique (1992)

  • Volume: 133, Issue: 4, page 65-76
  • ISSN: 1962-5197

How to cite

top

Avouyi-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
  1. AVOUYI-DOVI S. (1992) Les modèles ARCH : mythe ou réalité, Document de Travail CDC, 1992-12T. 
  2. ATLAN F., AVOUYI-DOVI S., DUCOS Ph. (1990) Dynamique des taux de change : les propriétés statistiques, Document de Travail CDC, n° 1990//01T. 
  3. BAILLIE R.T., BOLLERSLEV T. (1989) " The Message in Daily Exchange Rates : A Conditional Variance Tale", J. of Business and Economics Statistics, 297-305. 
  4. BAILLIE RT., BOLLERSLEV T. (1991) " Intra Day and Inter Market Volatility in Foreign Exchange Rates", R. of Economics Studies, 565-585. 
  5. BARNEA A., DOWNES D.H. (1976) " A Reexamination of Empirical Distribution of Stock Price Changes", J. of the American Statistical Association, 348-351. 
  6. 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. 
  7. BOLLERSLEV T. (1986) " Generalized Autoregressive Conditional Heterosckedasticity", J. of Econometrics, 307-327. Zbl0616.62119MR853051
  8. BOLLERSLEV T. (1987) " A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Retum", R. of Economics and Statistics, 542-547. 
  9. BOLLERSLEV T. (1990) " Modeling the Coherence in Short-Run Nominal Exchange Rates : A Multivariate Generalized ARCH Approach", R. of Economics and Statistics, 498-505. 
  10. BOLLERSLEV T., ENGLE R. (1986) " Modeling the Persistence of Conditional Variances" Econometric Review. Zbl0619.62105MR876792
  11. BOLLERSLEV T., ENGLE R., WOOLDRIDGE J. (1988) " A Capital Asset Pricing Model with Time Varying Covariance", J. of Political Economy, 116-131. 
  12. BOLLERSLEV T., WOOLDRIDGE J.M. (1990) " Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances", Econometric Review, Forthcoming. Zbl0850.62884MR1185178
  13. 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
  14. BOOTHE P., GLASSMAN D. (1987) " The Statistical Distribution of Exchange Rates : Empirical Evidence and Economic Implications", J. of International Economics. 
  15. BOUTILLIER M. (1991) Approche Patrimoniale du Marché des Changes, Thèse de doctorat, Université d'Orléans. 
  16. DIEBOLD F.X., PAULY P. (1988) " Endogenous Risk in a Portfolio Balance Rational Expectations Model ofthe DM - Dollar Rate", European Economic Review. 
  17. 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
  18. ENGLE B. (1982) " Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, 987-1008. Zbl0491.62099
  19. ENGLE B. (1987) Multivariate GARCH with Structure Cointegration in Variance, Unpublished Manuscript (Department of Economics UCSD). 
  20. ENGLE B., LILIEN D., ROBINS R. (1987) " Estimating Time Varying Risk Premia in the Term Structure : The Arch-M Model", Econometrica, 391-407. 
  21. FAMA E. (1965) " The Behavior of Stock Market Prices", J. of Business, 34-105. 
  22. FRIEDMAN D., VANDERSTEEL S. (1982) " Short-Run Fluctuations in Foreign Ex-change Rates : Evidence firm Data 1973-1979", J. of International Economics, 171-186. 
  23. GOURIÉROUX C. (1992) Modèles ARCH : applications financières et monétaires, Economica, Paris. 
  24. GOURIÉROUX C., MONFORT A. (1992) " Qualitative Threshold ARCH Models", J. of Econometrics, n° 1/2. Zbl0792.62103MR1165647
  25. 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. 
  26. HSIEH D.A. ( 1989a) " Modeling Heteroskedasticity in Daily Foreign Exchange Rates", J. of Business and Economic Statistics, 307-317. 
  27. HSIEH D.A. ( 1989b) Testing for Nonlinear Dependence in Daily Foreign Exchange Rates, Mimeo Graduate School of Business, University of Chicago. 
  28. JORION P.N. (1988) " On Jump Process in the Foreign Exchange and Stock Markets", R. of Financial Studies, 427-445. 
  29. 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. 
  30. MAC MAHON P. (1989) Taux de change et mesure de risque : une étude empirique, Mimeo, Banque d'Angleterre. 
  31. MANDELBROT B. (1963) " The Variation of Certain Speculative Prices", J. of Business, 394-419. 
  32. MARK N. (1988) " Time Varying Beats and Risk Premia in the Pricing of Forward Foreign Exchange Contracts", J. of Financial Economics, 335-354. 
  33. NELSON D.B. ( 1990a) " Stationarity and Persistence in the GARCH (1,1) Model", Econometric Theory, 318-334. MR1085577
  34. NELSON D.B. ( 1990b) " Conditional Heteroskedasticity in Assets Returns : A New Approach", Econometrica, 347-370. Zbl0722.62069MR1097532
  35. NELSON D.B. ( 1990c) " ARCH Models in Diffusion Approximations", J. of Econometrics, 1-21. Zbl0719.60089MR1381076
  36. PAGAN A.R, ULLAH A. (1988) " The Econometric Analysis of Models with Risk Terms", J. of Applied Econometrics, 87-105. 
  37. PANTULA S.G. (1985) Estimation of Autoregressive Models with ARCH Errors, Unpublished Manuscript, Department of Statistics, North Carolina State University. Zbl0639.62084
  38. WEISS AA. (1984) " ARMA Models with ARCH Errors", J. of Time Series Analysis. Zbl0549.62079
  39. ZAKOIAN J.M. (1990) Threshold Heteroskedastic Models, Unpublished Manuscript, INSEE. Zbl0806.90018

NotesEmbed ?

top

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.