Un modèle du spread swap/OAT 10 ans

Sanvi Avouyi-Dovi; Thierry Blais; Stefan Keller; Éric Oynoyan

Journal de la société française de statistique (1998)

  • Volume: 139, Issue: 1, page 89-100
  • ISSN: 1962-5197

How to cite

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Avouyi-Dovi, Sanvi, et al. "Un modèle du spread swap/OAT 10 ans." Journal de la société française de statistique 139.1 (1998): 89-100. <http://eudml.org/doc/198682>.

@article{Avouyi1998,
author = {Avouyi-Dovi, Sanvi, Blais, Thierry, Keller, Stefan, Oynoyan, Éric},
journal = {Journal de la société française de statistique},
language = {fre},
number = {1},
pages = {89-100},
publisher = {Société de statistique de Paris},
title = {Un modèle du spread swap/OAT 10 ans},
url = {http://eudml.org/doc/198682},
volume = {139},
year = {1998},
}

TY - JOUR
AU - Avouyi-Dovi, Sanvi
AU - Blais, Thierry
AU - Keller, Stefan
AU - Oynoyan, Éric
TI - Un modèle du spread swap/OAT 10 ans
JO - Journal de la société française de statistique
PY - 1998
PB - Société de statistique de Paris
VL - 139
IS - 1
SP - 89
EP - 100
LA - fre
UR - http://eudml.org/doc/198682
ER -

References

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  1. CHAZOT C. et CLAUDE P. (1995) Les swaps, concepts et applications, Economica. 
  2. ENGLE R. (1995) [ed] ARCH Selected Readings : Advanced Tests in Econometrics, Oxford University Press. 
  3. ENGLE R. (1982) " Autoregressive Conditional Heteroscedasticity With Estimates of the Variance of UK Inflation", Econometrica, 50, pp. 987-1008. Zbl0491.62099MR666121
  4. ENGLE R. and GRANGER C. (1987) " Cointegration and Error Correction : Representation, Estimation, and Testing", Econometrica, 55, pp. 251-276. Zbl0613.62140MR882095
  5. GLOSTEN L. R., JAGANATHAN R. and RUNKLE D. (1993) " Relationship Between The Expected Value and The Volatility of the Nominal Excess Return of Stocks", Journal of Finance, 48, pp. 1779-1801. 
  6. GRANGER C.W (1986) " Developments in the Study of Cointegrated Economic Variables", Oxford Bulletin of Economics and Statistics, 48, pp. 213-228. 
  7. HENDRY D. (1986) " Econometric Modelling With Cointegrated Variables : An Overview", Oxford Bulletin of Economics and Statistics, 48, pp. 201-212. 
  8. JONDEAU, E. (1996) Constitution de courbes de taux zéro-coupon à partir des swaps de taux sur référence PIBOR, Note interne, Direction Générale des Etudes, Banque de France. 
  9. ZAKOIAN J.-M. (1990) " Threshold Heteroskedastic Models", Journal of Economic Dynamics, 18, pp. 931-955. Zbl0806.90018

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