Efficience du marché boursier new-yorkais. Une analyse à partir de la théorie de la cointégration

Auguste Mpacko Priso

Journal de la société française de statistique (1997)

  • Volume: 138, Issue: 1, page 21-52
  • ISSN: 1962-5197

How to cite

top

Mpacko Priso, Auguste. "Efficience du marché boursier new-yorkais. Une analyse à partir de la théorie de la cointégration." Journal de la société française de statistique 138.1 (1997): 21-52. <http://eudml.org/doc/198686>.

@article{MpackoPriso1997,
author = {Mpacko Priso, Auguste},
journal = {Journal de la société française de statistique},
language = {fre},
number = {1},
pages = {21-52},
publisher = {Société de statistique de Paris},
title = {Efficience du marché boursier new-yorkais. Une analyse à partir de la théorie de la cointégration},
url = {http://eudml.org/doc/198686},
volume = {138},
year = {1997},
}

TY - JOUR
AU - Mpacko Priso, Auguste
TI - Efficience du marché boursier new-yorkais. Une analyse à partir de la théorie de la cointégration
JO - Journal de la société française de statistique
PY - 1997
PB - Société de statistique de Paris
VL - 138
IS - 1
SP - 21
EP - 52
LA - fre
UR - http://eudml.org/doc/198686
ER -

References

top
  1. BOUTILLIER Michel (1991) Approche patrimoniale du marché des changes, Thèse pour le Doctorat (nouveau régime). Université d'Orléans. 
  2. CAMPBELL John Y. and SHILLER ROBERT J. (1988) " Interpreting Cointegred Models", Journal of Economic Dynamics and Control, pp. 505-522. Zbl0709.62528MR986525
  3. CURRIE David (1981) " Some Long Run Features of Dynamic Time Series Models", The Economic Journal, Septembre, pp. 704-715. 
  4. DAVIDSON James E.H, HENDRY David F., SRBA Frank et YÉO Stephen (1978) " Econometric Modelling of the Aggregrate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom", The Economic Journal, pp. 661-692. 
  5. DUTT SWARNA D. (1994) " The Foreign Exchange Market Efficiency Hypothesis, Revising the Puzzle", Economics Letters, Vol. 45, n° 4, pp. 459-465. Zbl0800.90234
  6. ENGLE F. Robert and GRANGER C.W.J (1987) " Co-Integration and Error Correction : Representation, Estimation and Testing", Ecometrica, Mars, pp. 251-276. Zbl0613.62140MR882095
  7. ENGLE Robert F. and Yoo BYUNG S. (1987) " Forecasting and Testing in Co-Integrated Systems", Journal of Econometrics, Vol. 35, pp. 143-159. Zbl0649.62108
  8. ERTUR Cem (1992) Tests de non-stationnarité : application au PIB Réel, Thèse pour le Doctorat (nouveau régime.) Université de Bourgogne. 
  9. FONTAINE Patrice (1990) " Peut-on prédire l'évolution des marchés d'actions à partir des cours et des dividendes passés (tests de marche au hasard et de cointégration)", Journal de la Société de Statistique de Paris, tome 131, n° 1, pp. 16-36. 
  10. GONZALO Jesus (1994) " Five Alternatives Methods of Estimating Long-Run Equilibrium Relationships", Journal of Econometrics, 60, pp. 203-233. Zbl0800.62806MR1247821
  11. GOURIEROUX C. et MONTFORT A. (1990) " Séries temporelles et Modèles dynamiques", Economica. 
  12. GRANGER C.W.J (1986) " Developments in the Study of Cointegrated Economic Variables", Oxford Bulletin of Economics and Statictics. 
  13. HARRIS Richard I. D. (1995) Using Cointegration Analysis in Econometric Modelling, Prentice Hall / Harvester Wheatsheaf. Zbl0820.62096
  14. HAKKIO Craig S. and RUSH Mark (1989) " Market Efficiency and Cointegration - An Application to the Sterling and Deutschemark Exchange Markets", Journal of International Money and Finance, Vol. 8, pp. 75-88. 
  15. HENDRY David F. (1986) " Econometric Modelling with Cointegrated Variables : An Overview", Oxford Bulletin of Economics and Statictics. 
  16. HYLLEBERG Svend and MIZON Grayham E. (1989) " Cointegration and Error Correction Mechanisms", The Economic Journal, 99, pp. 113-125. 
  17. JOHANSEN Soren (1988) " Statistical Analysis of Cointegration Vectors", Journal of Economic Dynamics and Control, Vol. 12, pp. 231-254. Zbl0647.62102MR986516
  18. JOHANSEN Soren and JUSELIUS Katarina (1990) " Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money", Oxford Bulletin of Economics and Statistics, Vol. 52, n° 2, pp. 169-210. 
  19. LARDIC Sandrine (1996) Racines Unitaires et Macro-économie - Quelles conséquences pour le concept d'équilibre, miméo, 40 pages. 
  20. LEROY Stephen (1989) " Efficient Capital Markets and Martingales", Journal of Economic Litterature, pp. 1583-1621. 
  21. LILTI Jean-J. (1994) " Les Apports de la Cointégration aux Tests d'Efficience", Journal de la Société de Statistique de Paris, tome 135, n° 4, pp. 47-63. 
  22. MAUREL Françoise (1989) " Modèles à correction d'erreur : l'apport de la Théorie de la co-Intégration", Economie et Prévision, n° 88-89. 
  23. NEWEY W., WEST K. (1987) " A Simple, Positive Definite, Heteroscedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, vol. 55, n° 3, pp. 703-708, Mai. Zbl0658.62139MR890864
  24. NlCKELL Stephen (1985) " Error Correction, Partial Adjustment and All That : An Expository Note", Oxford Bulletin of Economics and Statictics. 
  25. PHILLIPS P.C.B. (1987) " Time Series Regression with a Unit Root", Econometrica, 55, pp. 277-301. Zbl0613.62109MR882096
  26. PHILLIPS P.C.B. and PERRON P. (1988) " Testing for a unit root in time series regression", Biometrika, 75, p. 347-353. Zbl0644.62094MR946054
  27. SALMON Mark (1982) " Error Correction Mechanisms", The Economic Journal, Septembre, pp. 615-629. 
  28. SHILLER Robert J. (1981) " Do Stock Prices Moove Too Much To Be Justified by Subsequent Changes in Dividends?", American Economic Review 71, pp. 421-435. 
  29. WHITE H. ET I. DOMOWITZ (1984) " Non Linear Regressions with Dependent Observations", Econometrica, 52, pp. 143-162. Zbl0533.62055MR729213
  30. WHITE H. (1984) Asymptotic Theory for Econometricians, Academic Press, New York. 

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.