Modèles ARCH : une revue de la littérature
Journal de la société française de statistique (1992)
- Volume: 133, Issue: 1-2, page 40-57
- ISSN: 1962-5197
Access Full Article
topHow to cite
topZakoian, Jean-Michel. "Modèles ARCH : une revue de la littérature." Journal de la société française de statistique 133.1-2 (1992): 40-57. <http://eudml.org/doc/198784>.
@article{Zakoian1992,
author = {Zakoian, Jean-Michel},
journal = {Journal de la société française de statistique},
language = {fre},
number = {1-2},
pages = {40-57},
publisher = {Société de statistique de Paris},
title = {Modèles ARCH : une revue de la littérature},
url = {http://eudml.org/doc/198784},
volume = {133},
year = {1992},
}
TY - JOUR
AU - Zakoian, Jean-Michel
TI - Modèles ARCH : une revue de la littérature
JO - Journal de la société française de statistique
PY - 1992
PB - Société de statistique de Paris
VL - 133
IS - 1-2
SP - 40
EP - 57
LA - fre
UR - http://eudml.org/doc/198784
ER -
References
top- AKGIRAY V., 1989, Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts, Journal of Business, 62, 55-80.
- BERNDT, E.K., B.H. HALL, R.E. HALL and J.A. HAUSMAN, 1974, Estimation inference in non linear structural models, Annals of Economic and Social Measurement 4, 653-665.
- BERA A.L. et S. LEE, 1989, On the Formulation of a General Structure for Conditional Heteroskedasticity, D.P. University of Illinois.
- BERA A.K. et S. LEE, 1991, Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis, D.P. University of Illinois. Zbl0766.62039
- BIERENS H.J., 1987, Kernel Estimators of Regression Functions, Cambridge University Press : Advances in Econometrics, 99-144. Zbl0850.62348
- BOLLERSLEV T., 1986, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics 31, 307-327. Zbl0616.62119MR853051
- BOLLERSLEV T., 1987, A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, Review of Economics and Statistics, 69, 542-547.
- BOLLERSLEV T., 1988, On the Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process, Journal of Time Series Analysis 9, 2, 121-131. MR943002
- BOLLERSLEV T., 1990, Modelling the Coherence in Short-Run Nominal Exchange Rates : A Multivariate Generalized ARCH Approach, à paraître dans Review of Economics and Statistics.
- BOLLERSLEV T., R.Y. CHOU et K.F. KRONER, 1990, ARCH modeling in Finance: a Review of the Theory and Empirical Evidence, Working Paper No. 97, Northwestern University. Zbl0825.90057
- BOLLERSLEV T., R.F., ENGLE et J.M. WOOLDRIDGE, 1988, A Capital Asset Pricing Model with Time-varying Covariances, Journal of Political Economy, 96, 1, 116-131.
- BOLLERSLEV T. et J.M. WOOLDRIDGE, 1990, Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances, D.P. MIT. Zbl0850.62884
- BOUGEROL P. et N. PICARD, 1990, Stationarity of GARCH Process and of some Non-negative Time-Series, D.P. University de Nancy I. Zbl0746.62087
- CAMPBELL J.Y. et L. HENTSCHEL, 1990, No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns, D.P. Princeton University.
- CHESNEY M., and L.O. SCOTT, 1989, Pricing European Currency Options: a Comparison of the Modified Black-Scholes Model and a Random Variance Model, Journal of Financial and Quantitative Analysis, 24, 267-284.
- CHOU R.Y., 1988, Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH, Journal of Applied Econometrics, 3, 279-294.
- CHOU R.Y., ENGLE R.F. et A. KANE, 1989, On the Measurement of Risk Aversion with Time-Varying Volatility and Unobservable Component of Wealth, à paraître dans Journal of Econometrics.
- CHRISTIE A.A., 1982, The Stochastic Behavior of Common Stock Variances, Journal of Financial Economics 10, 407-432.
- COCCO F. et P. PARUOLO, Volatility Persistence and the Italian Risk Premium: Parametric and Non-Parametric Evaluation, D.P. Universita' di Bologna.
- DIEBOLD F.X. and M. NERLOVE, 1989, The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, Journal of Applied Econometrics, 4, 1-21. Zbl1126.91365
- EL BABSIRI M. et E. RENAULT, 1989, Principes de la Statistique des Modèles Financiers en Temps Continu, D.P. CREST.
- EL BABSIRI M., et J.M. ZAKOIAN, 1990, Approximation en Temps Continu d'un Modèle ARCH à Seuil, D.P. INSEE
- ENGLE R.F., 1982, Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation, Econometrica 50, 987-1008. Zbl0491.62099MR666121
- ENGLE R.F., 1987, Multivariate GARCH with Factor Structures - Cointegration in Variance, D.P. U.C.S.D.
- ENGLE R.F. et T. BOLLERSLEV, 1986, Modelling the Persistence of Conditional Variances, Econometric Reviews, 5, 1-50, 81-87. Zbl0619.62105MR876792
- ENGLE R.F. et G. GONZALEZ-RIVERA, 1989, Semiparametric ARCH Models, D.P. University of California, San Diego.
- ENGLE R.F., C.W.J. GRANGER and D. KRAFT, 1984, Combining Competing Forecasts of Inflation Using a Bivariate ARCH Model, Journal of Economics Dynamics and Control, 8, 151-165. MR781644
- ENGLE R.F., D. LILIEN and R. ROBINS, 1987, Estimation of Time varying Risk Premiums in the Term Structure, Econometrica, 55, 391-408.
- ENGLE R.F., V.K. Ng and M. ROTSCHILD, 1989, Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills, D.P. U.C.S.D.
- FRENCH K.R., G.W. SCHWERT et R.F. STAMBAUGH, 1987, Expected Stock Returns and Volatility, Journal of Financial Economics, 19, 3-29.
- GALLANT A.R., 1981, On the Bias in Flexible Functional Forms and an Essentially Unbiased Form: the Fourier Flexible Form, Journal of Econometrics, 15, 211-244. Zbl0454.62096MR612090
- GALLANT A.R., L.P. HANSEN et G. TAUCHEN, 1989, Using Conditional Moments of Asset Payoffs to infer the Volatility of Intertemporal Marginal Rates of Substitution, Journal of Econometrics, 45, 141-180. Zbl0709.62103
- GALLANT A.R. et D.W. NYCHKA, 1987, Semi-nonparametric Maximum Likelihood Estimation, Econometrica, 57, 363-390. Zbl0631.62110MR882100
- GALLANT A.R. et G. TAUCHEN, 1989, Semi-nonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications, Econometrica, 57, 1091-1120. Zbl0679.62096MR1014542
- GEWEKE J., 1986, Comment on Modelling the Persistence of Conditional Variances, Econometric Reviews, 57-62.
- GOURIEROUX C., 1990, Modèles ARCH, à paraître chez Economica.
- GOURIEROUX C. et A. MONFORT, 1989, Statistiques et Modèles Econométriques, Economica, 2 tomes.
- GOURIEROUX C. et A. MONFORT, 1991, Qualitative Threshold ARCH Models, Journal of Econometrics. Zbl0792.62103MR1165647
- GOURIEROUX C., A. MONFORT et E. RENAULT, 1991, Modèles Dynamiques à Facteurs, D.P. INSEE.
- HANSEN B.E., 1990, GARCH(1,1), Processes are Near Epoch Dependent, à paraître dans Economic Letters. Zbl0806.62069MR1114657
- HARVEY A.C. et E. RUIZ, 1990, Unobserved Component Time Series Models with ARCH disturbances, D.P. London School of Economics.
- HIGGINS M.L. et A.K. BERA, 1988, Nonlinear ARCH Models: Properties, Testing and Applications, D.P. University of Wisconsin-Milwaukee. Zbl0718.62197
- HSIEH D.A., 1989, Modeling Heteroskedasticity in Daily Foreign Exchange Rate Changes, Journal of Business, 62, 339-368.
- HULL J., and A. WHITE, The Pricing of Options on Assets with Stochastic Volatilities, Journal of Finance, 42, 281-300. Zbl1126.91369
- LAMOUREUX C.G. et W.D. LASTRAPES, 1990, Persistence in Variance, Structural Change and the GARCH Model, Journal of Business and Economic Statistics, 8, 225-234.
- LO A., 1988, Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data, Econometric Theory. MR959611
- LUMSDAINE R.L., 1990, Asymptoptic Properties of the Quasi-Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models, D.P. Harvard University.
- MANDELBROT B., 1963, The Variation of Certain Speculative Prices, Journal of Business, 36, 394-419.
- MERTON R.C., 1973, An Intertemporal Capital Asset Pricing Model, Econometrica, 41, 867-887. Zbl0283.90003MR441271
- MERTON R.C., 1980, On Estimating the Expected Return on the Market: An Explanatory Investigation, Journal of Financial Economics, 8, 323-361.
- MILHOJ A., 1985, The Moment Structure of ARCH Processes, Scandinavian Journal of Statistics, 12, 281-292. Zbl0595.62089MR841449
- MILHOJ A., 1987, A Conditional Variance Model for Daily Deviations of an Exchange Rate, Journal of Business and Economic Statistics, 5, 99-103.
- MILHOJ A., 1990, Distribution of Empirical Autocorrelations of a Squared First OrderARCH Process, D.P. University of Odense.
- MOSSIN J., 1966, Equilibrium in a Capital Asset Market, Econometrica, 768-783.
- NELSON D.B., 1990a, Stationarity and Persistence in the GARCH(1,1) Model, Econometric Theory, 6, 318-334. MR1085577
- NELSON D.B., 1990b, ARCH Models as Diffusion Approximations, Journal of Econometrics, 45, 7-38. Zbl0719.60089MR1067229
- NELSON D.B., 1990c, Conditional Heteroskedasticity in Asset Returns: A New Approach, à paraître dans Econometrica. Zbl0722.62069MR1097532
- NELSON D.B., 1990d, Filtering and Forecasting with Misspecified ARCH models I: Variance Estimation, à paraître dans Journal of Econometrics. Zbl0761.62169
- NELSON D.B., 1990e, A Note on the Normalized Residuals from ARCH and Stochastic Volatility Models, D.P. University of Chicago.
- NELSON D.B. et C.Q. CAO, 1991, A Note on the Inequality Constraints in theUnivariate GARCH Model, D.P. University of Chicago.
- NELSON D.B. et D.P. FOSTER, 1991a, Filtering and Forecasting with Misspecified Arch models II: Making the Right Forecast with the Wrong Model, D.P. University of Chicago. Zbl0820.62098
- NELSON D.B. et D.P. FOSTER, 1991b, Estimating Conditional Variances with Misspecified ARCH Models: Asymptotic Theory, D.P. University of Chicago.
- NERLOVE M., F.X. DIEBOLD, H. VAN BEECK and Y.W. CHEUNG, 1988, A Multivariate ARCH Model of Foreign Exchange Rate Determination, D.P. University of Pennsylvania.
- PAGAN A.R. et H.C.L. SABAU, 1987, On the Inconsistency of the MLE in Certain Heteroskedastic Regression Models, D.P. University of Rochester.
- PAGAN A.R. et G.W. SCHWERT, 1990, Alternative Models for Conditional Stock Volatility, Journal of Econometrics, 45, 267-290.
- PAGAN A.R. et A. ULLAH, 1988, The Econometric Analysis of Models with Risk Terms, Journal of Applied Econometrics, 3, 87-105.
- PANTULA S.G., 1986, Comments on Modelling the Persistence of Conditional Variances, Econometric Reviews, 57-62.
- RABEMANANJARA R. et J.M. ZAKOIAN, 1991, TARCH Models with Asymmetries in Volatility, D.P. INSEE.
- RICH R.W., J. RAYMOND et J.S. BUTLER, 1991, Generalized Instrumental Variables Estimation of Autoregressive Conditional Heteroskedastic Models, Economics Letters, 35, 179-185. MR1095895
- ROBINSON P.M., 1988, Semiparametric Econometrics: a Survey, Journal of Applied Econometrics, 3, 35-52.
- SCHWERT G.W., 1989, Why does Stock Market Volatility Change over Time ? Journal of Finance, XLIV-5, 1115-1153.
- SCHWERT G.W., 1990, Stock Volatility and the Crash of '87, Review of Financial Studies, 3, 77-102.
- SENTANA E., 1990, Quadratic ARCH models: A Potential Re-Interpretation of ARCH Models as Second-Order Approximations, D.P. London School of Economics.
- SHARPE W.F., 1964, Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk, Journal of Finance, 19, 425-442.
- TAPIA R.A. et J.R. THOMPSON, 1978, Nonparametric Probability Density Estimation, John Hopkins University Press, Baltimore. Zbl0449.62029MR502724
- TAYLOR S., 1985, Modelling Financial Time Series, John Wiley and Sons. Zbl1130.91345
- WEISS A.A., 1984, ARMA Models with ARCH Errors, Journal of Time Series Analysis, 5, 129-143. Zbl0549.62079
- WEISS A.A., 1986, Asymptotic Theory for ARCH Models: Estimation and Testing, Econometric Theory, 2, 107-131.
- WIGGINS J.B., 1987, Option Values under Stochastic Volatility: Theory and Empirical Estimates, Journal of Financial Economics, 19, 351-372.
- YULE G.U., 1927, On a Method of Investigating Periodicities in Disturbed Series with Special Reference to Wolfer's Sunspot Numbers, Philos. Trans. Royal Society, London, Series A, 226, 267-298. Zbl53.0509.02JFM53.0509.02
- ZAKOIAN J.M., 1990, Threshold Heteroskedastic Models, D.P. INSEE.
Citations in EuDML Documents
topNotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.