Critique des processus de diffusion en finance : le cas des taux de change

 Access to full text

 Full (PDF)

1. ADLER M., DUMAS B. (1983) " International Portfolio Choice and Corporation Finance : a Synthesis." J. of Finance, 925-84. 
2. AHN C.M., THOMPSON H.E. (1988) " Jump-diffusion Processes and the Term Structure of Interest Rates." J. of Finance, 155-74. MR932878
3. AKGIRAY V., BOOTH G.G. (1988) " Mixed Diffusion-jump Process Modeling of Exchange Rate Movements." R. of Economics and Statistics, 631-7. 
4. BACHELIER L. (1900) Théorie de la spéculation. Annales Scientifiques de l'École Normale Supérieure, Gauthier-Villars, Paris. JFM31.0075.12
5. BAILLIE R.T., BOLLERSLEV T. (1989) " The Message in Daily Exchange Rates : a Conditional Variance Tale." J. of Business and Economic Statistics, 297-305. 
6. BERGSTROM A.R. (1990) Continuous Time Econometric Modeling. Oxford University Press, Oxford. 
7. BERTOLA G., SVENSSON L.E.O. (1991) " Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models." Document de travail NBER n° 3576. Zbl0800.90196
8. BOLLERSLEV T. (1986) " Generalized Autoregressive Conditional Heteroskedasticity." J. of Econometrics, 307-27. Zbl0616.62119MR853051
9. BOLLERSLEV T. (1987) " A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return." R. of Economics and Statistics, 542-7. 
10. BOLLERSLEV T., CHOU R. Y., JAYARAMAN N., KRONER K.F. (1991) " Les modèles ARCH en finance : un point sur la théorie et les résultats empiriques." Annales del 'INSEE, 1-59. 
11. BOOTHE P., GLASSMAN D. (1987) " The Statistical Distribution of Exchange Rates : Empirical Evidence and Economic Implications." J. of International Economics, 297-319. 
12. CLARK P.K. (1973) " A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices." Econometrica, 135-55. Zbl0308.90011MR415944
13. COOTNER P.H. ed. (1964) The Random Character of Stock Market Prices. M.I.T. Press, Cambridge (Mass.). 
14. CORNELL W.B., DIETRICH J.K. (1978) " The Efficiency of the Market for Foreign Exchange under Floating Exchange Rates." R. of Economics and Statistics, 111-20. 
15. DIEBOLD F.S. (1988) Empirical Modeling of Exchange Rate Dynamics. Lecture Notes in Economics and Mathematical Science n° 303, Springer Verlag, New-York, Heidelberg & Tokyo. Zbl0648.90002
16. FAMA E.F. (1965) " The Behavior of Stock Market Prices." J. of Business, 34-105. 
17. FEINSTONE L.J. (1987) " Minute by Minute : Efficiency, Normality and Randomness in Intra-daily Asset Prices." J. of Applied Econometrics, 193-214. 
18. FRIEDMAN D., VANDERSTEEL S. (1982) " Short-run Fluctuations in Foreign Exchange Rates : Evidence from the Data, 1973-79." J. of International Economics, 171-86. 
19. GIOVANNINI A., JORION P. (1987) " Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market." J. of International Money and Finance, 107-24. 
20. GIOVANNINI A., JORION P. (1989) " The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets." J. of Finance, 307-25. 
21. HSIEH D.A. (1988) " The Statistical Properties of Daily Foreign Exchange Rates : 1974-83." J. of International Economics, 129-45. 
22. HSIEH D.A. (1989) " Modeling Heteroskedasticity in Daily Foreign Exchange Rates." J. of Business and Economic Statistics, 307-17. 
23. JARROW R.A., ROSENFELD E.R. (1984) " Jump Risks and the Intertemporal Capital Asset Pricing Model." J. of Business, 337-51. 
24. JORION P. (1988) " On Jump Processes in the Foreign Exchange and Stock Markets." R. of Financial Studies, 427-45. 
25. KON S.J. (1984) " Models of Stock Returns : a Comparison." J. of Finance, 147-65. 
26. KOURI P.J.K. (1976) The Determinants of the Forward Premium. Document de travail de l'IIES, Université de Stockholm, n° 62. 
27. LASTRAPES W.D. (1989) " Exchange Rate Volatility and U.S. Monetary Policy : an ARCH Application." J. of Money, Crédit and Banking, 66-77. 
28. MACFARLAND J.W., PETTIT R.R., SUNG S.K. (1982) " The Distribution of Foreign Exchange Price Changes : Trading Day Effects and Risk Measurement." J. of Finance, 693-715. 
29. MALLIARIS A.G., BROCK W.A. (1982) Stochastic Methods in Economics and Finance. North-Holland, Amsterdam. Zbl0479.90003MR642839
30. MANDELBROT B. (1963) " The Variation of Certain Speculative Prices." J. of Business, 147-65. 
31. MERTON R.C. (1990) Continuous-Time Finance. Basil Blackwell, Oxford. Zbl1019.91502
32. MILHOJ A. (1985) " The Moment Structure of ARCH Processes." Scandinavian J. of Statistics, 281-92. Zbl0595.62089MR841449
33. OLDFIELD G.S., ROGALSKI R.J., JARROW R.A. (1977) " An Autoregressive Jump Process for Common Stock Returns." J. of Financial Economics, 389-418. 
34. ROGALSKI R.J., VINSO J.D. (1978) " Empirical Properties of Foreign Exchange Rates." J. of International Business Studies, 69-79. 
35. SAMUELSON PA. (1965) " Rational Theory of Warrant Pricing." Industrial Management R., 13-31. 
36. SVENSSON L.E.O. (1990) The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk. Document de travail NBER n°3466. 
37. TAMISIER S., LEMERY C. (1990) Dynamique des taux de change : estimation par un modèle ARCH. Document de travail de la Caisse des Dépôts et Consignations, n° 1990-25T. 
38. TUCKER A.L., POND L. (1988) " The Probability Distribution of Foreign Exchange Price Changes : Tests of Candidate Processes." R. of Economics and Statistics, 638-47. 
39. WESTERFIELD J.M. (1977) " An Examination of Foreign Exchange Risk under Fixed and Floating Exchange Rate Regimes." J. of International Economics, 181-200. 

1. Nicolas S. Zamfirescu, Constantin Chilarescu, Estimation des paramètres d'un mélange de lois normales provenant d'un modèle saut-diffusion à volatilité stochastique à deux états
2. Bertrand Maillet, Thierry Michel, Mesures de temps, information et distribution des rendements intra-journaliers