Étude de la mémoire longue des actions de l'indice CAC 40
Journal de la société française de statistique (2001)
- Volume: 142, Issue: 2, page 65-79
- ISSN: 1962-5197
Access Full Article
topHow to cite
topViviani, Jean-Laurent. "Étude de la mémoire longue des actions de l'indice CAC 40." Journal de la société française de statistique 142.2 (2001): 65-79. <http://eudml.org/doc/198941>.
@article{Viviani2001,
author = {Viviani, Jean-Laurent},
journal = {Journal de la société française de statistique},
language = {fre},
number = {2},
pages = {65-79},
publisher = {Société française de statistique},
title = {Étude de la mémoire longue des actions de l'indice CAC 40},
url = {http://eudml.org/doc/198941},
volume = {142},
year = {2001},
}
TY - JOUR
AU - Viviani, Jean-Laurent
TI - Étude de la mémoire longue des actions de l'indice CAC 40
JO - Journal de la société française de statistique
PY - 2001
PB - Société française de statistique
VL - 142
IS - 2
SP - 65
EP - 79
LA - fre
UR - http://eudml.org/doc/198941
ER -
References
top- ABRY P., VEITCH D. & FLANDRIN P. (1998), « Long-range dependence : revisiting aggregation with wavelets», Journal of Time Series Analysis, 19, n°3, pp. 253-266. Zbl0910.62080MR1626734
- BACHELIER L. (1900), Théorie de la spéculation, thèse de doctorat, École Normale Supérieure, reproduite dans Annales de l'École Normale Supérieure, 3eme série, tome 17, janvier, pp. 21-86. MR1508978JFM31.0241.02
- BROCKWELL & DAVIS (1991), Time Series : Theory and Methods, Second Edition, Springer Verlag. Zbl0709.62080MR1093459
- DAVIES R. & HARTE C. (1987), « Tests for the Hurst Effect. » Biometnka, 74, pp. 95-101. Zbl0612.62123MR885922
- GEWEKE J. & PORTER-HUDAK S. (1983), « The Estimation and Application of Long Memories Time Series Models. » Journal of Time Series Analysis, 4, pp. 221-238. Zbl0534.62062MR738585
- GOETZMAN W.N. (1993), « Patterns in three centuries of stock market prices. » Journal of Business, 66, pp. 249-270.
- GRANGER C.W. J. & JOYEUX R. (1980), « An introduction to Long-Memory Time Series Models and Practional Differencing. » Journal of Time Series Analysis, 1, pp. 15-39. Zbl0503.62079MR605572
- GREENE M.T. & FIELITZ B. D. (1977), « Long-term dependence in common stock returns. » Journal of Financial Economics, 5, pp.339-349.
- GREENE M.T. & FIELITZ B. D. (1977), « The Effect of long-term dependence on risk-return models of common stocks. » Operations Research, 22, n°5, pp.944-951. Zbl0424.90039MR547920
- HAMON J. & JACQUILLAT B. (1992), Le marché français des actions, PUF.
- HOSKING J.R.M. (1981), « Fractional Differencing. » Biometrika, 68, pp. 165-176. Zbl0464.62088MR614953
- HURST H.E. (1951), « Long-term Storage of Reservoirs. » Transaction of the American Society of Civil Engineers, 116, pp. 770-808.
- JACOBSEN N. (1996), « Long term dependence in stock returns. » Journal of Empirical Finance, 3, pp. 393-417.
- KUNSCH H. (1986), « Discrimination between Monotonic Trends and Long-Range Dependence », Journal of Applied Probability, 23, pp. 1025-1030. Zbl0623.62085MR867199
- LARDIC S. & MIGNON V. (1999), « La mémoire longue en économie : une revue de la littérature. » Journal de la Société Française de Statistique, 140, n°2, pp. 5-48 (avec discussion pp. 49-108).
- LO A.W. (1991), « Long-term memory in the stock market prices. » Econometrtca, 59, pp. 1279-1313. Zbl0781.90023
- LOBATO N. & SAVIN N.E. (1998), « Real and Spurious Long-Memory Properties of Stock-Market Data. » Journal of Business & Economic Statistics, 16, n°3, pp. 261-269. MR1648533
- MANDELBROT B. (1970), « Statistical dependence in Prices and Interest Rates. » papier présenté au 2ème Congrès Mondial de la Société d'Econométrie.
- MANDELBROT B. (1972), « Statistical Methodology for Non Periodic Cycles : from Covanance to R/S Analysis. » Annals of Economic and Social Measurement, 1, juillet, pp. 259-290.
- MANDELBROT B. (1975), « Limit Theorems on the Self-Normalised Range for Weakly and Strongly Dependent Processes. » Z. Weahrscheinlichkeitstheorie, 31, pp. 271-285. Zbl0288.60033MR423481
- MANDELBROT B. & TAQQU (1979), « Robust R/S analysis of long-run serial correlation. » Bulletin of the International Statistical Institute, 48, n°2 pp 69-104. Zbl0518.62036MR731558
- MANDELBROT B. & WALLIS J. R. (1969), « Robustness of the Rescaled Range R/S in the Measurement of Noncyclic Long Run Statistical Dependence. » Water Resources Research, 5, pp 967-988.
- MIGNON V. (1996), « Les implications de la mémoire longue et de la non-linéarité sur l'efficience du marché des changes. » Journal de la Société Statistique de Paris, 137, n°1, pp. 51-72.
- MILLS T.C. (1990), The Economic Modelling of Financial Time Series, Cambridge University Press. Zbl1145.62402MR1713946
- PAGAN A. R. & WICKENS M.R. (1989), « A Survey of Some Récent Econometric Methods. » Economic Journal, 99, pp. 962-1025.
- PETERS E. E. (1991), Chaos and order in the capital markets, Wiley.
- ROGERS C.G. (1997), « Arbitrage with fractional brownian motion. » Mathematical Finance, 7, n°l, pp. 95-105 Zbl0884.90045MR1434408
- SOWELL F. (1990), « The fractionnai unit root distribution. » Econometrica, 58, pp. 495-505. Zbl0727.62025MR1046932
- WILLINGER W., TAQQU M. & TEVEROSKY V. (1999), « Stock market prices and long-range dependence. » Finance and Stochastics, 3, pp. 1-13. Zbl0924.90029
NotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.