Dépendance de durée et tests de bulles spéculatives

Jean-Jacques Lilti

Journal de la société française de statistique (1996)

  • Volume: 137, Issue: 1, page 33-50
  • ISSN: 1962-5197

How to cite

top

Lilti, Jean-Jacques. "Dépendance de durée et tests de bulles spéculatives." Journal de la société française de statistique 137.1 (1996): 33-50. <http://eudml.org/doc/199523>.

@article{Lilti1996,
author = {Lilti, Jean-Jacques},
journal = {Journal de la société française de statistique},
language = {fre},
number = {1},
pages = {33-50},
publisher = {Société de statistique de Paris},
title = {Dépendance de durée et tests de bulles spéculatives},
url = {http://eudml.org/doc/199523},
volume = {137},
year = {1996},
}

TY - JOUR
AU - Lilti, Jean-Jacques
TI - Dépendance de durée et tests de bulles spéculatives
JO - Journal de la société française de statistique
PY - 1996
PB - Société de statistique de Paris
VL - 137
IS - 1
SP - 33
EP - 50
LA - fre
UR - http://eudml.org/doc/199523
ER -

References

top
  1. ARTUS P. (1988) " Efficience et cloisonnement du marché des changes et des marchés financiers en France 1970-1986", Cahiers Economiques et Monétaires, n° 31, p. 49-116. 
  2. ARTUS P. & KAABI M. (1994) " Bulles intrinsèques et bulles d'état : théorie et résultats empiriques dans le cas du marché boursier français", Finance, Vol. 15, n° 1, p. 7-34. 
  3. BLANCHARD O.J. (1979) " Speculatives Bubbles, Crashes and rational Expeditions", Economics Letters, N° 3, p.387-389. 
  4. BLANCHARD O.J. & WATSON M.W. (1982) " Bubbles, rational expectations and financial markets", in Crisis in the économic and financial System, P.Watchel, Ed. Lexington, M.A. Lexington Books. 
  5. BLANCHARD O.J. & WATSON M.W. (1984) " Bulles, anticipations rationnelles et marchés financiers", Annales de l'INSEE, N° 54, p.79-99. 
  6. BOLLERSEV T. & HODRICK R.J. (1992) " Financial market efficiency tests", Working Paper n° 132, Kellogg Graduate School of Management, North-western University. 
  7. BOURGUINAT H. (in BURGUINAT H. & ARTUS P) " Théorie économique et crise des marchés financiers", Economica. 
  8. CAMPBELL J.Y. ET SHILLER R.J. (1987) " Cointegration and tests of present value models", Journal of Political Economy, Vol. 95, N° 5, p. 1063-1088. 
  9. CAMPBELL J.Y. ET SHILLER R.J. (1988) " The dividend price ratio and expectations of future dividends and discount factors", Review of Financial Studies, 1, p. 195-228. 
  10. DESSENDRE C. (1994) " Mobilité géographique et insertion professionnelle des jeunes d'origine rurale : une approche par le capital humain et son lien espace", Thèse, Dijon. 
  11. DIBA B.T. & GROSSMAN H.I. (1987) " On the inception of rational bubbles", Quaterly Journal of Economics, Vol. 102, p. 697-700. 
  12. DIEBOLD F.X. (1988) " Empirical modeling of exchange rate dynamics", Springer-Verlag, p. 27. Zbl0648.90002
  13. ENGLE D. & GRANGER C.W.J. (1987) " Cointegration and error correction : representation, estimation and testing", Econometrica, 55, p. 251-276. Zbl0613.62140MR882095
  14. FAMA E.F. (1988) " Term structure forecasts of interest rates, inflation, and real returns", Working Paper n° 233, CRSP, University of Chicago, Chicago, IL. 
  15. FAMA E.F. & FRENCH K.R. (1989) " Business conditions and expected returns on stocks and bonds", Journal of Financial Economics, 25, p. 23-49. 
  16. FLOOD R. & GARBER P. (1980) " Markets fundamentals versus price level bubbles : a first test", Journal of Political Economy, Vol. 88, N° 4, p. 745-770. 
  17. FLOOD R., HODRICK R. & KAPLAN P. (1986) " An evaluation of recent evidence on stock market bubbles", Unpublished manuscript, NBER, Cambridge, MA. 
  18. FONTAINE P. (1990) " Peut-on prédire l'évolution des marchés d'actions à partir des cours et des dividendes passés", Journal de la Société Statistique de Paris, n° 1, p. 16-36. 
  19. GARBER P.M. (1990) " Famoust first bubbles", Journal of Economic Perspectives, Vol. 4, N° 2, Spring, p. 35-54. 
  20. GRANGER C.W.J. (1986) " Developments in the study of cointegrated economic variables", Oxford Bulletin of Economics and Statistics, 48, n° 3, p. 213-228. 
  21. KEIM D. ET STAMBAUGH R. (1986) " Predicting returns in the stock and bond markets", Journal of Financial Economics, 17, p. 357-390. 
  22. KIEFER N.M. (1988) " Economic duration dat and hazard function", Journal of economic Literature, juin, p. 646-679. 
  23. KINDLEBERGER C. (1978) " Mania, panics and crashes", New-York : Basic Books. 
  24. LILTI J.-J. (1994) " Les apports de la coïntégration aux tests d'efficience", Journal de la Société de Statistique de Paris, tome 135, n° 4, p. 47-63. 
  25. Lo A. & MAC KINLEY C. (1988) " Stock market prices do not follow random walks : evidence from a simple specification test", The Review of Financial Studies, 1, p. 41-66. 
  26. MC QUEEN G. & THORLEY S. (1994) " Bubbles, stock returns and duration dependence", Journal of Financial and Quantitative Analysis, Vol. 29, N° 3, p. 379-401. 
  27. POTERBA J. & SUMMERS L. (1988) " Mean reversion in stock prices : evidence and implications", Journal of Financial Economics, 22, p. 27-59. 
  28. ROZEFF M. (1984) " Dividend yields are equity risk premiums", Journal of Portfolio Management, p. 68-75. 
  29. SALMON M. (1982) " Error correction mechanisms", The Economic Journal, 92, p. 615-629. 
  30. SANTONI G.J. (1987) " The great bull markets 1924-29 and 1982-87 : speculative bubbles or economic fundamentals", Federal Reserve Bank of St Louis Review, 69, 9, p. 16-29. 
  31. SARGAN J.D. (1964) " Wages and prices in the United Kingdom : a study in methodology", in Econometric Analysis for National Economic Planning, Hart-Mills-Whittaker Eds, Londres., 
  32. SCHWERT G.W. (1987) " Effects of model specification on tests for unit roots economic data", Journal of Monetary Economics, 20, p. 73-103. 
  33. SHILLER R. (1979) " The volatility of long-term interest rates and expectations models of the term structure", Journal of Political Economy, Vol. 87, p. 1190-1218. 
  34. SHILLER R. (1981) " Do stock prices move too much to be justified bysbsequent changes in dividends?", American Economic Review, 71, p. 421-436. 
  35. SHILLER R. (1984) " Stock prices and social dynamics", Brookings Papers on Economic Activity, 2, p. 457-498. 
  36. SHILLER R., CAMPBELL J. & SCHOENHOLTZ K. (1983) " Forward rates and future policy : interpreting the term structure of interest rates", Brookings Papers on Economic Activity, 1, p. 173-217. 
  37. SUMMERS L. (1986) " Does the stock market rationnaly reflect fundamental values?", Journal of Finance, Vol. 41, p.591-600. 
  38. TIROLE J. (1982) " On the possibility of speculation and rational expectations", Econometrica, septembre, p. 1163-1182. Zbl0488.90026
  39. WEST K.D. (1987) " A specification test for speculative bubbles", Quaterly Journal of Economics, 102, p.553-580. 
  40. WEST K.D. (1988) " Bubbles, fads and stock prices volatility tests : a partial evaluation", Journal of Finance, Vol. 43, p 639-656. 

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.