La mémoire longue en économie : discussion et commentaires

Éric Renault

Journal de la société française de statistique (1999)

  • Volume: 140, Issue: 2, page 79-89
  • ISSN: 1962-5197

How to cite

top

Renault, Éric. "La mémoire longue en économie : discussion et commentaires." Journal de la société française de statistique 140.2 (1999): 79-89. <http://eudml.org/doc/199786>.

@article{Renault1999,
author = {Renault, Éric},
journal = {Journal de la société française de statistique},
language = {fre},
number = {2},
pages = {79-89},
publisher = {Société française de statistique},
title = {La mémoire longue en économie : discussion et commentaires},
url = {http://eudml.org/doc/199786},
volume = {140},
year = {1999},
}

TY - JOUR
AU - Renault, Éric
TI - La mémoire longue en économie : discussion et commentaires
JO - Journal de la société française de statistique
PY - 1999
PB - Société française de statistique
VL - 140
IS - 2
SP - 79
EP - 89
LA - fre
UR - http://eudml.org/doc/199786
ER -

References

top
  1. GHYSELS E., HARVEY A.C. et RENAULT E. (1996): " Stochastic Volatility" in Handbook of Statistics, Vol 14, p 119-191, G.S. Maddala et C.R. Rao éditeurs. MR1602124
  2. ROBINSON P.M. (1991): " Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression", Journal of Econometrics, 47, p 67-84. Zbl0734.62070MR1087207
  3. ROBINSON P.M. et ZAFFARONI P. (1997): " Modelling Nonlinearity and Long Memory in Time Series", Fields Institute Communications, Vol 11, p 161-170. Zbl1051.62086MR1426620
  4. COMTE F. (1996): " Simulation and Estimation of Long Memory Continuous Time Models", Journal of Time Series Analysis, 17, p 19-36. Zbl0836.62060MR1380894
  5. COMTE F. et RENAULT E. (1996): " Long Memory Continuous Time Models", Journal of Econometrics, 73, p 101-149. Zbl0856.62104MR1410003
  6. DROST F.C. et NIJMAN Th. E. (1993): " Temporal Aggregation of GARCH Processes", Econometrica, 61, p 909-927. Zbl0780.62099MR1231681
  7. DROST F.C. et WERKER B.J.M. (1996): " Closing the GARCH gap : Continuous Time GARCH Modeling", Journal of Econometrics, 74, p 31-58. Zbl0862.90044MR1409034
  8. MEDDAHI N. et RENAULT E. (1996): " Aggregation and Marginalization of GARCH and Stochastic Volatility Models", GREMAQ DP 96.30.433, Université des Sciences Sociales de Toulouse. 
  9. BOLLERSLEV T. et MIKKELSEN H.O. (1999): " Long Term Equity Anticipation Securities and Stock Market Volatility Dynamics", Journal of Econometrics, 92, p 75-100. Zbl0933.62125
  10. COMTE F. et RENAULT E. (1998): " Long Memory in Continuous Time Stochastic Volatility Models", Mathematical Finance, 8, p 291-323. Zbl1020.91021MR1645101
  11. RENAULT E. (1997): " Econometric models of Option Pricing Errors" in Advances in Econometrics, Seventh World Congress , Vol.3 (eds. D.M. Kreps et K.F. Wallis), Cambridge University Press. MR1634237
  12. RENAULT E. et TOUZI N. (1996): " Option Hedging and Implicit Volatilities in a Stochastic Volatility Model", Mathematical Finance, 6, 279-302. Zbl0915.90028

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.