Étude empirique du modèle de Vasicek sur le marché des obligations françaises

Béatrice De Severac

Journal de la société française de statistique (1997)

  • Volume: 138, Issue: 1, page 81-103
  • ISSN: 1962-5197

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De Severac, Béatrice. "Étude empirique du modèle de Vasicek sur le marché des obligations françaises." Journal de la société française de statistique 138.1 (1997): 81-103. <http://eudml.org/doc/199880>.

@article{DeSeverac1997,
author = {De Severac, Béatrice},
journal = {Journal de la société française de statistique},
language = {fre},
number = {1},
pages = {81-103},
publisher = {Société de statistique de Paris},
title = {Étude empirique du modèle de Vasicek sur le marché des obligations françaises},
url = {http://eudml.org/doc/199880},
volume = {138},
year = {1997},
}

TY - JOUR
AU - De Severac, Béatrice
TI - Étude empirique du modèle de Vasicek sur le marché des obligations françaises
JO - Journal de la société française de statistique
PY - 1997
PB - Société de statistique de Paris
VL - 138
IS - 1
SP - 81
EP - 103
LA - fre
UR - http://eudml.org/doc/199880
ER -

References

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  7. COX J.C., INGERSOLL J.E., ROSS S.A. (1985) " A Theory of The Term Structure of Interest Rate", Econometrica, n° 2, pp 385-407. Zbl1274.91447MR785475
  8. DE MUNNIK J.F., SCHOTMAN P.C. (1994) " Cross Sectionnal Versus Time Series Estimation of Term Structure Models : Empirical Results for The Dutch Bond Market", Journal of Banking and Finance, pp 997-1025. 
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  13. HEATH D., JARROW R., MORTON A. (1992) " Bond Pricing and The Term Structure of Interest Rates : A New Methodology for Contingent ClaimsEvaluation", Econometrica, n° 1, pp 77-105. Zbl0751.90009
  14. KANONY C., MOKRANE M. (1992) " Reconstitution de la courbe des taux, analyse des facteurs d'évolution et couverture factorielle", Cahier de la C.A.R., n° 1. 
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  16. LONGSTAFF F.A. (1989) " A Nonlinear General Equilibrium Model of The Term Structure of Interest Rate", Journal of Financial Economics, n° 23, pp 195-224. 
  17. LONGSTAFF F.A., SCHWARTZ E.S. (1992) " Interest Rate Volatility and The Term Structure : A Two-Factor General Equilibrium Model", Journal of Finance, n° 4, pp 1259-1282. 
  18. MAJNONI G. (1993) An Empirical Evaluation of One Versus Two Factor Models of Term Structure of Interest Rates : The Longstaff et Schwartz and the CIR Models, Colloque de l'AFFI, La Baule, Juin 1993. 
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  21. VASICEK O. (1977) " An Equilibrium Characterization of The Term Structure", Journal of Financial Economics pp 177-188. 

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