Volatilité des taux de change et politique monétaire

Aurélie Boubel

Journal de la société française de statistique (1998)

  • Volume: 139, Issue: 1, page 33-47
  • ISSN: 1962-5197

How to cite

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Boubel, Aurélie. "Volatilité des taux de change et politique monétaire." Journal de la société française de statistique 139.1 (1998): 33-47. <http://eudml.org/doc/199885>.

@article{Boubel1998,
author = {Boubel, Aurélie},
journal = {Journal de la société française de statistique},
language = {fre},
number = {1},
pages = {33-47},
publisher = {Société de statistique de Paris},
title = {Volatilité des taux de change et politique monétaire},
url = {http://eudml.org/doc/199885},
volume = {139},
year = {1998},
}

TY - JOUR
AU - Boubel, Aurélie
TI - Volatilité des taux de change et politique monétaire
JO - Journal de la société française de statistique
PY - 1998
PB - Société de statistique de Paris
VL - 139
IS - 1
SP - 33
EP - 47
LA - fre
UR - http://eudml.org/doc/199885
ER -

References

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  7. BOLLERSLEV T., CHOU R. et KRONER K. (1992) " ARCH Modeling in Finance : A Review of the Theory and Empirical Evidence", Journal of Econometrics, 52, pp. 5-59. Zbl0825.90057
  8. BOLLERSLEV T., ENGLE R. et NELSON D. (1994) " ARCH Models", in Handbook of Econometrics, volume 4, chapitre 49, pp. 2960-3038., MR1315984
  9. COSIMANO T. et SHEERAN R. (1994) " The Federal Reserve Operating Procedure, 1984-1990 : An Empirical Analysis", Journal of Macroeconomics, 16, pp. 573-588. 
  10. ENGLE R. (1982) " Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, 50, pp. 987-1008. Zbl0491.62099MR666121
  11. ENGLE R. et GAU Y. (1997) " Conditional Volatility of exchange Rate Under a Target Zone", University of California Discussion Paper, 97-06. 
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  13. HAMILTON J. (1994) Times Series Analysis, Princeton University Press. Zbl0831.62061MR1278033
  14. HAMILTON J. et SUSMEL R. (1994) " Autoregressive Conditional Heteroskedasticity and Changes in Regime", Journal of Econometrics, 64, pp. 307-333. Zbl0825.62950
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  16. LASTRAPES W. (1989) " Exchange Rate Volatility and U.S. Monetary Policy : An ARCH Application", Journal of Money, Credit and Banking, 21, pp. 66-77. 
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