Modèles ARCH : une revue de la littérature
Journal de la société française de statistique, Volume 133 (1992) no. 1-2, p. 40-57
@article{JSFS_1992__133_1-2_40_0,
     author = {Zakoian, Jean-Michel},
     title = {Mod\`eles ARCH : une revue de la litt\'erature},
     journal = {Journal de la soci\'et\'e fran\c caise de statistique},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {133},
     number = {1-2},
     year = {1992},
     pages = {40-57},
     language = {fr},
     url = {http://www.numdam.org/item/JSFS_1992__133_1-2_40_0}
}
Zakoian, Jean-Michel. Modèles ARCH : une revue de la littérature. Journal de la société française de statistique, Volume 133 (1992) no. 1-2, pp. 40-57. http://www.numdam.org/item/JSFS_1992__133_1-2_40_0/

Akgiray V., 1989, Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts, Journal of Business, 62, 55-80.

Berndt, E.K., B.H. Hall, R.E. Hall and J.A. Hausman, 1974, Estimation inference in non linear structural models, Annals of Economic and Social Measurement 4, 653-665.

Bera A.L. et S. Lee, 1989, On the Formulation of a General Structure for Conditional Heteroskedasticity, D.P. University of Illinois.

Bera A.K. et S. Lee, 1991, Information Matrix Test, Parameter Heterogeneity and ARCH: A Synthesis, D.P. University of Illinois.

Bierens H.J., 1987, Kernel Estimators of Regression Functions, Cambridge University Press : Advances in Econometrics, 99-144. | Zbl 0850.62348

Bollerslev T., 1986, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics 31, 307-327. | MR 853051 | Zbl 0616.62119

Bollerslev T., 1987, A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return, Review of Economics and Statistics, 69, 542-547.

Bollerslev T., 1988, On the Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process, Journal of Time Series Analysis 9, 2, 121-131. | MR 943002

Bollerslev T., 1990, Modelling the Coherence in Short-Run Nominal Exchange Rates : A Multivariate Generalized ARCH Approach, à paraître dans Review of Economics and Statistics.

Bollerslev T., R.Y. Chou et K.F. Kroner, 1990, ARCH modeling in Finance: a Review of the Theory and Empirical Evidence, Working Paper No. 97, Northwestern University.

Bollerslev T., R.F., Engle et J.M. Wooldridge, 1988, A Capital Asset Pricing Model with Time-varying Covariances, Journal of Political Economy, 96, 1, 116-131.

Bollerslev T. et J.M. Wooldridge, 1990, Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances, D.P. MIT.

Bougerol P. et N. Picard, 1990, Stationarity of GARCH Process and of some Non-negative Time-Series, D.P. University de Nancy I.

Campbell J.Y. et L. Hentschel, 1990, No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns, D.P. Princeton University.

Chesney M., and L.O. Scott, 1989, Pricing European Currency Options: a Comparison of the Modified Black-Scholes Model and a Random Variance Model, Journal of Financial and Quantitative Analysis, 24, 267-284.

Chou R.Y., 1988, Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH, Journal of Applied Econometrics, 3, 279-294.

Chou R.Y., Engle R.F. et A. Kane, 1989, On the Measurement of Risk Aversion with Time-Varying Volatility and Unobservable Component of Wealth, à paraître dans Journal of Econometrics.

Christie A.A., 1982, The Stochastic Behavior of Common Stock Variances, Journal of Financial Economics 10, 407-432.

Cocco F. et P. Paruolo, Volatility Persistence and the Italian Risk Premium: Parametric and Non-Parametric Evaluation, D.P. Universita' di Bologna.

Diebold F.X. and M. Nerlove, 1989, The Dynamics of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model, Journal of Applied Econometrics, 4, 1-21.

El Babsiri M. et E. Renault, 1989, Principes de la Statistique des Modèles Financiers en Temps Continu, D.P. CREST.

El Babsiri M., et J.M. Zakoian, 1990, Approximation en Temps Continu d'un Modèle ARCH à Seuil, D.P. INSEE

Engle R.F., 1982, Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation, Econometrica 50, 987-1008. | MR 666121 | Zbl 0491.62099

Engle R.F., 1987, Multivariate GARCH with Factor Structures - Cointegration in Variance, D.P. U.C.S.D.

Engle R.F. et T. Bollerslev, 1986, Modelling the Persistence of Conditional Variances, Econometric Reviews, 5, 1-50, 81-87. | MR 876792 | Zbl 0619.62105

Engle R.F. et G. Gonzalez-Rivera, 1989, Semiparametric ARCH Models, D.P. University of California, San Diego.

Engle R.F., C.W.J. Granger and D. Kraft, 1984, Combining Competing Forecasts of Inflation Using a Bivariate ARCH Model, Journal of Economics Dynamics and Control, 8, 151-165. | MR 781644

Engle R.F., D. Lilien and R. Robins, 1987, Estimation of Time varying Risk Premiums in the Term Structure, Econometrica, 55, 391-408.

Engle R.F., V.K. Ng and M. Rotschild, 1989, Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills, D.P. U.C.S.D.

French K.R., G.W. Schwert et R.F. Stambaugh, 1987, Expected Stock Returns and Volatility, Journal of Financial Economics, 19, 3-29.

Gallant A.R., 1981, On the Bias in Flexible Functional Forms and an Essentially Unbiased Form: the Fourier Flexible Form, Journal of Econometrics, 15, 211-244. | MR 612090 | Zbl 0454.62096

Gallant A.R., L.P. Hansen et G. Tauchen, 1989, Using Conditional Moments of Asset Payoffs to infer the Volatility of Intertemporal Marginal Rates of Substitution, Journal of Econometrics, 45, 141-180. | Zbl 0709.62103

Gallant A.R. et D.W. Nychka, 1987, Semi-nonparametric Maximum Likelihood Estimation, Econometrica, 57, 363-390. | MR 882100 | Zbl 0631.62110

Gallant A.R. et G. Tauchen, 1989, Semi-nonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications, Econometrica, 57, 1091-1120. | MR 1014542 | Zbl 0679.62096

Geweke J., 1986, Comment on Modelling the Persistence of Conditional Variances, Econometric Reviews, 57-62.

Gourieroux C., 1990, Modèles ARCH, à paraître chez Economica.

Gourieroux C. et A. Monfort, 1989, Statistiques et Modèles Econométriques, Economica, 2 tomes.

Gourieroux C. et A. Monfort, 1991, Qualitative Threshold ARCH Models, Journal of Econometrics. | MR 1165647 | Zbl 0792.62103

Gourieroux C., A. Monfort et E. Renault, 1991, Modèles Dynamiques à Facteurs, D.P. INSEE.

Hansen B.E., 1990, GARCH(1,1), Processes are Near Epoch Dependent, à paraître dans Economic Letters. | MR 1114657 | Zbl 0806.62069

Harvey A.C. et E. Ruiz, 1990, Unobserved Component Time Series Models with ARCH disturbances, D.P. London School of Economics.

Higgins M.L. et A.K. Bera, 1988, Nonlinear ARCH Models: Properties, Testing and Applications, D.P. University of Wisconsin-Milwaukee.

Hsieh D.A., 1989, Modeling Heteroskedasticity in Daily Foreign Exchange Rate Changes, Journal of Business, 62, 339-368.

Hull J., and A. White, The Pricing of Options on Assets with Stochastic Volatilities, Journal of Finance, 42, 281-300.

Lamoureux C.G. et W.D. Lastrapes, 1990, Persistence in Variance, Structural Change and the GARCH Model, Journal of Business and Economic Statistics, 8, 225-234.

Lo A., 1988, Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data, Econometric Theory. | MR 959611

Lumsdaine R.L., 1990, Asymptoptic Properties of the Quasi-Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models, D.P. Harvard University.

Mandelbrot B., 1963, The Variation of Certain Speculative Prices, Journal of Business, 36, 394-419.

Merton R.C., 1973, An Intertemporal Capital Asset Pricing Model, Econometrica, 41, 867-887. | MR 441271 | Zbl 0283.90003

Merton R.C., 1980, On Estimating the Expected Return on the Market: An Explanatory Investigation, Journal of Financial Economics, 8, 323-361.

Milhoj A., 1985, The Moment Structure of ARCH Processes, Scandinavian Journal of Statistics, 12, 281-292. | MR 841449 | Zbl 0595.62089

Milhoj A., 1987, A Conditional Variance Model for Daily Deviations of an Exchange Rate, Journal of Business and Economic Statistics, 5, 99-103.

Milhoj A., 1990, Distribution of Empirical Autocorrelations of a Squared First OrderARCH Process, D.P. University of Odense.

Mossin J., 1966, Equilibrium in a Capital Asset Market, Econometrica, 768-783.

Nelson D.B., 1990a, Stationarity and Persistence in the GARCH(1,1) Model, Econometric Theory, 6, 318-334. | MR 1085577

Nelson D.B., 1990b, ARCH Models as Diffusion Approximations, Journal of Econometrics, 45, 7-38. | MR 1067229 | Zbl 0719.60089

Nelson D.B., 1990c, Conditional Heteroskedasticity in Asset Returns: A New Approach, à paraître dans Econometrica. | MR 1097532 | Zbl 0722.62069

Nelson D.B., 1990d, Filtering and Forecasting with Misspecified ARCH models I: Variance Estimation, à paraître dans Journal of Econometrics. | Zbl 0761.62169

Nelson D.B., 1990e, A Note on the Normalized Residuals from ARCH and Stochastic Volatility Models, D.P. University of Chicago.

Nelson D.B. et C.Q. Cao, 1991, A Note on the Inequality Constraints in theUnivariate GARCH Model, D.P. University of Chicago.

Nelson D.B. et D.P. Foster, 1991a, Filtering and Forecasting with Misspecified Arch models II: Making the Right Forecast with the Wrong Model, D.P. University of Chicago.

Nelson D.B. et D.P. Foster, 1991b, Estimating Conditional Variances with Misspecified ARCH Models: Asymptotic Theory, D.P. University of Chicago.

Nerlove M., F.X. Diebold, H. Van Beeck and Y.W. Cheung, 1988, A Multivariate ARCH Model of Foreign Exchange Rate Determination, D.P. University of Pennsylvania.

Pagan A.R. et H.C.L. Sabau, 1987, On the Inconsistency of the MLE in Certain Heteroskedastic Regression Models, D.P. University of Rochester.

Pagan A.R. et G.W. Schwert, 1990, Alternative Models for Conditional Stock Volatility, Journal of Econometrics, 45, 267-290.

Pagan A.R. et A. Ullah, 1988, The Econometric Analysis of Models with Risk Terms, Journal of Applied Econometrics, 3, 87-105.

Pantula S.G., 1986, Comments on Modelling the Persistence of Conditional Variances, Econometric Reviews, 57-62.

Rabemananjara R. et J.M. Zakoian, 1991, TARCH Models with Asymmetries in Volatility, D.P. INSEE.

Rich R.W., J. Raymond et J.S. Butler, 1991, Generalized Instrumental Variables Estimation of Autoregressive Conditional Heteroskedastic Models, Economics Letters, 35, 179-185. | MR 1095895

Robinson P.M., 1988, Semiparametric Econometrics: a Survey, Journal of Applied Econometrics, 3, 35-52.

Schwert G.W., 1989, Why does Stock Market Volatility Change over Time ? Journal of Finance, XLIV-5, 1115-1153.

Schwert G.W., 1990, Stock Volatility and the Crash of '87, Review of Financial Studies, 3, 77-102.

Sentana E., 1990, Quadratic ARCH models: A Potential Re-Interpretation of ARCH Models as Second-Order Approximations, D.P. London School of Economics.

Sharpe W.F., 1964, Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk, Journal of Finance, 19, 425-442.

Tapia R.A. et J.R. Thompson, 1978, Nonparametric Probability Density Estimation, John Hopkins University Press, Baltimore. | MR 502724 | Zbl 0449.62029

Taylor S., 1985, Modelling Financial Time Series, John Wiley and Sons. | Zbl 1130.91345

Weiss A.A., 1984, ARMA Models with ARCH Errors, Journal of Time Series Analysis, 5, 129-143. | Zbl 0549.62079

Weiss A.A., 1986, Asymptotic Theory for ARCH Models: Estimation and Testing, Econometric Theory, 2, 107-131.

Wiggins J.B., 1987, Option Values under Stochastic Volatility: Theory and Empirical Estimates, Journal of Financial Economics, 19, 351-372.

Yule G.U., 1927, On a Method of Investigating Periodicities in Disturbed Series with Special Reference to Wolfer's Sunspot Numbers, Philos. Trans. Royal Society, London, Series A, 226, 267-298. | JFM 53.0509.02

Zakoian J.M., 1990, Threshold Heteroskedastic Models, D.P. INSEE.