@article{JSFS_1992__133_4_53_0, author = {Frachot, Antoine and Gourieroux, Christian}, title = {L'\'econom\'etrie des mod\`eles dynamiques : avantages et limites des mod\`eles {ARCH}}, journal = {Journal de la Soci\'et\'e de statistique de Paris}, pages = {53--64}, publisher = {Soci\'et\'e de statistique de Paris}, volume = {133}, number = {4}, year = {1992}, language = {fr}, url = {http://archive.numdam.org/item/JSFS_1992__133_4_53_0/} }
TY - JOUR AU - Frachot, Antoine AU - Gourieroux, Christian TI - L'économétrie des modèles dynamiques : avantages et limites des modèles ARCH JO - Journal de la Société de statistique de Paris PY - 1992 SP - 53 EP - 64 VL - 133 IS - 4 PB - Société de statistique de Paris UR - http://archive.numdam.org/item/JSFS_1992__133_4_53_0/ LA - fr ID - JSFS_1992__133_4_53_0 ER -
%0 Journal Article %A Frachot, Antoine %A Gourieroux, Christian %T L'économétrie des modèles dynamiques : avantages et limites des modèles ARCH %J Journal de la Société de statistique de Paris %D 1992 %P 53-64 %V 133 %N 4 %I Société de statistique de Paris %U http://archive.numdam.org/item/JSFS_1992__133_4_53_0/ %G fr %F JSFS_1992__133_4_53_0
Frachot, Antoine; Gourieroux, Christian. L'économétrie des modèles dynamiques : avantages et limites des modèles ARCH. Journal de la Société de statistique de Paris, Volume 133 (1992) no. 4, pp. 53-64. http://archive.numdam.org/item/JSFS_1992__133_4_53_0/
Generalized Autoregressive Conditional Heteroskedasticity", J. of Econometrics, 307-327. | MR | Zbl
(1986) "Arbitrage, Factor Structure and Mean Variance Analysis on Change Asset Markets", Econometrica, 1281-1301. | MR | Zbl
, (1983) "The Dynamic of Exchange Rate Volatility : A Multivariate Latent Factor ARCH Model", J. of Applied Econometrics, 1-22.
, (1989) "Simulated Moments Estimation of Markov Models of Asset Prices, Working Paper.
, (1989)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, 987-1008. | MR | Zbl
(1982) "Estimating Time Varying Risk Premium in the Tenu Structure : the ARCH-M Model", Econometrica, 391-407.
, , (1987) "Models ARCH : Applications Financières", Economica 400.
(1992) "Qualitative Threshold ARCH Models", J. of Econometrics, 52, 159-200. | MR | Zbl
, (1992) "Dynamic Factor Models, CREST D.P.
, , (1991)Analyse statistique des transitions : l'exemple de la Nouvelle Politique Économique en URSS 1922-1927, à paraître dans Economie et Prévision.
, (1991)A New approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle", Econometrica, 357-384. | MR | Zbl
(1989) "Modelling Volatility : Some Alternatives to ARCH, London School of Economies.
, , (1991)A Heteroscedastic Factor Model of Asset Returns and Risk Premia with Time Varying Volatility : An Application to Sixteen World Stock Markets, London School of Economics.
, , (1990)Trading Tactics : A Livestock Futures Anthology, Chicago Mercantile Exchange.
(1986)Conditional Heteroskedasticity in Asset Return : A New Approach, M.I.T. D.P..
(1987)Alternative Models for Conditional Stock Volatility", J. of Econometrics, 267-290.
, (1990) "Threshold GARCH models and Asymmetries in Volatility, à paraître dans J. of Applied Econometrics.
, (1992)Modelling Financial Time Series, North-Holland.
(1985)