@article{JSFS_1992__133_4_65_0, author = {Avouyi-Dovi, Sanvi}, title = {Une approche prospective des mod\`eles {ARCH}}, journal = {Journal de la Soci\'et\'e de statistique de Paris}, pages = {65--76}, 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_65_0/} }
TY - JOUR AU - Avouyi-Dovi, Sanvi TI - Une approche prospective des modèles ARCH JO - Journal de la Société de statistique de Paris PY - 1992 SP - 65 EP - 76 VL - 133 IS - 4 PB - Société de statistique de Paris UR - http://archive.numdam.org/item/JSFS_1992__133_4_65_0/ LA - fr ID - JSFS_1992__133_4_65_0 ER -
Avouyi-Dovi, Sanvi. Une approche prospective des modèles ARCH. Journal de la Société de statistique de Paris, Tome 133 (1992) no. 4, pp. 65-76. http://archive.numdam.org/item/JSFS_1992__133_4_65_0/
Les modèles ARCH : mythe ou réalité, Document de Travail CDC, 1992-12T.
(1992)Dynamique des taux de change : les propriétés statistiques, Document de Travail CDC, n° 1990//01T.
, , (1990)The Message in Daily Exchange Rates : A Conditional Variance Tale", J. of Business and Economics Statistics, 297-305.
, (1989) "Intra Day and Inter Market Volatility in Foreign Exchange Rates", R. of Economics Studies, 565-585.
, (1991) "A Reexamination of Empirical Distribution of Stock Price Changes", J. of the American Statistical Association, 348-351.
, (1976) "Interaction between Autocorrelation and Conditional Heteroskedasticity : A Random Coefficient Approach, D.P. (90-25), University of California.
, , ( 1990a)Generalized Autoregressive Conditional Heterosckedasticity", J. of Econometrics, 307-327. | MR | Zbl
(1986) "A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Retum", R. of Economics and Statistics, 542-547.
(1987) "Modeling the Coherence in Short-Run Nominal Exchange Rates : A Multivariate Generalized ARCH Approach", R. of Economics and Statistics, 498-505.
(1990) "Modeling the Persistence of Conditional Variances" Econometric Review. | MR | Zbl
, (1986) "A Capital Asset Pricing Model with Time Varying Covariance", J. of Political Economy, 116-131.
, , (1988) "Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances", Econometric Review, Forthcoming. | MR | Zbl
, (1990) "ARCH Modeling in Finance : A Review ofthe Theory and Empirical Evidence", J. of Econometrics, n° 1/2. | Zbl
, , , (1992) "The Statistical Distribution of Exchange Rates : Empirical Evidence and Economic Implications", J. of International Economics.
, (1987) "Approche Patrimoniale du Marché des Changes, Thèse de doctorat, Université d'Orléans.
(1991)Endogenous Risk in a Portfolio Balance Rational Expectations Model ofthe DM - Dollar Rate", European Economic Review.
, (1988) "The Dynamic of Exchange Volatility : A Multivariate Latent Factor ARCH Model", J. of Applied Econometrics, 1-21.
, (1989) "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, 987-1008. | Zbl
(1982) "Multivariate GARCH with Structure Cointegration in Variance, Unpublished Manuscript (Department of Economics UCSD).
(1987)Estimating Time Varying Risk Premia in the Term Structure : The Arch-M Model", Econometrica, 391-407.
, , (1987) "The Behavior of Stock Market Prices", J. of Business, 34-105.
(1965) "Short-Run Fluctuations in Foreign Ex-change Rates : Evidence firm Data 1973-1979", J. of International Economics, 171-186.
, (1982) "Modèles ARCH : applications financières et monétaires, Economica, Paris.
(1992)Qualitative Threshold ARCH Models", J. of Econometrics, n° 1/2. | MR | Zbl
, (1992) "Unobserved Component Time Series Models with ARCH Disturbances, Mimeo, Department of Statistical and Mathematical Sciences, London School of Economics.
, (1990)Modeling Heteroskedasticity in Daily Foreign Exchange Rates", J. of Business and Economic Statistics, 307-317.
( 1989a) "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates, Mimeo Graduate School of Business, University of Chicago.
( 1989b)On Jump Process in the Foreign Exchange and Stock Markets", R. of Financial Studies, 427-445.
(1988) "The impact of Exchange Rate Volatility on International Trade : Estimates Using the GARCH M. Model, Unpublished Manuscript, Department of Economics, University of Pennsylvania.
, (1990)Taux de change et mesure de risque : une étude empirique, Mimeo, Banque d'Angleterre.
(1989)The Variation of Certain Speculative Prices", J. of Business, 394-419.
(1963) "Time Varying Beats and Risk Premia in the Pricing of Forward Foreign Exchange Contracts", J. of Financial Economics, 335-354.
(1988) "Stationarity and Persistence in the GARCH (1,1) Model", Econometric Theory, 318-334. | MR
( 1990a) "Conditional Heteroskedasticity in Assets Returns : A New Approach", Econometrica, 347-370. | MR | Zbl
( 1990b) "ARCH Models in Diffusion Approximations", J. of Econometrics, 1-21. | MR | Zbl
( 1990c) "The Econometric Analysis of Models with Risk Terms", J. of Applied Econometrics, 87-105.
, (1988) "Estimation of Autoregressive Models with ARCH Errors, Unpublished Manuscript, Department of Statistics, North Carolina State University.
(1985)ARMA Models with ARCH Errors", J. of Time Series Analysis. | Zbl
(1984) "Threshold Heteroskedastic Models, Unpublished Manuscript, INSEE.
(1990)