Une approche prospective des modèles ARCH
Journal de la Société de statistique de Paris, Tome 133 (1992) no. 4, pp. 65-76.
@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  - 
%0 Journal Article
%A Avouyi-Dovi, Sanvi
%T Une approche prospective des modèles ARCH
%J Journal de la Société de statistique de Paris
%D 1992
%P 65-76
%V 133
%N 4
%I Société de statistique de Paris
%U http://archive.numdam.org/item/JSFS_1992__133_4_65_0/
%G fr
%F JSFS_1992__133_4_65_0
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/

Avouyi-Dovi S. (1992) Les modèles ARCH : mythe ou réalité, Document de Travail CDC, 1992-12T.

Atlan F., Avouyi-Dovi S., Ducos Ph. (1990) Dynamique des taux de change : les propriétés statistiques, Document de Travail CDC, n° 1990//01T.

Baillie R.T., Bollerslev T. (1989) " The Message in Daily Exchange Rates : A Conditional Variance Tale", J. of Business and Economics Statistics, 297-305.

Baillie Rt., Bollerslev T. (1991) " Intra Day and Inter Market Volatility in Foreign Exchange Rates", R. of Economics Studies, 565-585.

Barnea A., Downes D.H. (1976) " A Reexamination of Empirical Distribution of Stock Price Changes", J. of the American Statistical Association, 348-351.

Béra A., Lee S., Higgings M.L. ( 1990a) Interaction between Autocorrelation and Conditional Heteroskedasticity : A Random Coefficient Approach, D.P. (90-25), University of California.

Bollerslev T. (1986) " Generalized Autoregressive Conditional Heterosckedasticity", J. of Econometrics, 307-327. | MR | Zbl

Bollerslev T. (1987) " A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Retum", R. of Economics and Statistics, 542-547.

Bollerslev T. (1990) " Modeling the Coherence in Short-Run Nominal Exchange Rates : A Multivariate Generalized ARCH Approach", R. of Economics and Statistics, 498-505.

Bollerslev T., Engle R. (1986) " Modeling the Persistence of Conditional Variances" Econometric Review. | MR | Zbl

Bollerslev T., Engle R., Wooldridge J. (1988) " A Capital Asset Pricing Model with Time Varying Covariance", J. of Political Economy, 116-131.

Bollerslev T., Wooldridge J.M. (1990) " Quasi Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances", Econometric Review, Forthcoming. | MR | Zbl

Bollerslev T., Jayaraman N., Chou R., Kroner K. (1992) " ARCH Modeling in Finance : A Review ofthe Theory and Empirical Evidence", J. of Econometrics, n° 1/2. | Zbl

Boothe P., Glassman D. (1987) " The Statistical Distribution of Exchange Rates : Empirical Evidence and Economic Implications", J. of International Economics.

Boutillier M. (1991) Approche Patrimoniale du Marché des Changes, Thèse de doctorat, Université d'Orléans.

Diebold F.X., Pauly P. (1988) " Endogenous Risk in a Portfolio Balance Rational Expectations Model ofthe DM - Dollar Rate", European Economic Review.

Diebold F.X., Nerlove M. (1989) " The Dynamic of Exchange Volatility : A Multivariate Latent Factor ARCH Model", J. of Applied Econometrics, 1-21.

Engle B. (1982) " Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, 987-1008. | Zbl

Engle B. (1987) Multivariate GARCH with Structure Cointegration in Variance, Unpublished Manuscript (Department of Economics UCSD).

Engle B., Lilien D., Robins R. (1987) " Estimating Time Varying Risk Premia in the Term Structure : The Arch-M Model", Econometrica, 391-407.

Fama E. (1965) " The Behavior of Stock Market Prices", J. of Business, 34-105.

Friedman D., Vandersteel S. (1982) " Short-Run Fluctuations in Foreign Ex-change Rates : Evidence firm Data 1973-1979", J. of International Economics, 171-186.

Gouriéroux C. (1992) Modèles ARCH : applications financières et monétaires, Economica, Paris.

Gouriéroux C., Monfort A. (1992) " Qualitative Threshold ARCH Models", J. of Econometrics, n° 1/2. | MR | Zbl

Harvey A.C., Ruiz E. (1990) Unobserved Component Time Series Models with ARCH Disturbances, Mimeo, Department of Statistical and Mathematical Sciences, London School of Economics.

Hsieh D.A. ( 1989a) " Modeling Heteroskedasticity in Daily Foreign Exchange Rates", J. of Business and Economic Statistics, 307-317.

Hsieh D.A. ( 1989b) Testing for Nonlinear Dependence in Daily Foreign Exchange Rates, Mimeo Graduate School of Business, University of Chicago.

Jorion P.N. (1988) " On Jump Process in the Foreign Exchange and Stock Markets", R. of Financial Studies, 427-445.

Kroner K., Lastrapes W. (1990) The impact of Exchange Rate Volatility on International Trade : Estimates Using the GARCH M. Model, Unpublished Manuscript, Department of Economics, University of Pennsylvania.

Mac Mahon P. (1989) Taux de change et mesure de risque : une étude empirique, Mimeo, Banque d'Angleterre.

Mandelbrot B. (1963) " The Variation of Certain Speculative Prices", J. of Business, 394-419.

Mark N. (1988) " Time Varying Beats and Risk Premia in the Pricing of Forward Foreign Exchange Contracts", J. of Financial Economics, 335-354.

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

Nelson D.B. ( 1990b) " Conditional Heteroskedasticity in Assets Returns : A New Approach", Econometrica, 347-370. | MR | Zbl

Nelson D.B. ( 1990c) " ARCH Models in Diffusion Approximations", J. of Econometrics, 1-21. | MR | Zbl

Pagan A.R, Ullah A. (1988) " The Econometric Analysis of Models with Risk Terms", J. of Applied Econometrics, 87-105.

Pantula S.G. (1985) Estimation of Autoregressive Models with ARCH Errors, Unpublished Manuscript, Department of Statistics, North Carolina State University.

Weiss Aa. (1984) " ARMA Models with ARCH Errors", J. of Time Series Analysis. | Zbl

Zakoian J.M. (1990) Threshold Heteroskedastic Models, Unpublished Manuscript, INSEE.