@article{JSFS_1997__138_3_45_0,
author = {de La Palli\`ere, Nadine},
title = {La co\"\i nt\'egration et l'efficience du march\'e \`a terme des contrats Pibor 3 mois},
journal = {Journal de la soci\'et\'e fran\c caise de statistique},
pages = {45--61},
publisher = {Soci\'et\'e de statistique de Paris},
volume = {138},
number = {3},
year = {1997},
language = {fr},
url = {archive.numdam.org/item/JSFS_1997__138_3_45_0/}
}
de La Pallière, Nadine. La coïntégration et l'efficience du marché à terme des contrats Pibor 3 mois. Journal de la société française de statistique, Tome 138 (1997) no. 3, pp. 45-61. http://archive.numdam.org/item/JSFS_1997__138_3_45_0/
et (1994) " Impact de l'intervalle d'échantillonnage sur les tests d'efficience: application au marché français des actions", Finance, vol. 15, pp. 7-27.
(1984) An Introduction to Multivariate Statistical Analysis, John Wiley, New York. | MR 771294 | Zbl 0083.14601
(1988) " Efficience et cloisonnement du marché des changes et des marchés financiers en France (1970-1986)", Cahiers Economiques et Monétaires, n°31, pp. 49-117.
(1996) Le marché à terme espagnol de taux d'intérêt: efficience et primes de risque, Thèse de Doctorat ès Sciences de Gestion, Université de Bordeaux IV-Montesquieu.
et (1970) Time Series Analysis Forescating and Control, Holden Day, San Francisco. | Zbl 0249.62009
et (1984) " Considering an Informational Role for Future Market", The Reviewof Economic Studies, vol. 51, pp. 33-52.
et (1993) " A Cointegration Test for Oil Futures Market Efficiency", The Journal of Futures Markets, vol. 13, pp. 933-941.
, , et (1978) " Econometric Modeling of the Aggregate Time Series Relationship between Consumer's Expenditure and Income in the United Kingdom", Economic Journal, n° 88, pp. 661-692.
et (1979) " Distribution of Estimators for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association, vol. 74, pp. 427-431. | MR 548036 | Zbl 0413.62075
et (1981) " Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica, vol. 49, pp. 1057-1072. | MR 625773 | Zbl 0471.62090
et (1987) " Cointegration and Error Correction: Representation, Estimation and Testing", Econometrica, vol. 55, pp. 251-276. | MR 882095 | Zbl 0613.62140
(1992) Tests de non-stationnarité: application aux PIB réel, Thèse de Doctorat es Sciences Economiques, Université de Bourgogne.
et (1984) " Testing for Unit Roots: 2", Econometrica, vol. 52, pp. 1241-1269. | MR 763072 | Zbl 0579.62014
(1991) " Efficient Capital Markets: II", The Journal of Finance, vol. 46, pp. 1575-1617.
(1981) " Futures Trading and Volatility in GNMA Markets", The Journal of Finance, vol. 36, pp. 445-456.
(1990) " Peut-on prédire l'évolution des marchés d'actions à partir des cours et des dividendes passés? (Tests de marche au hasard et de co-intégration", Journal de la Société Statistique de Paris, tome 131, pp. 16-36.
(1966) " The Typical Spectral Shape of an Economic Variable", Econometrica, vol. 34, pp. 150-166.
(1986) " Developments in the Study of Cointegrated Economic Variables", Oxford Bulletin of Economics and Statistics, vol. 48, pp. 213-228.
et (1989) " Market Efficiency and Cointegration: An Application to the Sterling and Deutschemark Exchange Markets", Journal of International Money and Finance, vol. 8, pp. 75-88.
et (1979) " The Determination of the Order of an Autoregression", Journal of the Royal Statistical Society, vol 41, pp 190-191. | MR 547244 | Zbl 0408.62076
(1988) " Statistical Analysis of Cointegration Factors", Journal of Economic Dynamics and Control, n° 12, pp. 231-254. | MR 986516 | Zbl 0647.62102
et (1990) " Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money", Oxford Bulletin of Economics and Statistics, vol. 52, pp. 169-210.
et (1991) " A Cointegration Test for Market Efficiency", The Journal of Futures Markets, vol. 11, pp. 567-575.
et (1981) " The Price-Forecasting Performance of Futures Markets for Live Cattle and Hogs: A Disaggregated Analysis", American Journal of Agricultural Economics, vol. 63, pp. 209-232.
et (1982) " Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications", Journal of Monetary Economics, vol. 10, pp. 139-162.
et (1987) " A Simple Positive Definitive Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, vol. 55, pp. 703-708. | MR 890864 | Zbl 0658.62139
(1988) " Trends and Random Walk in Macroeconomic Time Series: Further Evidence from a New Approach", Journal of Economic Dynamics and Control, vol. 12, pp. 297-332. | MR 986518 | Zbl 0659.62128
(1987) " Time Series Regression with a Unit Root", Econometrica, vol. 55, pp. 277-301. | MR 882096 | Zbl 0613.62109
et (1988) " Testing for a Unit Root in Time Series Regression", Biometrika, vol. 75, pp. 335-346. | MR 946054 | Zbl 0644.62094
(1973) Linear Statistical Inference and its Applications, 2e ed., John Wiley, New York. | MR 346957
et (1984) " Testing for Unit Roots in Autoregressive Moving Average Models of Unknow Order", Biometrika, vol. 71, pp. 599-607. | MR 775407 | Zbl 0564.62075
(1982) " Error Correction Mechanisms", Economic Journal, vol. 92, pp. 615-629.
(1964) " Wages and Prices in the United Kingdom: A Study in Econometric Methodology", in Hart-Mills, Whittaker (eds), "Econometric Analysis for National Economic Planning", Butterworths, Londres.
et (1991) " Price Discovery and Cointegration for Live Hogs", The Journal of Futures Markets, vol. 11, pp. 685-696.
(1978) " Estimating the Dimension of a Model", Annals of Statistics, vol. 6, pp. 461-464. | MR 468014 | Zbl 0379.62005
(1987) " Effects of Model Specification on Tests for Unit Roots in Macroeconomic Data", Journal of Monetary Economics, vol. 20, pp. 73-103.
et (1990) " Examining the Validity of a Test of Futures Market Efficiency: A Comment", The Journal of Futures Markets, vol. 10, pp. 195-196.
, et (1986) " Reduced Rank Models for Multiple Time Series", Biometrika, vol. 73, pp. 105-118. | MR 836438 | Zbl 0612.62121
