Mesures de temps, information et distribution des rendements intra-journaliers
Journal de la Société de statistique de Paris, Tome 138 (1997) no. 4, pp. 89-120. 
@article{JSFS_1997__138_4_89_0,
     author = {Maillet, Bertrand and Michel, Thierry},
     title = {Mesures de temps, information et distribution des rendements intra-journaliers},
     journal = {Journal de la Soci\'et\'e de statistique de Paris},
     pages = {89--120},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {138},
     number = {4},
     year = {1997},
     language = {fr},
     url = {http://archive.numdam.org/item/JSFS_1997__138_4_89_0/}
}
TY  - JOUR
AU  - Maillet, Bertrand
AU  - Michel, Thierry
TI  - Mesures de temps, information et distribution des rendements intra-journaliers
JO  - Journal de la Société de statistique de Paris
PY  - 1997
SP  - 89
EP  - 120
VL  - 138
IS  - 4
PB  - Société de statistique de Paris
UR  - http://archive.numdam.org/item/JSFS_1997__138_4_89_0/
LA  - fr
ID  - JSFS_1997__138_4_89_0
ER  - 
%0 Journal Article
%A Maillet, Bertrand
%A Michel, Thierry
%T Mesures de temps, information et distribution des rendements intra-journaliers
%J Journal de la Société de statistique de Paris
%D 1997
%P 89-120
%V 138
%N 4
%I Société de statistique de Paris
%U http://archive.numdam.org/item/JSFS_1997__138_4_89_0/
%G fr
%F JSFS_1997__138_4_89_0
Maillet, Bertrand; Michel, Thierry. Mesures de temps, information et distribution des rendements intra-journaliers. Journal de la Société de statistique de Paris, Tome 138 (1997) no. 4, pp. 89-120. http://archive.numdam.org/item/JSFS_1997__138_4_89_0/

Acosta Gonzalez E. et Perez Rodriguez J. (1997) Trading Volume and Price Changes of Assets : Causality, Mixture-Distribution and Multivariate GARCH Approach, Actes du colloque A.E.A.-Imperial College-BNP, Londres, Mai 1997, 21 pages.

Andersen T. et Bollerslev T. ((1997)) " Heterogeneous Information Arrivals and Return Volatility Dynamics : Uncovering the Long-Run in High Frequency Returns", Journal of Finance, vol. 52, n° 3, July 1997, pp. 975-1005.

Avouyi-Dovi S., Jondeau E. et Lai Tong Ch. (1996) Effet volume, volatilité et transmissions internationales sur les marchés boursiers dans le G5, Communication au Colloque du GDR Monnaie et Financement du CNRS, Aix-en-Provence, Juin 1996, 22 pages.

Belkacem L., Levy Véhel J. et Walter C. (1995) Generalized Market Equilibrium : 'Stable' CAPM, Actes du colloque de l'AFFI, Bordeaux, Juin 1995, 21 pages.

Bera A. et Higgins L. (1993) " ARCH Models : Properties, Estimation and Testing", Journal of Economic Survey, vol. 7, n°4, pp. 305-365.

Bessembinder H. et Seguin P. (1993) " Price Volatility, Trading Volume and Market Depth : Evidence from Futures Markets", Journal of Financial and Quantitative Analysis, vol. 28, n°1, pp. 21-39.

Bollerslev T. (1986) " Generalized AutoRegressive Conditional Heteroskedasticity", Journal of Econometrics, vol. 69, 1993, pp. 307-327. | MR | Zbl

Bollerslev T., Engle R. et Nelson D. (1994) " ARCH Models", in Handbook of Econometrics, volume IV, chapter 49, pp. 2960-3038, Engle and McFadden Editors, Elsevier Science, 1994. | MR

Bouchaud J.-P. et Potters M. (1997) Théorie des risques financiers, Collection Aléa-Saclay, Diffusion Eyrolles, 1997, 192 pages.

Boutillier M. (1992) Critique des processus de diffusion en finance : le cas des taux de change, Journal de la Société de Statistique de Paris, tome 133, n° 4, pp. 113-122.

Campbell J., Grossman S. et Wang J. (1993) " Trading Volume and Serial Correlation on Stock Returns", The Quarterly Journal of Economics, n°435, pp. 905-939.

Chauveau Th. (1997) " Peut-on exploiter le lien statistique entre cours et volumes ? Le cas de quatre bourses de valeurs", Document de travail de la Caisse des Dépôts, n°97-04/FI, Juin 1997, 72 pages.

Clark P. (1973) " A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices", Econometrica, vol.41, n°l, pp. 135-155. | MR | Zbl

Dacorogna M., Gauvreau C. , Müller U., Olsen R. et Pictet O. (1992) Short Term Forecasting Models of Foreign Exchange Rates, Actes du colloque de la Caisse des Dépôts et Consignations, Paris, Septembre 1993, 22 pages.

Dacorogna M., Müller U., Nagler R., Olsen R. et Pictet O. (1993) " A Geographical Model for the Daily and Weekly Seasonal Volatility in the FX Market", Journal of International Money and Finance, vol.12, n° 4, 1993, pp. 413-438.

Deheuvels P. (1977) " Estimation non-paramétrique de la densité par histogrammes généralisés", Revue de Statistique Appliquée, vol.25, n°3, pp. 5-42. | MR

Diebold F. (1988) Empirical Modeling of Exchange Rate Dynamics, Lecture Notes in Economics and Mathematical System, Springer-Verlag, 143 pages. | Zbl

Drost F. et Nijman T. (1993) " Temporal Aggregation of GARCH processes", Econometrica, vol.61, n°4, 1993, pp. 909-927. | MR | Zbl

Duan J. (1995) " The GARCH Option Model Pricing", Journal of Mathematical Finance, vol.5, pp. 13-32. | MR | Zbl

Engle R. (1982) " AutoRegressive Conditional Heteroscedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, 50, pp. 987-1008. | MR | Zbl

Feinstone L. (1987) " Minute by Minute : Efficiency, Normality and Randomness in the Intra-daily Asset Prices", Journal of Applied Econometrics, vol.2, pp. 193-214.

Feller W. (1968) An Introduction to Probability Theory and Its Applications, John Wiley Editor, 1968, vol.2, 619 pages. | MR

Frankfurter G. et Lamoureux C. (1987) " The Relevance of the Distributional Form of Common Stock Returns to the Construction of Optimal Portfolios", Journal of the Financial and Quantitative Analysis, vol.22, n°4, December 1987, pp.505-511.

Funding La Cour L. (1997) Regime Shift Models as an Alternative to the Use of a 'Business time Scale' for High-Frequency Exchange Rate Data, Actes du colloque A.E.A.-Imperial College-BNP, Londres, Mai 1997, 24 pages.

Gallant A., Rossi P. et Tauchen G. (1992) " Stock Prices and Volume", Review of Financial Studies, vol.5, n°2, 1992, pp.199-242.

Gallo G. et Pacini B. (1997) The Effects of Trading Activity on Market Volatility, Actes du colloque A.E.A.-Imperial College-BNP, Londres, Mai 1997, 25 pages.

Giraud P. (1968) " Language et théorie de la communication", Encyclopédie de la Pleïade : linguistique, Gallimard, vol. XXV-6, pp. 145-167.

Gouriéroux Ch. , Jasiak J. et Le Fol G. ( 1996-a) " Intra-Day Market Activity", Documents de travail du CREST, INSEE, n°9633, Juin 1996, 47 pages.

Gouriéroux Ch. , Le Fol G. et Meyer B. ( 1996-b) " Analysis of Order Queues", Documents de travail du CREST, INSEE, n°9653, Octobre 1996, 41 pages.

Hamilton J. (1994) Times Series Analysis, Princeton University Press, 799 pages. | MR | Zbl

Hamilton J. et Susmel R. (1994) " AutoRegressive Conditional Hetroskedasticity and Changes in Regime", Journal of Econometrics, vol. 64, pp. 307-333. | Zbl

Harris L. (1986) " Cross-security Tests of the Mixture of Distributions Hypothesis", Journal of Financial and Quantitative Analysis, vol.21, pp. 39-46.

Harvey C. et Zhou G. (1993) " International Asset Pricing with Alternative Distributional Specifications", Journal of Empirical Finance, n ° l , 1993, pp. 107-131.

Hsieh D. (1986) " The Statistical Properties of Daily Foreign Exchange Rates : 1974-1983", Journal of International Economics, vol.24, 1986, pp. 129-145.

Jansen D. et De Vries C. (1991) " On the Frequency of Large Stock Returns : Putting Booms and Busts into Perspective", Review of Economic and Statistics, vol.73, 1991, pp.18-24.

Karpoff J. (1987) " The Relation between Price Changes and Trading Volume : A Survey", Journal of Financial and Quantitative Analysis, n°22, pp. 109-126.

Kim S., Lockwood L. et Mcinish T. (1996) " Intraday Beta Stability", in Advances in Quantitative Analysis of Finance and Accounting, Jay Press Inc. Eds, vol.4, 1996, pp. 35-46.

Lamoureux C. et Lastrapes W. ( 1990-a) " Heteroskedasticity in Stock Returns Data : Volume versus GARCH Effects", Journal of Finance, vol.45, pp. 221-229.

Lamoureux C. et Lastrapes W. ( 1990-b) " Persistence in Variance, Structural Change and the GARCH Model", Journal of Business and Economic Statistics, vol.8, pp. 225-234.

Lamoureux C. et Lastrapes W. (1994) " Endogenous Trading Volume and Momentum in Stock-Return Volatility", Journal of Business and Economic Statistics, vol.12, n°2, pp. 225-234.

Longin F. (1996) " The Asymptotic Distribution of Extreme Stock Markets Returns", Journal of Business, vol.69, n°3, pp. 383-407.

Longin F. (1997) Value at Risk : une nouvelle méthode fondée sur la théorie des valeurs extrêmes, Actes du colloque de l'AFFI, Grenoble, Juin 1997, 32 pages.

Mandelbrot B. (1963) " The Variation of Certain Speculative Prices", Journal of Business, n°36, pp. 394-419.

Mandelbrot B. (1968) " Les constantes chiffrées du discours", Encyclopédie de la Pléïade : linguistique, Gallimard, vol.XXV-3, pp. 46-56.

Mandelbrot B. (1973) " Formes nouvelles du hasard dans les sciences et Le syndrome de la variance infinie", Economie Appliquée, vol.26, pp. 307-348.

Mandelbrot B. (1997) Fractales, hasard et finance, Flammarion, collection Champs, 246 pages.

Mauleón I. et Perote J. (1997) Testing Densities with Financial Data, Actes du colloque A.E.A.-Imperial College-BNP, Londres, Mai 1997, 24 pages.

Pagan T. (1996) " The Econometrics of Financial Markets", Journal of Empirical Finance, vol.3, pp. 15-101.

Roncalli T. (1995) Introduction à la programmation sous GAUSS, volume I et II,, Global Design, 299 et 356 pages.

Ruppert D. (1987) " What is Kurtosis? An Influence Approach", The American Statistician, vol.41, n°l, February 1987, pp.1-5. | MR | Zbl

SBF-BOURSE DE PARIS (1996) BDM-Bourse de Paris, Base de données du système CAC sur CD-ROM, Mars-Août 1996.

Shephard N. (1996) " Statistical Aspects of ARCH and Stochastic Volatility", in Time Series Models in Econometrics, Finance and Other Fields, Cox, Hinkley and Barndorff-Nielsen Eds, Chapman and Hall, pp. 1-67. | MR

Silverman B. (1986) Density Estimation for Statistics and Data Analysis, Chapman and Hall, Monographs on Statistics and Applied Probability 26, 175 pages. | MR | Zbl

Tassi P. (1992) Méthodes statistiques, Economica.

Taylor S. (1986) Modeling Financial Time Series, John Wiley Editor, 268 pages. | Zbl

Taylor S. (1994) " Modeling Stochastic Volatility : A Review and Comparative Study", Mathematical Finance, vol.4, n°2, April 1994, pp. 183-204. | Zbl

Tucker A. (1992) " A Reexamination of Finite -and Infinite- Variance Distributions as Models of Daily Stock Returns", Journal of Business and Economic Statistics, vol.10, n°l, Janvier 1992, pp. 73-81.

Venutolo T. et Péllieux G. (1997) Empirical Results from the GARCH Option Pricing Model, Actes du colloque A.E.A.-Imperial College-BNP, Londres, Mai 1997, 30 pages.

Walter Ch. (1996) " Une histoire du concept d'efficience sur les marchés financiers", Annales HSS, n°4, juillet-août 1996, pp.873-905.

Wood R., Mcinish T. et Ord J. (1985) " An Investigation of Transactions Data for NYSE Stocks", Journal of Finance, vol.40, n°3, 1985, pp. 723-741.

Zhou B. (1996) " Forecasting Foreign Exchange Rates Subject to De-Volatilization", in Forecasting Financial Markets : Exchange Rates, Interest and Asset Management, Dunis Editor, John Wiley and Sons, 287 pages.