Application du modèle GARCH à l'évaluation des options MONEP = Application of GARCH model to the evaluation of MONEP optionsVILLA, C.Journal de la Société de statistique de Paris. 1996, Vol 137, Num 2, pp 51-68, issn 0037-914XArticle

A test for the presence of conditional heteroskedasticity within ARCH-M frameworkBERA, A. K; RA, S.Econometric reviews. 1995, Vol 14, Num 4, pp 473-485, issn 0747-4938Article

Algorithme RLS en deux étapes pour l'estimation d'un modèle ARCH = Two-stage RLS algorithm for estimating ARCH modelsAKNOUCHE, Abdelhakim; GUERBYENNE, Hafida.Comptes rendus. Mathématique. 2006, Vol 343, Num 8, pp 535-540, issn 1631-073X, 6 p.Article

Testing for ARCH in the presence of a possibly misspecified conditional meanLUMSDAINE, R. L; NG, S.Journal of econometrics. 1999, Vol 93, Num 2, pp 257-279, issn 0304-4076Article

Implied ARCH models from options pricesENGLE, R. F; MUSTAFA, C.Journal of econometrics. 1992, Vol 52, Num 1-2, pp 289-311, issn 0304-4076Article

Critique des processus de diffusion en finance : le cas des taux de change = Criticism of diffusion processes in finance: the exchange rates caseBOUTILLIER, M.Journal de la Société de statistique de Paris. 1992, Vol 133, Num 4, pp 113-122, issn 0037-914XConference Paper

Asymptotically optimal smoothing with arch modelsNELSON, D. B.Econometrica. 1996, Vol 64, Num 3, pp 561-573, issn 0012-9682Article

Consistency and asymptotic normality of the quasi-maximum likelihood estimator in igarch(1,1) and covariance stationary garch(1,1) modelsLUMSDAINE, R. L.Econometrica. 1996, Vol 64, Num 3, pp 575-596, issn 0012-9682Article

Derivation of a curved rod model by Kirchhoff assumptionsJURAK, M; TAMBACA, J; TUTEK, Z et al.Zeitschrift für angewandte Mathematik und Mechanik. 1999, Vol 79, Num 7, pp 455-463, issn 0044-2267Article

Ergodicité, mélange et estimation dans les modèles GARCH = Ergodicity, mixing and estimation in GARCH modelsBoussama, Farid; Elie, Laure.1998, 137 p.Thesis

A score test against one-sided alternativesSILVAPULLE, M. J; PARAMSOTHY SILVAPULLE.Journal of the American Statistical Association. 1995, Vol 90, Num 429, pp 342-349, issn 0162-1459Article

Modeling exchange rate dynamics: non-linear dependence and thick tailsMCGUIRK, A; ROBERTSON, J; SPANOS, A et al.Econometric reviews. 1993, Vol 12, Num 1, pp 33-63, issn 0747-4938Article

On the distribution of intra-daily exchange rate changesBEWLEY, R; LOWE, P; TREVOR, R et al.Mathematics and computers in simulation. 1992, Vol 33, Num 5-6, pp 557-562, issn 0378-4754Article

Critères d'ergodicité de quelques modèles à représentation markovienne = Criteria of ergodicity for some models with a Markovian representationANGO NZE, P.Comptes rendus de l'Académie des sciences. Série 1, Mathématique. 1992, Vol 315, Num 12, pp 1301-1304, issn 0764-4442Article

State-space stochastic volatility models : A review of estimation algorithmsCAPOBIANCO, E.Applied stochastic models and data analysis. 1996, Vol 12, Num 4, pp 265-279, issn 8755-0024Article

Sélection de méthodes par le critère de l'erreur quadratique moyenne de prédiction = Selection of prediction methods by the use of mean squared error of predictionDOUCOURE, F. B.Revue de statistique appliquée. 1996, Vol 44, Num 3, pp 27-45, issn 0035-175XArticle

Filtering and forecasting with misspecified ARCH models. II: Making the right forecast with the wrong modelNELSON, D. B; FOSTER, D. P.Journal of econometrics. 1995, Vol 67, Num 2, pp 303-335, issn 0304-4076Article

A mean reverting process for pricing treasury bills and future contractsMORGAN, I. G; NEAVE, E. H.Applied stochastic models and data analysis. 1993, Vol 9, Num 4, pp 341-361, issn 8755-0024Article

Filtering and forecasting with misspecified ARCH models I : getting the right variance with the wrong modelNELSON, D. B.Journal of econometrics. 1992, Vol 52, Num 1-2, pp 61-90, issn 0304-4076Article

CONTRIBUTIONS À L'ESTIMATION DE MODÈLES CONDITIONNELLEMENT HÉTÉROSCÉDASTIQUES ET À L'ÉTUDE DE PROBLÈMES DE FIABILITÉ DANS UN CONTEXTE DE DONNÉES DOUBLEMENT CENSURÉES = Contributions to conditionnal heteroskedastic models estimation and reliability problems in a doubly censored data caseVernaz, Yann; Lavergne, Christian.2000, 182 p.Thesis

Properties of moments of a family of GARCH processesCHANGLI HE; TERÄSVIRTA, T.Journal of econometrics. 1999, Vol 92, Num 1, pp 173-192, issn 0304-4076Article

A fuzzy identification procedure for nonlinear time series : With example on ARCH and bilinear modelsWU, B; HUNG, S.-L.Fuzzy sets and systems. 1999, Vol 108, Num 3, pp 275-287, issn 0165-0114Article

Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH modelsHAFNER, C. M.Journal of statistical planning and inference. 1998, Vol 68, Num 2, pp 247-269, issn 0378-3758Conference Paper

Modélisation de l'hétéroscédasticité conditionnelle du prix spot du marché pétrolier de l'O.C.D.E = Modelling conditional heteroskedasticity of spot price of the O.C.D.E. oil marketTERRAZA, M; ALI ZATOUT.Journal de la Société de statistique de Paris. 1993, Vol 134, Num 3, pp 21-39, issn 0037-914XArticle

A multi-dynamic-factor model for stock returnsNG, V; ENGLE, R. F; ROTHSCHILD, M et al.Journal of econometrics. 1992, Vol 52, Num 1-2, pp 245-266, issn 0304-4076Article