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

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

BUCKLING OF A CLAMPED-HINGED CIRCULAR ARCH UNDER GAS PRESSURE AND RELATED PROBLEMSSCHMIDT R.1981; J. APPL. MECH.; ISSN 0021-8936; USA; DA. 1981; VOL. 48; NO 2; PP. 425-426; BIBL. 10 REF.Article

INITIAL POSTCRITICAL BEHAVIOR OF CIRCULAR ARCHES WITH HINGED ENDSSCHMIDT R.1979; INDUSTR. MATH.; USA; DA. 1979; VOL. 29; NO 1; PP. 27-38; BIBL. 11 REF.Article

INFLUENCE OF LOAD POSITION ON THE STABILITY OF SHALLOW ARCHESPLAUT RH.1979; Z. ANGEW. MATH. PHYS.; CHE; DA. 1979; VOL. 30; NO 3; PP. 548-552; ABS. GER; BIBL. 8 REF.Article

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

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

Joint exceedances of the ARCH processGOMES, M. Ivette; DE HAAN, Laurens; PESTANA, Dints et al.Journal of applied probability. 2004, Vol 41, Num 3, pp 919-926, issn 0021-9002, 8 p.Article

Covariance structure and change-point problem for non-negative ARCH processesKOKOSZKA, P; LEIPUS, R.Prague conference on information theory, statistical decision functions and random processesPrague symposium on asymptotic statistics. 1998, isbn 80-7015-636-8, 2Vol, vol 2, 321-324Conference Paper

Etudes de séries chronologiques linéaires à temps discret. Comparaison de logiciels = Discrete-time linear time series studies. Comparison of softwaresBORGARD, F; GUEGAN, D.Revue de statistique appliquée. 1996, Vol 44, Num 4, pp 59-80, issn 0035-175XArticle

The predictive ability of several models of exchange rate volatilityWEST, K. D; DONGCHUL CHO.Journal of econometrics. 1995, Vol 69, Num 2, pp 367-391, issn 0304-4076Article

Modèles autorégressifs à erreur conditionnellement hétéroscédastique = Autoregressive models with conditionnally heteroscedastic errorJeantheau, Thierry; Elie, Laure.1993, 91 p.Thesis

The second moment and the autocovariance function of the squared errors of the GARCH modelKARANASOS, M.Journal of econometrics. 1999, Vol 90, Num 1, pp 63-76, issn 0304-4076Article

Testing for GARCH effects : A one-sided approachDEMOS, A; SENTANA, E.Journal of econometrics. 1998, Vol 86, Num 1, pp 97-127, issn 0304-4076Article

Stability conditions for a bivariate ARCH system which is cointegrated in meanKUNST, R. M.Communications in statistics. Theory and methods. 1993, Vol 22, Num 10, pp 2941-2953, issn 0361-0926Article

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

Une approche prospective des modèles ARCH = A prospective approach of ARCH modelsAVOUYI-DOVI, S.Journal de la Société de statistique de Paris. 1992, Vol 133, Num 4, pp 65-76, issn 0037-914XConference Paper