@article{JSFS_1992__133_4_113_0, author = {Boutillier, Michel}, title = {Critique des processus de diffusion en finance : le cas des taux de change}, journal = {Journal de la Soci\'et\'e de statistique de Paris}, pages = {113--122}, publisher = {Soci\'et\'e de statistique de Paris}, volume = {133}, number = {4}, year = {1992}, language = {fr}, url = {http://www.numdam.org/item/JSFS_1992__133_4_113_0/} }
TY - JOUR AU - Boutillier, Michel TI - Critique des processus de diffusion en finance : le cas des taux de change JO - Journal de la Société de statistique de Paris PY - 1992 SP - 113 EP - 122 VL - 133 IS - 4 PB - Société de statistique de Paris UR - http://www.numdam.org/item/JSFS_1992__133_4_113_0/ LA - fr ID - JSFS_1992__133_4_113_0 ER -
%0 Journal Article %A Boutillier, Michel %T Critique des processus de diffusion en finance : le cas des taux de change %J Journal de la Société de statistique de Paris %D 1992 %P 113-122 %V 133 %N 4 %I Société de statistique de Paris %U http://www.numdam.org/item/JSFS_1992__133_4_113_0/ %G fr %F JSFS_1992__133_4_113_0
Boutillier, Michel. Critique des processus de diffusion en finance : le cas des taux de change. Journal de la Société de statistique de Paris, Marchés financiers et gestion de portefeuilles : une mise en perspective des nouveaux outils, Tome 133 (1992) no. 4, pp. 113-122. http://www.numdam.org/item/JSFS_1992__133_4_113_0/
International Portfolio Choice and Corporation Finance : a Synthesis." J. of Finance, 925-84.
, (1983) "Jump-diffusion Processes and the Term Structure of Interest Rates." J. of Finance, 155-74. | MR
, (1988) "Mixed Diffusion-jump Process Modeling of Exchange Rate Movements." R. of Economics and Statistics, 631-7.
, (1988) "Théorie de la spéculation. Annales Scientifiques de l'École Normale Supérieure, Gauthier-Villars, Paris. | JFM
(1900)The Message in Daily Exchange Rates : a Conditional Variance Tale." J. of Business and Economic Statistics, 297-305.
, (1989) "Continuous Time Econometric Modeling. Oxford University Press, Oxford.
(1990)Stochastic Devaluation Risk and the Empirical Fit of Target Zone Models." Document de travail NBER n° 3576.
, (1991) "Generalized Autoregressive Conditional Heteroskedasticity." J. of Econometrics, 307-27. | MR | Zbl
(1986) "A Conditional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return." R. of Economics and Statistics, 542-7.
(1987) "Les modèles ARCH en finance : un point sur la théorie et les résultats empiriques." Annales del 'INSEE, 1-59.
, , , (1991) "The Statistical Distribution of Exchange Rates : Empirical Evidence and Economic Implications." J. of International Economics, 297-319.
, (1987) "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices." Econometrica, 135-55. | MR | Zbl
(1973) "The Random Character of Stock Market Prices. M.I.T. Press, Cambridge (Mass.).
ed. (1964)The Efficiency of the Market for Foreign Exchange under Floating Exchange Rates." R. of Economics and Statistics, 111-20.
, (1978) "Empirical Modeling of Exchange Rate Dynamics. Lecture Notes in Economics and Mathematical Science n° 303, Springer Verlag, New-York, Heidelberg & Tokyo. | Zbl
(1988)The Behavior of Stock Market Prices." J. of Business, 34-105.
(1965) "Minute by Minute : Efficiency, Normality and Randomness in Intra-daily Asset Prices." J. of Applied Econometrics, 193-214.
(1987) "Short-run Fluctuations in Foreign Exchange Rates : Evidence from the Data, 1973-79." J. of International Economics, 171-86.
, (1982) "Interest Rates and Risk Premia in the Stock Market and in the Foreign Exchange Market." J. of International Money and Finance, 107-24.
, (1987) "The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets." J. of Finance, 307-25.
, (1989) "The Statistical Properties of Daily Foreign Exchange Rates : 1974-83." J. of International Economics, 129-45.
(1988) "Modeling Heteroskedasticity in Daily Foreign Exchange Rates." J. of Business and Economic Statistics, 307-17.
(1989) "Jump Risks and the Intertemporal Capital Asset Pricing Model." J. of Business, 337-51.
, (1984) "On Jump Processes in the Foreign Exchange and Stock Markets." R. of Financial Studies, 427-45.
(1988) "Models of Stock Returns : a Comparison." J. of Finance, 147-65.
(1984) "The Determinants of the Forward Premium. Document de travail de l'IIES, Université de Stockholm, n° 62.
(1976)Exchange Rate Volatility and U.S. Monetary Policy : an ARCH Application." J. of Money, Crédit and Banking, 66-77.
(1989) "The Distribution of Foreign Exchange Price Changes : Trading Day Effects and Risk Measurement." J. of Finance, 693-715.
, , (1982) "Stochastic Methods in Economics and Finance. North-Holland, Amsterdam. | MR | Zbl
, (1982)The Variation of Certain Speculative Prices." J. of Business, 147-65.
(1963) "Continuous-Time Finance. Basil Blackwell, Oxford. | Zbl
(1990)The Moment Structure of ARCH Processes." Scandinavian J. of Statistics, 281-92. | MR | Zbl
(1985) "An Autoregressive Jump Process for Common Stock Returns." J. of Financial Economics, 389-418.
, , (1977) "Empirical Properties of Foreign Exchange Rates." J. of International Business Studies, 69-79.
, (1978) "Rational Theory of Warrant Pricing." Industrial Management R., 13-31.
(1965) "The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk. Document de travail NBER n°3466.
(1990)Dynamique des taux de change : estimation par un modèle ARCH. Document de travail de la Caisse des Dépôts et Consignations, n° 1990-25T.
, (1990)The Probability Distribution of Foreign Exchange Price Changes : Tests of Candidate Processes." R. of Economics and Statistics, 638-47.
, (1988) "An Examination of Foreign Exchange Risk under Fixed and Floating Exchange Rate Regimes." J. of International Economics, 181-200.
(1977) "