@article{JSFS_1996__137_1_33_0, author = {Lilti, Jean-Jacques}, title = {D\'ependance de dur\'ee et tests de bulles sp\'eculatives}, journal = {Journal de la Soci\'et\'e de statistique de Paris}, pages = {33--50}, publisher = {Soci\'et\'e de statistique de Paris}, volume = {137}, number = {1}, year = {1996}, language = {fr}, url = {http://www.numdam.org/item/JSFS_1996__137_1_33_0/} }
TY - JOUR AU - Lilti, Jean-Jacques TI - Dépendance de durée et tests de bulles spéculatives JO - Journal de la Société de statistique de Paris PY - 1996 SP - 33 EP - 50 VL - 137 IS - 1 PB - Société de statistique de Paris UR - http://www.numdam.org/item/JSFS_1996__137_1_33_0/ LA - fr ID - JSFS_1996__137_1_33_0 ER -
Lilti, Jean-Jacques. Dépendance de durée et tests de bulles spéculatives. Journal de la Société de statistique de Paris, Tome 137 (1996) no. 1, pp. 33-50. http://www.numdam.org/item/JSFS_1996__137_1_33_0/
Efficience et cloisonnement du marché des changes et des marchés financiers en France 1970-1986", Cahiers Economiques et Monétaires, n° 31, p. 49-116.
(1988) "Bulles intrinsèques et bulles d'état : théorie et résultats empiriques dans le cas du marché boursier français", Finance, Vol. 15, n° 1, p. 7-34.
& (1994) "Speculatives Bubbles, Crashes and rational Expeditions", Economics Letters, N° 3, p.387-389.
(1979) "Bubbles, rational expectations and financial markets", in Crisis in the économic and financial System, P.Watchel, Ed. Lexington, M.A. Lexington Books.
& (1982) "Bulles, anticipations rationnelles et marchés financiers", Annales de l'INSEE, N° 54, p.79-99.
& (1984) "Financial market efficiency tests", Working Paper n° 132, Kellogg Graduate School of Management, North-western University.
& (1992) "Théorie économique et crise des marchés financiers", Economica.
(in BURGUINAT H. & ARTUS P) "Cointegration and tests of present value models", Journal of Political Economy, Vol. 95, N° 5, p. 1063-1088.
ET (1987) "The dividend price ratio and expectations of future dividends and discount factors", Review of Financial Studies, 1, p. 195-228.
ET (1988) "Mobilité géographique et insertion professionnelle des jeunes d'origine rurale : une approche par le capital humain et son lien espace", Thèse, Dijon.
(1994) "On the inception of rational bubbles", Quaterly Journal of Economics, Vol. 102, p. 697-700.
& (1987) "Empirical modeling of exchange rate dynamics", Springer-Verlag, p. 27. | Zbl
(1988) "Cointegration and error correction : representation, estimation and testing", Econometrica, 55, p. 251-276. | MR | Zbl
& (1987) "Term structure forecasts of interest rates, inflation, and real returns", Working Paper n° 233, CRSP, University of Chicago, Chicago, IL.
(1988) "Business conditions and expected returns on stocks and bonds", Journal of Financial Economics, 25, p. 23-49.
& (1989) "Markets fundamentals versus price level bubbles : a first test", Journal of Political Economy, Vol. 88, N° 4, p. 745-770.
& (1980) "An evaluation of recent evidence on stock market bubbles", Unpublished manuscript, NBER, Cambridge, MA.
, & (1986) "Peut-on prédire l'évolution des marchés d'actions à partir des cours et des dividendes passés", Journal de la Société Statistique de Paris, n° 1, p. 16-36.
(1990) "Famoust first bubbles", Journal of Economic Perspectives, Vol. 4, N° 2, Spring, p. 35-54.
(1990) "Developments in the study of cointegrated economic variables", Oxford Bulletin of Economics and Statistics, 48, n° 3, p. 213-228.
(1986) "Predicting returns in the stock and bond markets", Journal of Financial Economics, 17, p. 357-390.
ET (1986) "Economic duration dat and hazard function", Journal of economic Literature, juin, p. 646-679.
(1988) "Mania, panics and crashes", New-York : Basic Books.
(1978) "Les apports de la coïntégration aux tests d'efficience", Journal de la Société de Statistique de Paris, tome 135, n° 4, p. 47-63.
(1994) "Stock market prices do not follow random walks : evidence from a simple specification test", The Review of Financial Studies, 1, p. 41-66.
& (1988) "Bubbles, stock returns and duration dependence", Journal of Financial and Quantitative Analysis, Vol. 29, N° 3, p. 379-401.
& (1994) "Mean reversion in stock prices : evidence and implications", Journal of Financial Economics, 22, p. 27-59.
& (1988) "Dividend yields are equity risk premiums", Journal of Portfolio Management, p. 68-75.
(1984) "Error correction mechanisms", The Economic Journal, 92, p. 615-629.
(1982) "The great bull markets 1924-29 and 1982-87 : speculative bubbles or economic fundamentals", Federal Reserve Bank of St Louis Review, 69, 9, p. 16-29.
(1987) "Wages and prices in the United Kingdom : a study in methodology", in Econometric Analysis for National Economic Planning, Hart-Mills-Whittaker Eds, Londres.,
(1964) "Effects of model specification on tests for unit roots economic data", Journal of Monetary Economics, 20, p. 73-103.
(1987) "The volatility of long-term interest rates and expectations models of the term structure", Journal of Political Economy, Vol. 87, p. 1190-1218.
(1979) "Do stock prices move too much to be justified bysbsequent changes in dividends?", American Economic Review, 71, p. 421-436.
(1981) "Stock prices and social dynamics", Brookings Papers on Economic Activity, 2, p. 457-498.
(1984) "Forward rates and future policy : interpreting the term structure of interest rates", Brookings Papers on Economic Activity, 1, p. 173-217.
, & (1983) "Does the stock market rationnaly reflect fundamental values?", Journal of Finance, Vol. 41, p.591-600.
(1986) "On the possibility of speculation and rational expectations", Econometrica, septembre, p. 1163-1182. | Zbl
(1982) "A specification test for speculative bubbles", Quaterly Journal of Economics, 102, p.553-580.
(1987) "Bubbles, fads and stock prices volatility tests : a partial evaluation", Journal of Finance, Vol. 43, p 639-656.
(1988) "