@article{JSFS_2000__141_1-2_103_0, author = {Alami, Ali and Renault, \'Eric}, title = {Risque de mod\`ele de volatilit\'e}, journal = {Journal de la Soci\'et\'e fran\c{c}aise de statistique}, pages = {103--136}, publisher = {Soci\'et\'e fran\c{c}aise de statistique}, volume = {141}, number = {1-2}, year = {2000}, language = {fr}, url = {http://www.numdam.org/item/JSFS_2000__141_1-2_103_0/} }
TY - JOUR AU - Alami, Ali AU - Renault, Éric TI - Risque de modèle de volatilité JO - Journal de la Société française de statistique PY - 2000 SP - 103 EP - 136 VL - 141 IS - 1-2 PB - Société française de statistique UR - http://www.numdam.org/item/JSFS_2000__141_1-2_103_0/ LA - fr ID - JSFS_2000__141_1-2_103_0 ER -
Alami, Ali; Renault, Éric. Risque de modèle de volatilité. Journal de la Société française de statistique, Tome 141 (2000) no. 1-2, pp. 103-136. http://www.numdam.org/item/JSFS_2000__141_1-2_103_0/
Estimation de la persistance de la volatilité : biais, variance et traitement des séries financières de haute fréquence», Thèse de Doctorat en Science Économique, Université Paris 9 Dauphine.
[ 1999], «Stochastic autoregressive volatility : A framework for volatility modeling», Mathematical Finance 4, 75-102. | Zbl
[ 1994], «Answering the skeptics : Yes, standard volatility models do provide accurate forecasts», International Economic Review 39-4, 885-905.
et [ 1998], «The Distribution of Realized Exchange Rate Volatility», Journal of the American Statistical Association, à paraître. | MR | Zbl
, , et [ 2000], «Beyond Merton's Utopia : effects of non-normality and dependence on the precision of variance estimates using high-frequency financial data», Document de Travail GSB Chicago.
, et [ 2000], «Non-Gaussian OU based models and some of their uses in financial economics», Journal of the Royal Statistical Society, à paraître.
et [ 2000], «Studies of Stock Market Volatility Changes», Proceedings of the American Statistical Association, Business and Economic Statistics Section, 177-181.
[ 1976], «Generalized Autoregressive Conditional Heteroskedasticity», Journal of Econometrics 31, 307-327. | MR | Zbl
[ 1986], «ARCH Models» in R.F. Engle et D. McFadden (eds), Handbook of Econometrics, 4, Elsevier Science.
, et [ 1994], «Generalized Gamma convolutions and related classes of distributions and densities, Springer Verlag. | MR | Zbl
[ 1992],Efficient use of high order autocorrelations for estimating autoregressive processes», Document de travail, Université de Lille.
, et [ 1999], «Testing and Comparing Value-at-Risk Measures», Document de travail, CIRANO, 2001-03.
, et [ 2001], «A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices», Econometrica 41, 133-155. | MR | Zbl
[ 1973], «Long memory in continuous time stochastic volatility models», Mathematical Finance, 8, 4, 291-323. | MR | Zbl
et [ 1998], «The sample autocorrelations of heavy-tailed processes with applications to ARCH », Annals of Statistics 26-5, 2049-2080. | MR | Zbl
et [ 1998], «Temporal Aggregation of GARCH processes», Econometrica 61, 909-927. | MR | Zbl
et [ 1993], «Closing the GARCH gap : Continuous Time GARCH Modeling», Journal of Econometrics 74, 31-58. | MR | Zbl
et [ 1996], «Transform analysis and asset-pricing for affine jump-diffusions», Econometrica 68-6, 1343-1376. | MR | Zbl
, et [ 2000], «Autoregressive Conditional Heteroscedasticity with estimates of the variance of United Kingdom inflation», Econometrica 50-4 , 987-1006. | MR | Zbl
[ 1982], «ARCH selected readings, Introduction, Oxford University Press.
[ 1995],Small Sample Properties of ARCH estimators and tests », Canadian Journal of Economics 18, 66-93.
, et [ 1985], «Estimating Time-Varying Risk Premia in the Term Structure», Econometrica 55-2, 391-407.
, et [ 1987], «Measuring and Testing the Impact of News on Volatility», Journal of Finance 48, 1749-1778.
et [ 1993], «What good is a volatility model ?» Working Paper Stern School of Business.
et [ 2000], «A Theory of the Consumption Function, Princeton University Press.
[ 1957],Asymmetric Smiles, Leverage Effects and Structural Parameters», Document de Travail CIRANO.
, et [ 2000], «Stochastic Volatility» in Maddala G.S. et Rao C.R. (eds), Handbook of Statistics, 14, 119-191, Elsevier Science. | MR
, et [ 1996], «Statistique et Modèles Econométriques», Vol 1, Economica.
et [ 1989], «Large Sample Properties of Generalized Method of Moments », Econometrica 50, 1029-1054. | MR | Zbl
[ 1982], «The Role of Conditionning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models», Econometrica 55 ,587-614. | MR | Zbl
et [ 1987], «Forecasting structural time series models and the Kalman Filter, Cambridge University Press. | Zbl
[ 1989],Persistence in Variance, Structural Change and the GARCH Model», Journal of Business & Economic Statistics 8-2, 225-234.
et [ 1990], «The Forecasting Record for the 1970's», New England Economic Review, September 33-53.
[ 1979], «Aggregation and Marginalization of GARCH and Stochastic Volatility Models», Document de travail GREMAQ 96-30-433.
et [ 1996], «Quadratic M-estimators for ARCH-type processes», Document de travail CRDE 3197.
et [ 1997], «Temporal Aggregation of Volatility Models», Document de Travail CIRANO, 2000-22.
and [ 2000], «On estimating the expected return on the market», Journal of Financial Economics 8, 323-361.
[ 1980], «Change of structure in financial time series, long range dependence and the GARCH model», Document de travail, Université de Groningen.
et [ 1999], «The evaluation of economic forecasts», dans J. Mincer ed., Economic Forecasts and Expectations, NBER.
et [ 1969], «Conditional Heteroskedasticity in Asset Returns : A New Approach», Econometrica 59-2, 347-370. | MR | Zbl
[ 1991], «Marginalization and Contemporaneous Aggregation of Multivariate GARCH Processes», Journal of Econometrics 71, 71-87. | MR | Zbl
et [ 1996], «GARCH Models of Volatility», in Maddala G.S. et Rao C.R. (eds), Handbook of Statistics, 14, 209-240, Elsevier Science. | MR
[ 1996], «Econométrie de la Finance : la méthode des moments généralisés», dans Y. Simon ed., Encyclopédie des Marchés Financiers, Tome 1, Chap19, 330-407, Economica.
[ 1997], «Option hedging and implied volatilities in a stochastic volatility model», Mathematical Finance 6, 259-302. | Zbl
et [ 1996], «Advanced Macroeconomics, Mc Graw-Hill.
[ 1996],Statistical aspects of ARCH and stochastic volatility» in D.R. Cox, D.V. Hinkley, and O.E. Barndorff-Nielson (Eds.), Time Series Models m Econometrics, Finance and Other Fields, 1-67. London : Chapman & Hall. | MR
[ 1996], «Modelling Financial Time Series, John Wiley. | Zbl
[ 1986],