Les implications de la mémoire longue et de la non-linéarité sur l'efficience du marché des changes
Journal de la société française de statistique, Volume 137 (1996) no. 1, p. 51-72
@article{JSFS_1996__137_1_51_0,
     author = {Mignon, Val\'erie},
     title = {Les implications de la m\'emoire longue et de la non-lin\'earit\'e sur l'efficience du march\'e des changes},
     journal = {Journal de la soci\'et\'e fran\c caise de statistique},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {137},
     number = {1},
     year = {1996},
     pages = {51-72},
     language = {fr},
     url = {http://www.numdam.org/item/JSFS_1996__137_1_51_0}
}
Mignon, Valérie. Les implications de la mémoire longue et de la non-linéarité sur l'efficience du marché des changes. Journal de la société française de statistique, Volume 137 (1996) no. 1, pp. 51-72. http://www.numdam.org/item/JSFS_1996__137_1_51_0/

Abraham-Frois G. ET Berrebi E. (1995) Instabilité, cycles, chaos, Economica.

Andrews D. (1991) " Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation", Econometrica, Vol. 59. | MR 1106513 | Zbl 0732.62052

Booth G.G., Kaen F.R. & Koveos P.E. (1982) " R/S Analysis of Foreign Exchange Rates under Two International Monetary Regimes", Journal of Monetary Economics.

Brock W.A., Dechert W. & Scheinkman J.A. (1987) A Test for Independence Based on the Correlation Dimension, Document non publié, University of Wisconsin at Madison, University of Houston and University of Chicago.

Brock W.A., Hsieh D.A. ET Lebaron B. (1992) Nonlinear Dynamics, Chaos and Instability : Statistical Theory and Economic Evidence, Cambridge, MIT Press. | MR 1134654

Fama E.F. (1991) " Efficient Capital Markets : II", Journal of Finance, n° 5.

Frank M.Z. & Stengos T. (1988) " Some Evidence Concerning Macroeconomic Chaos", Journal of Monetary Economics, Vol. 22.

Geweke J. & Porter-Hudak S. (1983) " The Estimation of Long Memory Time Series Models", Journal of Time Series Analysis, n° 4. | MR 738585 | Zbl 0534.62062

Granger C.W.J. & Joyeux R. (1980) " An Introduction to Long Memory Time Series Models and Fractional Differencing", Journal of Time Series Analysis, n° 1. | MR 605572 | Zbl 0503.62079

Greene M.T. & Fielitz B.D. (1977) " Long-term Dependence in Common Stock Returns", Journal of Financial Economics, Vol. 4.

Hosking J.R.M. (1981) " Fractional Differencing", Biometrika, n° 1. | MR 614953 | Zbl 0464.62088

Hsieh D.A. (1989) " Testing for Nonlinear Dependence in Daily Foreign Exchange Rates", Journal of Business, n° 3.

Hsieh D.A. (1991) " Chaos and Nonlinear Dynamics : Application to Financial Markets", The Journal of Finance, n° 5.

Hurst H. (1951) " Long-term Storage Capacity of Reservoirs", Transactions of the American Society of Civil Engineers, Vol. 116.

Jensen M.C. (1978) " Some Anomalous Evidence Regarding Market Efficiency", Journal of Financial Economics, Vol. 6.

Lardic S. & Mignon V. (1995) Les tests de mémoire longue appartiennent-ils au "camp du démon" ? (Fama, 1991, p. 1062), Paris, Actes du Colloque de l'AFSE, Septembre.

Lo A.W. (1991) " Long-term Memory in Stock Market Prices", Econometrica, n°5. | Zbl 0781.90023

Mandelbrot B.B. (1970) Statistical Dependence in Prices and Interest Rates, Congress of the Econometric Society, Cambridge, 8-14 September 1970.

Mandelbrot B.B. (1971) " When Can Prices Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models", The Review of Economics and Statistics, 53. | MR 378737

Mandelbrot B.B. & Taqqu M.S. (1979) " Robust R/S Analysis of Long Run Serial Correlation", Bulletin of the international Statistical Institute, 48. | MR 731558 | Zbl 0518.62036

Mandelbrot B.B. & Van Ness J. (1968) " Fractional Brownian Motions, Fractional Noises and Applications", SIAM Review, n° 4. | Zbl 0179.47801

Mandelbrot B.B. & Wallis J. (1968) " Noah, Joseph and Operational Hydrology", Water Resources Research, Vol. 5.

Newey W. & West K. (1987) " A Simple Positive-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, n° 3. | MR 890864

Scheinkman J.A. & Lebaron B. (1989) " Nonlinear Dynamics and Stock Returns", Journal of Business, n° 3.