Risque de modèle de volatilité
Journal de la Société française de statistique, Volume 141 (2000) no. 1-2, pp. 103-136.
@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  - 
%0 Journal Article
%A Alami, Ali
%A Renault, Éric
%T Risque de modèle de volatilité
%J Journal de la Société française de statistique
%D 2000
%P 103-136
%V 141
%N 1-2
%I Société française de statistique
%U http://www.numdam.org/item/JSFS_2000__141_1-2_103_0/
%G fr
%F JSFS_2000__141_1-2_103_0
Alami, Ali; Renault, Éric. Risque de modèle de volatilité. Journal de la Société française de statistique, Volume 141 (2000) no. 1-2, pp. 103-136. http://www.numdam.org/item/JSFS_2000__141_1-2_103_0/

Alami A. [ 1999], « 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.

Andersen T. G. [ 1994], « Stochastic autoregressive volatility : A framework for volatility modeling», Mathematical Finance 4, 75-102. | Zbl

Andersen T. G. et T. Bollerslev [ 1998], « Answering the skeptics : Yes, standard volatility models do provide accurate forecasts», International Economic Review 39-4, 885-905.

Andersen T. G., T. Bollerslev, F. X. Diebold et P. Labys [ 2000], « The Distribution of Realized Exchange Rate Volatility», Journal of the American Statistical Association, à paraître. | MR | Zbl

Bai X., J. R. Russell et G. C. Tiao [ 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.

Barndorff-Nielsen O. E et N. Shephard [ 2000], « Non-Gaussian OU based models and some of their uses in financial economics», Journal of the Royal Statistical Society, à paraître.

Black F. [ 1976], « Studies of Stock Market Volatility Changes», Proceedings of the American Statistical Association, Business and Economic Statistics Section, 177-181.

Bollerslev T. [ 1986], « Generalized Autoregressive Conditional Heteroskedasticity», Journal of Econometrics 31, 307-327. | MR | Zbl

Bollerslev T., R. Engle et D. Nelson [ 1994], « ARCH Models» in R.F. Engle et D. McFadden (eds), Handbook of Econometrics, 4, Elsevier Science.

Bondesson L. [ 1992], Generalized Gamma convolutions and related classes of distributions and densities, Springer Verlag. | MR | Zbl

Broze L., C. Francq et J.M. Zakoian [ 1999], « Efficient use of high order autocorrelations for estimating autoregressive processes», Document de travail, Université de Lille.

Christoffersen, P., J. Hahn et A. Inoue [ 2001], « Testing and Comparing Value-at-Risk Measures», Document de travail, CIRANO, 2001-03.

Clark P. K. [ 1973], « A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices», Econometrica 41, 133-155. | MR | Zbl

Comte F. et E. Renault [ 1998], « Long memory in continuous time stochastic volatility models», Mathematical Finance, 8, 4, 291-323. | MR | Zbl

Davies R. A. et T. Mikosch [ 1998], « The sample autocorrelations of heavy-tailed processes with applications to ARCH », Annals of Statistics 26-5, 2049-2080. | MR | Zbl

Drost F. C. et Th. E. Nijman [ 1993], « Temporal Aggregation of GARCH processes», Econometrica 61, 909-927. | MR | Zbl

Drost F. C. et B. J. M. Werker [ 1996], « Closing the GARCH gap : Continuous Time GARCH Modeling», Journal of Econometrics 74, 31-58. | MR | Zbl

Duffie D., J. Pan et K. Singleton [ 2000], « Transform analysis and asset-pricing for affine jump-diffusions», Econometrica 68-6, 1343-1376. | MR | Zbl

Engle R. F. [ 1982], « Autoregressive Conditional Heteroscedasticity with estimates of the variance of United Kingdom inflation», Econometrica 50-4 , 987-1006. | MR | Zbl

Engle R. F. [ 1995], ARCH selected readings, Introduction, Oxford University Press.

Engle R. F., D. Hendry et D. Trumble [ 1985], « Small Sample Properties of ARCH estimators and tests », Canadian Journal of Economics 18, 66-93.

Engle R. F., D. Lilien et R.P. Robins [ 1987], « Estimating Time-Varying Risk Premia in the Term Structure», Econometrica 55-2, 391-407.

Engle R. F. et V. K. Ng [ 1993], « Measuring and Testing the Impact of News on Volatility», Journal of Finance 48, 1749-1778.

Engle R. F. et A. J. Patton [ 2000], « What good is a volatility model ?» Working Paper Stern School of Business.

Friedman M. [ 1957], A Theory of the Consumption Function, Princeton University Press.

Garcia R., R. Luger et E. Renault [ 2000], « Asymmetric Smiles, Leverage Effects and Structural Parameters», Document de Travail CIRANO.

Ghysels E., A. Harveyet E. Renault [ 1996], « Stochastic Volatility» in Maddala G.S. et Rao C.R. (eds), Handbook of Statistics, 14, 119-191, Elsevier Science. | MR

Gourieroux C. et A. Monfort [ 1989], « Statistique et Modèles Econométriques», Vol 1, Economica.

Hansen L. P. [ 1982], « Large Sample Properties of Generalized Method of Moments », Econometrica 50, 1029-1054. | MR | Zbl

Hansen L. P. et S. F. Richard [ 1987], « The Role of Conditionning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models», Econometrica 55 ,587-614. | MR | Zbl

Harvey A. C. [ 1989], Forecasting structural time series models and the Kalman Filter, Cambridge University Press. | Zbl

Lamoureux C. G. et D. Lastrapes [ 1990], « Persistence in Variance, Structural Change and the GARCH Model», Journal of Business & Economic Statistics 8-2, 225-234.

Mcnees S. S. [ 1979], « The Forecasting Record for the 1970's», New England Economic Review, September 33-53.

Meddahi N. et E. Renault [ 1996], « Aggregation and Marginalization of GARCH and Stochastic Volatility Models», Document de travail GREMAQ 96-30-433.

Meddahi N. et E. Renault [ 1997], « Quadratic M-estimators for ARCH-type processes», Document de travail CRDE 3197.

Meddahi N. and E. Renault [ 2000], « Temporal Aggregation of Volatility Models», Document de Travail CIRANO, 2000-22.

Merton R. [ 1980], « On estimating the expected return on the market», Journal of Financial Economics 8, 323-361.

Mikosch T. et C. Starica [ 1999], « Change of structure in financial time series, long range dependence and the GARCH model», Document de travail, Université de Groningen.

Mincer J. et V. Zarnowitz [ 1969], « The evaluation of economic forecasts», dans J. Mincer ed., Economic Forecasts and Expectations, NBER.

Nelson D.B. [ 1991], « Conditional Heteroskedasticity in Asset Returns : A New Approach», Econometrica 59-2, 347-370. | MR | Zbl

Nijman Th. et E. Sentana [ 1996], « Marginalization and Contemporaneous Aggregation of Multivariate GARCH Processes», Journal of Econometrics 71, 71-87. | MR | Zbl

Palm F.C. [ 1996], « GARCH Models of Volatility», in Maddala G.S. et Rao C.R. (eds), Handbook of Statistics, 14, 209-240, Elsevier Science. | MR

Renault E. [ 1997], « Econométrie de la Finance : la méthode des moments généralisés», dans Y. Simon ed., Encyclopédie des Marchés Financiers, Tome 1, Chap19, 330-407, Economica.

Renault E. et N. Touzi [ 1996], « Option hedging and implied volatilities in a stochastic volatility model», Mathematical Finance 6, 259-302. | Zbl

Romer D. [ 1996], Advanced Macroeconomics, Mc Graw-Hill.

Shephard, N. [ 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

Taylor S. [ 1986], Modelling Financial Time Series, John Wiley. | Zbl