@article{JSFS_1994__135_4_47_0, author = {Lilti, Jean-Jacques}, title = {Les apports de la co{\"\i}nt\'egration aux tests d'efficience}, journal = {Journal de la Soci\'et\'e de statistique de Paris}, pages = {47--63}, publisher = {Soci\'et\'e de statistique de Paris}, volume = {135}, number = {4}, year = {1994}, language = {fr}, url = {http://www.numdam.org/item/JSFS_1994__135_4_47_0/} }
TY - JOUR AU - Lilti, Jean-Jacques TI - Les apports de la coïntégration aux tests d'efficience JO - Journal de la Société de statistique de Paris PY - 1994 SP - 47 EP - 63 VL - 135 IS - 4 PB - Société de statistique de Paris UR - http://www.numdam.org/item/JSFS_1994__135_4_47_0/ LA - fr ID - JSFS_1994__135_4_47_0 ER -
Lilti, Jean-Jacques. Les apports de la coïntégration aux tests d'efficience. Journal de la Société de statistique de Paris, Tome 135 (1994) no. 4, pp. 47-63. http://www.numdam.org/item/JSFS_1994__135_4_47_0/
Efficience et cloisonnement du marché des changes et des marchés financiers en France 1970-1986", Cahiers Économiques et Monétaires, n° 31, 49-116.
(1988) "Cointegration : some Results on U.S. Cattle Prices", Future Markets, n° 4, 461-474.
et (1991) "Théorie économique et crise des marchés financiers, Économica.
et (1989)Time Series Analysis Forecasting and Control, San Francisco, Holden Day. | MR | Zbl
et (1970)Considering an Informational Role for a Future Market", Review of Economic Studies, 33-52.
et (1984) "Cointegration and Tests of Present Value Models", J. Political Economy, n° 5, 1063-1088.
et (1987) "Futures Market Efficiency : Evidence from Cointegration Tests", J. Future Markets, n° 5, 577-589.
(1991) "A Cointegration Test for Oil Futures Market Efficiency", J. Future Markets, n°, 933-943.
et (1993) "Rational Inflationnary Bubbles", J. Monetary Economics, 35-64.
(1988) "Likehood Ratio Satistics for Autoregressive Time Series with a Unit Root", Econometrica, 1057-1072. | MR | Zbl
et (1981) "Cointegration and Unit Roots", J. Economic Surveys, n° 3, 249-273.
, et (1990) "Cointegration and Error Correction : Representation, Estimation and Testing", Econometrica, 251-276. | Zbl
et (1987) "Forecasting and Testing in a Co-integrated Systems", Econometrics, 143-159. | Zbl
et (1987) "Testing for Unit Roots : 2", Econometrica, 1241-1269. | MR | Zbl
et (1984) "Futures Trading and Volatility in the GNMA Markets", J. Finance, 445-456.
(1981) "Peut-on prédire l'évolution des marchés d'actions à partir des cours et des dividendes passés ?", J. de la Société de Statistique de Paris, n° 1, 17-36.
(1990) "An Examination of Cointegration Relations between Futures and Local Grain Markets", J. Future Markets, n° 8, 921-932.
et (1993) "Cointegration and Error Correction Models : Intertemporal Causality between Index and Futures Prices", J. Future Markets, n° 2, 193-198.
(1993) "Times Series Analysis of Error Correction Models", in Karlin-Amemiya-Goodman (eds), Studies in Econometric Time Series and Multivariate Statistics, New-York, Academic Press. | MR | Zbl
et (1983) "Developments in the Study of Cointegrated Economic Variables", Oxford Bulletin of Economics and Statistics, n° 3, 213-228.
(1986) "The Typical Spectral Shape of an Economic Variable", Econometrica, 150-166.
(1966) "Market Efficiency and Cointegration : an Application to the Sterling and Deutschmark Exchange Markets", J. International Money and Finance, 75-88.
et (1989) "Cointegration Tests of the Unbiaised Expectations Hypothesis in Metals Markets", J. Future Markets, n° 7, 753-764.
et (1993) "A Cointegration Test for Market Efficiency", J. Future Markets, n° 5, 567-575.
et (1991) "The Present Value Relation : Test Based on Implied Variance Bounds", Econometrica, 555-574. | Zbl
et (1981) "Estimating Multiperiod Hedge Ratios in Cointegrated Markets", J. Future Markets, n° 8, 909-920.
et (1993) "Stock Market Prices Do Not Follow Random Walks : Evidence from a Simple Specification Test", R. Financial Studies, 41-66.
et (1988) "Sur certains prix spéculatifs : faits empiriques et modèle basé sur les processus stables additifs non gaussiens de Paul Lévy", Compte Rendus à l'Académie des Sciences, 3968-3970. | Zbl
(1962) "Colloque de la London School of Economics", Financial Times, 5 avril.
(1988) "Trends and Random Walk in Macro-Economic Time Series", J. Monetary Economics, 139-162.
et (1982) "Error Correction Mechanisms", Economic Journal, 615-629.
(1982) "Wages and Prices in the United Kingdom : a Study in Methodology", in Econometric Analysis for National Economic Planning, Hart-Mills-Whittaker Eds, Londres.
(1964) "Price Discovery and Cointegration for Live Hogs", J. Future Markets, n° 6, 685-696.
et (1991) "Effects of Model Specification on Tests for Unit Roots Economic Data", J. Monetary Economics, 73-103.
(1987) "The Volatility of Long-term Interest Rates and Expectations Models of the Term Structure", J. Political Economy, 1190-1218.
(1979) "Does the Stock Market Rationnaly Reflect Fundamental Values?", J. Finance, 591-600.
(1986) "Futures Markets, Private Storage and Price Stabilization", J. Public Economics, 301-327.
(1979) "Price Dynamics and Error Correction in Stock Index and Stock Index Futures Markets : a Cointegration Approach", J. Future Markets, n° 7, 711-742.
et (1993) "