@article{JSFS_2001__142_2_65_0, author = {Viviani, Jean-Laurent}, title = {\'Etude de la m\'emoire longue des actions de l'indice {CAC} 40}, journal = {Journal de la Soci\'et\'e fran\c{c}aise de statistique}, pages = {65--79}, publisher = {Soci\'et\'e fran\c{c}aise de statistique}, volume = {142}, number = {2}, year = {2001}, language = {fr}, url = {http://www.numdam.org/item/JSFS_2001__142_2_65_0/} }
TY - JOUR AU - Viviani, Jean-Laurent TI - Étude de la mémoire longue des actions de l'indice CAC 40 JO - Journal de la Société française de statistique PY - 2001 SP - 65 EP - 79 VL - 142 IS - 2 PB - Société française de statistique UR - http://www.numdam.org/item/JSFS_2001__142_2_65_0/ LA - fr ID - JSFS_2001__142_2_65_0 ER -
%0 Journal Article %A Viviani, Jean-Laurent %T Étude de la mémoire longue des actions de l'indice CAC 40 %J Journal de la Société française de statistique %D 2001 %P 65-79 %V 142 %N 2 %I Société française de statistique %U http://www.numdam.org/item/JSFS_2001__142_2_65_0/ %G fr %F JSFS_2001__142_2_65_0
Viviani, Jean-Laurent. Étude de la mémoire longue des actions de l'indice CAC 40. Journal de la Société française de statistique, Tome 142 (2001) no. 2, pp. 65-79. http://www.numdam.org/item/JSFS_2001__142_2_65_0/
Long-range dependence : revisiting aggregation with wavelets», Journal of Time Series Analysis, 19, n°3, pp. 253-266. | MR | Zbl
, & (1998), «Théorie de la spéculation, thèse de doctorat, École Normale Supérieure, reproduite dans Annales de l'École Normale Supérieure, 3eme série, tome 17, janvier, pp. 21-86. | JFM | Numdam | MR
(1900),Time Series : Theory and Methods, Second Edition, Springer Verlag. | MR | Zbl
& (1991),Tests for the Hurst Effect. » Biometnka, 74, pp. 95-101. | MR | Zbl
& (1987), «The Estimation and Application of Long Memories Time Series Models. » Journal of Time Series Analysis, 4, pp. 221-238. | MR | Zbl
& (1983), «Patterns in three centuries of stock market prices. » Journal of Business, 66, pp. 249-270.
(1993), «An introduction to Long-Memory Time Series Models and Practional Differencing. » Journal of Time Series Analysis, 1, pp. 15-39. | MR | Zbl
& (1980), «Long-term dependence in common stock returns. » Journal of Financial Economics, 5, pp.339-349.
& (1977), «The Effect of long-term dependence on risk-return models of common stocks. » Operations Research, 22, n°5, pp.944-951. | MR | Zbl
& (1977), «Le marché français des actions, PUF.
& (1992),Fractional Differencing. » Biometrika, 68, pp. 165-176. | MR | Zbl
(1981), «Long-term Storage of Reservoirs. » Transaction of the American Society of Civil Engineers, 116, pp. 770-808.
(1951), «Long term dependence in stock returns. » Journal of Empirical Finance, 3, pp. 393-417.
(1996), «Discrimination between Monotonic Trends and Long-Range Dependence », Journal of Applied Probability, 23, pp. 1025-1030. | MR | Zbl
(1986), «La mémoire longue en économie : une revue de la littérature. » Journal de la Société Française de Statistique, 140, n°2, pp. 5-48 (avec discussion pp. 49-108).
& (1999), «Long-term memory in the stock market prices. » Econometrtca, 59, pp. 1279-1313. | Zbl
(1991), «Real and Spurious Long-Memory Properties of Stock-Market Data. » Journal of Business & Economic Statistics, 16, n°3, pp. 261-269. | MR
& (1998), «Statistical dependence in Prices and Interest Rates. » papier présenté au 2ème Congrès Mondial de la Société d'Econométrie.
(1970), «Statistical Methodology for Non Periodic Cycles : from Covanance to R/S Analysis. » Annals of Economic and Social Measurement, 1, juillet, pp. 259-290.
(1972), «Limit Theorems on the Self-Normalised Range for Weakly and Strongly Dependent Processes. » Z. Weahrscheinlichkeitstheorie, 31, pp. 271-285. | MR | Zbl
(1975), «Robust R/S analysis of long-run serial correlation. » Bulletin of the International Statistical Institute, 48, n°2 pp 69-104. | MR | Zbl
& (1979), «Robustness of the Rescaled Range R/S in the Measurement of Noncyclic Long Run Statistical Dependence. » Water Resources Research, 5, pp 967-988.
& (1969), «Les implications de la mémoire longue et de la non-linéarité sur l'efficience du marché des changes. » Journal de la Société Statistique de Paris, 137, n°1, pp. 51-72.
(1996), «The Economic Modelling of Financial Time Series, Cambridge University Press. | MR | Zbl
(1990),A Survey of Some Récent Econometric Methods. » Economic Journal, 99, pp. 962-1025.
& (1989), «Chaos and order in the capital markets, Wiley.
(1991),Arbitrage with fractional brownian motion. » Mathematical Finance, 7, n°l, pp. 95-105 | MR | Zbl
(1997), «The fractionnai unit root distribution. » Econometrica, 58, pp. 495-505. | MR | Zbl
(1990), «Stock market prices and long-range dependence. » Finance and Stochastics, 3, pp. 1-13. | Zbl
, & (1999), «