@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 de statistique de Paris},
pages = {51--72},
year = {1996},
publisher = {Soci\'et\'e de statistique de Paris},
volume = {137},
number = {1},
language = {fr},
url = {https://www.numdam.org/item/JSFS_1996__137_1_51_0/}
}
TY - JOUR AU - Mignon, Valérie TI - Les implications de la mémoire longue et de la non-linéarité sur l'efficience du marché des changes JO - Journal de la Société de statistique de Paris PY - 1996 SP - 51 EP - 72 VL - 137 IS - 1 PB - Société de statistique de Paris UR - https://www.numdam.org/item/JSFS_1996__137_1_51_0/ LA - fr ID - JSFS_1996__137_1_51_0 ER -
%0 Journal Article %A Mignon, Valérie %T Les implications de la mémoire longue et de la non-linéarité sur l'efficience du marché des changes %J Journal de la Société de statistique de Paris %D 1996 %P 51-72 %V 137 %N 1 %I Société de statistique de Paris %U https://www.numdam.org/item/JSFS_1996__137_1_51_0/ %G fr %F 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 de statistique de Paris, Tome 137 (1996) no. 1, pp. 51-72. https://www.numdam.org/item/JSFS_1996__137_1_51_0/
ET (1995) Instabilité, cycles, chaos, Economica.
(1991) " Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation", Econometrica, Vol. 59. | Zbl | MR
, & (1982) " R/S Analysis of Foreign Exchange Rates under Two International Monetary Regimes", Journal of Monetary Economics.
, & (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.
, ET (1992) Nonlinear Dynamics, Chaos and Instability : Statistical Theory and Economic Evidence, Cambridge, MIT Press. | MR
(1991) " Efficient Capital Markets : II", Journal of Finance, n° 5.
& (1988) " Some Evidence Concerning Macroeconomic Chaos", Journal of Monetary Economics, Vol. 22.
& (1983) " The Estimation of Long Memory Time Series Models", Journal of Time Series Analysis, n° 4. | Zbl | MR
& (1980) " An Introduction to Long Memory Time Series Models and Fractional Differencing", Journal of Time Series Analysis, n° 1. | Zbl | MR
& (1977) " Long-term Dependence in Common Stock Returns", Journal of Financial Economics, Vol. 4.
(1981) " Fractional Differencing", Biometrika, n° 1. | Zbl | MR
(1989) " Testing for Nonlinear Dependence in Daily Foreign Exchange Rates", Journal of Business, n° 3.
(1991) " Chaos and Nonlinear Dynamics : Application to Financial Markets", The Journal of Finance, n° 5.
(1951) " Long-term Storage Capacity of Reservoirs", Transactions of the American Society of Civil Engineers, Vol. 116.
(1978) " Some Anomalous Evidence Regarding Market Efficiency", Journal of Financial Economics, Vol. 6.
& (1995) Les tests de mémoire longue appartiennent-ils au "camp du démon" ? (Fama, 1991, p. 1062), Paris, Actes du Colloque de l'AFSE, Septembre.
(1991) " Long-term Memory in Stock Market Prices", Econometrica, n°5. | Zbl
(1970) Statistical Dependence in Prices and Interest Rates, Congress of the Econometric Society, Cambridge, 8-14 September 1970.
(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
& (1979) " Robust R/S Analysis of Long Run Serial Correlation", Bulletin of the international Statistical Institute, 48. | Zbl | MR
& (1968) " Fractional Brownian Motions, Fractional Noises and Applications", SIAM Review, n° 4. | Zbl
& (1968) " Noah, Joseph and Operational Hydrology", Water Resources Research, Vol. 5.
& (1987) " A Simple Positive-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, n° 3. | MR
& (1989) " Nonlinear Dynamics and Stock Returns", Journal of Business, n° 3.






