no. 1
Volatilité des taux de change et politique monétaire
Journal de la Société de statistique de Paris, Econométrie financière : deuxième partie, Volume 139 (1998) no. 1, pp. 33-47 
@article{JSFS_1998__139_1_33_0,
     author = {Boubel, Aur\'elie},
     title = {Volatilit\'e des taux de change et politique mon\'etaire},
     journal = {Journal de la Soci\'et\'e de statistique de Paris},
     pages = {33--47},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {139},
     number = {1},
     year = {1998},
     language = {fr},
     url = {https://www.numdam.org/item/JSFS_1998__139_1_33_0/}
}
TY  - JOUR
AU  - Boubel, Aurélie
TI  - Volatilité des taux de change et politique monétaire
JO  - Journal de la Société de statistique de Paris
PY  - 1998
SP  - 33
EP  - 47
VL  - 139
IS  - 1
PB  - Société de statistique de Paris
UR  - https://www.numdam.org/item/JSFS_1998__139_1_33_0/
LA  - fr
ID  - JSFS_1998__139_1_33_0
ER  - 
%0 Journal Article
%A Boubel, Aurélie
%T Volatilité des taux de change et politique monétaire
%J Journal de la Société de statistique de Paris
%D 1998
%P 33-47
%V 139
%N 1
%I Société de statistique de Paris
%U https://www.numdam.org/item/JSFS_1998__139_1_33_0/
%G fr
%F JSFS_1998__139_1_33_0
Boubel, Aurélie. Volatilité des taux de change et politique monétaire. Journal de la Société de statistique de Paris, Econométrie financière : deuxième partie, Volume 139 (1998) no. 1, pp. 33-47. https://www.numdam.org/item/JSFS_1998__139_1_33_0/

Avouyi-Dovi S. et Laffargue J. P. (1994) " Dynamique des taux de change à l'intérieur du SME", Annales d'Economie et de Statistiques, 35, pp. 47-85.

Bernanke B. et Blinder A. (1992) " The Federal Funds Rate and The Channels of Monetary Transmission", American Economic Review, 82, pp. 901-922.

Bernanke B. et Mihov I. ( 1997a) Measuring Monetary Policy, NBER working paper, n° 5145.

Bernanke B. et Mihov I. ( 1997b) " What Does the Bundesbank Target?", European Economic Review, 41, pp. 1025-1053.

Bernanke B. et Mihov I. (1998) " Measuring Monetary Policy", The Quarterly Journal of Economics, août, pp. 869-902.

Bollerslev T. (1986) " Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31, pp. 307-327. | Zbl | MR

Bollerslev T., Chou R. et Kroner K. (1992) " ARCH Modeling in Finance : A Review of the Theory and Empirical Evidence", Journal of Econometrics, 52, pp. 5-59. | Zbl

Bollerslev T., Engle R. et Nelson D. (1994) " ARCH Models", in Handbook of Econometrics, volume 4, chapitre 49, pp. 2960-3038., | MR

Cosimano T. et Sheeran R. (1994) " The Federal Reserve Operating Procedure, 1984-1990 : An Empirical Analysis", Journal of Macroeconomics, 16, pp. 573-588.

Engle R. (1982) " Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation", Econometrica, 50, pp. 987-1008. | Zbl | MR

Engle R. et Gau Y. (1997) " Conditional Volatility of exchange Rate Under a Target Zone", University of California Discussion Paper, 97-06.

Giavazzi F. et Giovannini A. (1987) " Models of the EMS : Is Europe a Greater Deutschmark Area?", in BRYANT R. et PORTES R. ed., Global macroeconomics : Policy conflict and cooperation, pp. 237-266.

Hamilton J. (1994) Times Series Analysis, Princeton University Press. | Zbl | MR

Hamilton J. et Susmel R. (1994) " Autoregressive Conditional Heteroskedasticity and Changes in Regime", Journal of Econometrics, 64, pp. 307-333. | Zbl

Harvey A., Ruiz E. et Shephard N. (1994) " Multivariate Stochastic Variance Model", Review of Economic Studies, 61, pp. 247-264. | Zbl

Lastrapes W. (1989) " Exchange Rate Volatility and U.S. Monetary Policy : An ARCH Application", Journal of Money, Credit and Banking, 21, pp. 66-77.

Lamoureux C. et Lastrapes W. (1990) " Persistence in Variance, Structural Change and the GARCH Model", Journal of Business and Economic Statistics, 8, pp. 225-234.

Meese R. et Rogoff K. (1983) " Empirical Exchange Rate Models in the Seventies : Do They Fit out of Sample ?", Journal of International Economics, 14, pp. 3-24.

Nelson D. (1991) " Conditional Heteroskedasticity in Asset Returns : A New Approach", Econometrica, 59, n° 2, pp. 347-370. | Zbl | MR

Pagan A. (1996) " The Econometrics of Financial Markets", Journal of Empirical Finance, 3, pp. 15-102.

Ruiz E. (1994) " Quasi-Maximum Likelihood Estimation of Stochastic Volatility Models", Journal of Econometrics, 63, pp. 289-306. | Zbl

Sims C. (1992) " Interpreting the Macroeconomic Time Series Facts : The Effects of Monetary Policy", European Economic Review, 36, pp. 975-1011.

Svensson L. ( 1991a) " Target Zones and Interest Variability", Journal of International Economics, 31, pp. 27-54.

Svensson L. ( 1991b) " The Term Structure of Interest Differentials in a Target Zone : Theory and Swedish Data", Journal of Monetary Economics, 28, pp. 87-116.

Taylor S. (1994) " Modeling Stochastic Volatility : A Review and Comparative Study", Mathematical Finance, 4, n° 2, pp. 183-204. | Zbl