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Les déterminants économiques de l'évolution du dollar

Jondeau, Eric - 1994

Persistent link: https://www.econbiz.de/10000884302

Représentation VAR et test de la théorie des anticipations de la structure par terme

Jondeau, Eric - 1997

Persistent link: https://www.econbiz.de/10000968630

La mesure du ratio rendement-risque à partir du marché des euro-devises

Jondeau, Eric - 1999

Persistent link: https://www.econbiz.de/10001363747

Modèle de prévision et allocation d'actifs

Jondeau, Eric - 1994

Persistent link: https://www.econbiz.de/10000894322

Contemporaneous aggregation of GARCH models and evaluation of the aggregation bias

Jondeau, Eric - 2008

It is well known that the class of strong (Generalized) AutoRegressive Conditional Heteroskedasticity (or GARCH) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process when the individual persistence parameters are drawn from...