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La persistance dans les marchés financiers

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  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

Dans ce papier nous précisons la notion de long terme, son impact sur les marchés et les différentes approches pour la mesurer. Nous montrons l'importance d'une mesure robuste en terme de prévisions et de calcul des risques. Après une description des différents concepts de long terme, nous introduisons plusieurs modèles dont les processus de Gegenbauer. La gestion des risques financiers ou de crédit à partir des copules est abordée.

Suggested Citation

  • Dominique Guegan, 2007. "La persistance dans les marchés financiers," Post-Print halshs-00179269, HAL.
    • Handle: RePEc:hal:journl:halshs-00179269
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00179269
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    References listed on IDEAS

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    1. M.J.B. Hall, 1996. "The amendment to the capital accord to incorporate market risk," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 49(197), pages 271-277.
    2. Cyril Caillault & Dominique Guegan, 2005. "Empirical estimation of tail dependence using copulas: application to Asian markets," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 489-501.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    5. Chen, Chung & Tiao, George C, 1990. "Random Level-Shift Time Series Models, ARIMA Approximations, and Level-Shift Detection," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 83-97, January.
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