WOW !! MUCH LOVE ! SO WORLD PEACE !
Fond bitcoin pour l'amélioration du site: 1memzGeKS7CB3ECNkzSn2qHwxU6NZoJ8o
  Dogecoin (tips/pourboires): DCLoo9Dd4qECqpMLurdgGnaoqbftj16Nvp


Home | Publier un mémoire | Une page au hasard

 > 

Mesure du risque de marché et théorie des valeurs extrêmes

( Télécharger le fichier original )
par Jean MEILHOC
INSEEC - Master II 2012
  

précédent sommaire suivant

Bitcoin is a swarm of cyber hornets serving the goddess of wisdom, feeding on the fire of truth, exponentially growing ever smarter, faster, and stronger behind a wall of encrypted energy

BIBLIOGRAPHIE

BALKEMA A. A., DE HAAN L., 1974, "Residual life time at great age", Annals of Probability 2, p 792-804.

BEIRLANT J., GOEGEBEUR Y.,s "Segers J. et Teugels J., 2004, Statistics of Extremes - Theory and Applications", Wiley, England.

BERMAN S. M., 1963, "Limiting theorems for the maximum term in stationary sequences", Annals of Mathematical Statistics, p 502-516.

BOEHMER E., MUSUMECI J. ET POULSEN A., 1991, "Event-study methodology under conditionsof induced variance", Journal of Financial Economics, vol. 30, n°2, p 253-272.

BROWN S. ET WARNERJ., 1980, "Measuring security price performance", Journal of Financial Economics, vol. 8, n°3, p 205-258.

CAMPBELL J., LO A. ET MACKINLAY C., 1997, "The econometrics of financial markets", Princeton University Press.

CLAUSS P., 2011, "Gestion de portefeuille", Dunod.

DANIELSSON J., DE VRIES C.G., 1997, "Value at risk and extreme returns", Working Paper, London School of Economics, London, UK.

DEKKERS A. L. M., DE HAAN L., 1989, "On the estimation of the extreme value index and large quantile estimation", The Annals of Statistics, p 1795-1832.

EMBRECHTS P., KL†PPELBERG C., MIKOSCH T., 1997, "Modelling Extremal Events for Insurance and Finance", Springer-Verlag, Berlin.

ENGLE R.F., 1982, "Auto-regressive conditional heteroskedasticity with estimates of the variance of united kingdom inflation", Econometrica, p 987-1007.

Fama E., 1970, "Efficient capital markets: a review of theory and empirical work", The Journal of Finance, val. 25, n°1, p 383-417.

FISHER R., TIPPET L., 1928, "Limiting Forms of the Frequency Distribution of the Largest or Smallest Member of a Sample", Cambridge Philosophical Society, p 180-190.

GNEDENKO B.V., 1943. "Sur la distribution limite du terme maximum d'une série aléatoire". Annals of Mathematics, p 423-453.

GUMBEL E J., 1958, "Statistics of Extremes", Columbia University Press, New-York.

e

HAMON J., 2005, "Bourse et gestion de portefeuille" , Economica, 2edition.

HILL B M., 1975, "A simple general approach to inference about the tail of a distribution", Annals of Statistics, p 1163-1173.

HULL J., 2006, "Options, futures et autres actifs dérivés", 6e edition, Pearson Education.

JORION P., 1996, "Risk: Measuring the risk in value at risk", Financial Analysts Journal, p 47-56.

JORION P., 1997, "Value at Risk: The New Benchmark for Controlling Market Risk", McGraw-Hill, Chicago.

e

JORION P., 2006, "Value -at-Risk" , McGraw -Hill, 3edition.

JP MORGAN, 1995. RiskMetricsTM - Technical Document, 3rd ed

KUPIEC P. H., 1995, "Techniques for verifying the accuracy of risk measurement models", Journal of Derivatives, p 73-84.

LO A. W., MACKINLAY A. C., 1990, "An econometric analysis of nonsynchronous trading", Journal of Econometrics, p 181-211.

LONGIN F. M., 1997, "The threshold effect in expected volatility: A model based on asymmetric information", The Review of Financial Studies, 837-869.

LONGIN F., 1993, "Volatility and extreme movements in fianncial markets", Ph.D. Thesis, HEC.

LONGIN F., 1996, "The asymptotic distribution of extreme stock market returns", Journal of Business, p 383-408.

LONGIN F., 2000, "From VaR to stress testing: The extreme value approach". Journal of Banking and Finance, p 1097-1130

LONGIN F., SOLNIK, B., 2001, "Extreme correlation of international equity markets", Journal of Finance, p 651-678

82

LUX T., SORNETTE D., 1999, "On rational Bubbbles and fat tails", Journal of Monetary Economics.

MANDELBROT B., 196,. "The variation of certain speculative prices", Journal of Business, p 394-419.

MANDELBROT B., 1997, "Fractales, hasard et finance", Flammarion.

MANDELBROT B., 2001, "Stochastic Volatility, Power Laws And Long Memory", Quantitative finance, vol. 1, n°6, December, p 558-559.

MANDELBROT B.,1963, "The Variation Of Certain Speculative Prices", Journal of Business, vol. 36, n°4, p 394-419.

MCNEIL A. J., 1998, "Calculating quantile risk measures for financial return series using extreme value theory", Working Paper, ETH, Zurich, Switzerland.

PARKINSON M., 1980, "The Extreme Value Method For Estimating The Variance Of The Rate OfReturn", Journal of Business, Vol. 53, p 61-66.

PATTEL J., "Corporate forecasts earning per share and stock price behavior: empirical test", Journal of Accounting and Research, vol. 14, n°1, p 246-276.

PICKANDS J., 1975, "Statistical inference using extreme order statistics". Annals of Statistics, p 119-131.

RIVA F., 2008, "Application financieres sous Excel en Visual Basic", Economica, 3° edition.

SAPORTA G., 1990, "Probabilités, analyse des données et statistique", Editions Technip.

SHARPE W., 1963, "A simplified model for portfolio analysis", Management Science, vol. 9, n°1, p 277-293.

SIVERMAN B., 1986, "Density estimation for statistics and data analysis", Chapman and Hall, London.

SMITH R., 1989, "Extreme Value Analysis of Environmental Time Series: an Application to Trend Detection in Ground-Level Zone", Statistical Science, p 367- 3 93

SORNETTE D., 1998, "Multiplicative processes and Power laws", Physical review, p 4811-4814.

83

WHITE H., 1982, "Maximum Likelihood Estimation of Misspecified Models", Econometrica, p 1-16.

précédent sommaire suivant






Bitcoin is a swarm of cyber hornets serving the goddess of wisdom, feeding on the fire of truth, exponentially growing ever smarter, faster, and stronger behind a wall of encrypted energy








"L'imagination est plus importante que le savoir"   Albert Einstein