25.06.2013 Views

statistique, théorie et gestion de portefeuille - Docs at ISFA

statistique, théorie et gestion de portefeuille - Docs at ISFA

statistique, théorie et gestion de portefeuille - Docs at ISFA

SHOW MORE
SHOW LESS

You also want an ePaper? Increase the reach of your titles

YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.

106 3. Distributions exponentielles étirées contre distributions régulièrement variables<br />

Malevergne, Y. and D. Sorn<strong>et</strong>te, 2001, Multi-dimensional R<strong>at</strong>ional Bubbles and f<strong>at</strong> tails, Quantit<strong>at</strong>ive Finance<br />

1, 533-541.<br />

Malevergne, Y. and D. Sorn<strong>et</strong>te, 2002, Multi-Moments M<strong>et</strong>hod for Portfolio Management: Generalized<br />

Capital Ass<strong>et</strong> Pricing Mo<strong>de</strong>l in Homogeneous and H<strong>et</strong>erogeneous mark<strong>et</strong>s, working paper (htt p :<br />

//papers.ssrn.com/paper.ta f ?abstract id = 319544)<br />

Malevergne, Y. and D. Sorn<strong>et</strong>te, 2002, Investig<strong>at</strong>ing Extreme Depen<strong>de</strong>nces: Concepts and Tools, working<br />

paper (htt p : //papers.ssrn.com/paper.ta f ?abstractid = 303465)<br />

Man<strong>de</strong>lbrot B., 1963, The vari<strong>at</strong>ion of certain specul<strong>at</strong>ive prices, Journal of Business 36, 392-417.<br />

Mantegna R.N. and H.E. Stanley, 1995, Scaling behavior of an economic in<strong>de</strong>x, N<strong>at</strong>ure 376, 46-55.<br />

Mantegna R.N. and H.E.Stanley, 2000, An Introduction to Econophysics, Correl<strong>at</strong>ions and Complexity in<br />

Finance, Cambridge Univ. Press, Cambridge UK.<br />

Markovitz, H., 1959, Portfolio Selection: Efficient diversific<strong>at</strong>ion of investments, john Wiley and Sons, New<br />

York.<br />

M<strong>at</strong>ia, K., L.A.N. Amaral, S.P. Goodwin and H.E. Stanley, Non-Lévy Distribution of Commodity Price<br />

Fluctu<strong>at</strong>ions, preprint cond-m<strong>at</strong>/0202028<br />

Mittnik S., S.T.Rachev, M.S.Paolella,1998, Stable Par<strong>et</strong>ian Mo<strong>de</strong>ling in Finance: Some Empirical and Theor<strong>et</strong>ical<br />

Aspects, In: A Practical Gui<strong>de</strong> to Heavy Tails, pp.79-110, Eds. R.J.Adler, R.E.Feldman,<br />

M.S.Taqqu, Birkhauser, Boston.<br />

Mizon, G.E. and J.F. Richard, 1984, The encompassing principle and its applic<strong>at</strong>ions to testing non-nested<br />

hypotheses, Econom<strong>et</strong>rica 54, 675-678.<br />

Müller U.A., M.M.Dacarogna, O.V.Pickt<strong>et</strong>, 1998, Heavy Tails in High-Frequency Financial D<strong>at</strong>a, In: A<br />

Practical Gui<strong>de</strong> to Heavy Tails, pp.55-78, Eds. R.J.Adler, R.E.Feldman, M.S.Taqqu, Birkhauser,<br />

Boston.<br />

Muzy, J.-F., Delour, J. and Bacry, E., 2000, Mo<strong>de</strong>lling fluctu<strong>at</strong>ions of financial time series: from casca<strong>de</strong><br />

process to stochastic vol<strong>at</strong>ility mo<strong>de</strong>l, European Physical Journal 17, 537-548.<br />

Muzy, J.-F., D. Sorn<strong>et</strong>te, J. Delour and A. Arneodo, 2001, Multifractal r<strong>et</strong>urns and Hierarchical Portfolio<br />

Theory, Quantit<strong>at</strong>ive Finance 1, 131-148.<br />

Nagahara, Y. and G. Kitagawa, 1999, A non-Gaussian stochastic vol<strong>at</strong>ility mo<strong>de</strong>l, J. Comput<strong>at</strong>ional Finance<br />

2, 33-47.<br />

Nelsen, R., 1998, An introduction to copulas, Lectures notes in st<strong>at</strong>istics 139, Springer Verlag, New York.<br />

Pagan A., 1996, The econom<strong>et</strong>rics of financial mark<strong>et</strong>s, Journal of Empirical Finance 3, 15-102.<br />

Prause, K., 1998, The generalized hyperbolic mo<strong>de</strong>l, PhD Dissert<strong>at</strong>ion, University of Freiburg.<br />

Ramshand, L. and R. Susmel, 1998, Vol<strong>at</strong>ility and cross correl<strong>at</strong>ion across major stock mark<strong>et</strong>s, Journal of<br />

Empirical Finance 5, 397-416.<br />

Rootzen H., M.R. Leadb<strong>et</strong>ter and L. <strong>de</strong> Haan, 1998, On the distribution of tail array sums for strongly<br />

mixing st<strong>at</strong>ionnary sequences, Annals of Applied Probability 8, 868-885.<br />

42

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!