Vessereau, Thierry - Centre Interuniversitaire de Recherche en Analyse des … - 2000
1, 1975. The rescaled range analysis of Hurst and the Brock-Dechert-Sheinkman (BDS) test show that the assumption that … characteristics. Returns are then modelized by a GARCH(1,1)-process; the analysis of the residuals by the BDS test show that most part … de Brock-Dechert-Sheinkman (BDS) permettent de rejeter l'hypothèse que les rendements des actions et des indices sont …