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Modélisation FIGARCH appliquée à l'analyse de la structure par terme des taux d'intérêt

Lardic, Sandrine; Mignon, Valérie - In: Finance : revue de l'Association Française de Finance 20 (1999) 1, pp. 91-114

Persistent link: https://www.econbiz.de/10001475134

Term premium and long-range dependence in volatility : a FIGARACH-M estimation on some Asian countries

Lardic, Sandrine (contributor); Mignon, Valérie (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001724115

Modeling long-range dependence in European time-varying term premia

Lardic, Sandrine (contributor); Mignon, Valérie (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001724122

Term premium and long-range dependence in volatility : a FIGARCH-M estimation on some Asian countries

Lardic, Sandrine; Mignon, Valérie - In: Journal of emerging market finance 3 (2004) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10002073269

Does the Volatility of Commodity Prices Reflect Macroeconomic Uncertainty?

Joets, Marc - 2016

While there exists numerous studies on the macroeconomic effects of oil and commodity shocks, the literature is quite silent on the impact of macroeconomic uncertainty on oil and commodity prices and, especially, on their volatility. This paper tackles this issue through the estimation of a...

Persistent link: https://www.econbiz.de/10012979596