Voir la notice de l'article provenant de la source Numdam
de Severac, Béatrice 1
@article{JSFS_1997__138_1_81_0, author = {de Severac, B\'eatrice}, title = {\'Etude empirique du mod\`ele de {Vasicek} sur le march\'e des obligations fran\c{c}aises}, journal = {Journal de la soci\'et\'e fran\c{c}aise de statistique}, pages = {81--103}, publisher = {Soci\'et\'e de statistique de Paris}, volume = {138}, number = {1}, year = {1997}, language = {fr}, url = {http://geodesic.mathdoc.fr/item/JSFS_1997__138_1_81_0/} }
TY - JOUR AU - de Severac, Béatrice TI - Étude empirique du modèle de Vasicek sur le marché des obligations françaises JO - Journal de la société française de statistique PY - 1997 SP - 81 EP - 103 VL - 138 IS - 1 PB - Société de statistique de Paris UR - http://geodesic.mathdoc.fr/item/JSFS_1997__138_1_81_0/ LA - fr ID - JSFS_1997__138_1_81_0 ER -
%0 Journal Article %A de Severac, Béatrice %T Étude empirique du modèle de Vasicek sur le marché des obligations françaises %J Journal de la société française de statistique %D 1997 %P 81-103 %V 138 %N 1 %I Société de statistique de Paris %U http://geodesic.mathdoc.fr/item/JSFS_1997__138_1_81_0/ %G fr %F JSFS_1997__138_1_81_0
de Severac, Béatrice. Étude empirique du modèle de Vasicek sur le marché des obligations françaises. Journal de la société française de statistique, Tome 138 (1997) no. 1, pp. 81-103. http://geodesic.mathdoc.fr/item/JSFS_1997__138_1_81_0/
La dynamique des taux d'intérêt à court terme en France, Colloque de l'AFFI, La Baule, juin.
, (1993)Term Structure Estimation Using the Cox, Ingersoll and Ross Model : The Case of Italian Treasury Bonds", Journal of Fixed Income.
, , (1991) "A Continuous Time Approach to The Pricing of Bonds", Journal of Banking and Finance, n° 3, pp 133-155.
, (1979) "The Empirical Implications of The Cox, Ingersoll and Ross Theory of The Term Structure of Interest Rates", Journal of Finance, pp 617-630.
, (1986) "Testing for Continuous-Time Models of The Short Term Interest Rate, Colloque de l'AFFI, La Baule, juin.
, , (1993)An Empirical Comparison of Alternative Models of The Short Term Interest Rate", Journal of Finance, vol 47, pp 1209-1227.
, , , (1992) "A Theory of The Term Structure of Interest Rate", Econometrica, n° 2, pp 385-407. | MR
, , (1985) "Cross Sectionnal Versus Time Series Estimation of Term Structure Models : Empirical Results for The Dutch Bond Market", Journal of Banking and Finance, pp 997-1025.
, (1994) "A test of the Cox, Ingersoll and Ross Model of The Term Structure", Review of Financial Studies, n° 3, pp 619-658.
, (1993) "Estimation of The Term Structure from Bond Data, Colloque de l'AFFI, Tunis, juin.
, (1994)An Empirical Study of General Equilibrium Models on the Belgian Bond Market, Colloque de l'AFFI, Bordeaux, juin.
, (1995)Large Sample Properties of Generalized Methods of Moments Estimators", Econometrica, n° 4, pp 1029-1055. | Zbl | MR
(1982) "Bond Pricing and The Term Structure of Interest Rates : A New Methodology for Contingent ClaimsEvaluation", Econometrica, n° 1, pp 77-105. | Zbl
, , (1992) "Reconstitution de la courbe des taux, analyse des facteurs d'évolution et couverture factorielle", Cahier de la C.A.R., n° 1.
, (1992) "Common Factors Affecting Bond Returns", Journal of Fixed Income, juin, n° 1, pp 54-61.
, (1991) "A Nonlinear General Equilibrium Model of The Term Structure of Interest Rate", Journal of Financial Economics, n° 23, pp 195-224.
(1989) "Interest Rate Volatility and The Term Structure : A Two-Factor General Equilibrium Model", Journal of Finance, n° 4, pp 1259-1282.
, (1992) "An Empirical Evaluation of One Versus Two Factor Models of Term Structure of Interest Rates : The Longstaff et Schwartz and the CIR Models, Colloque de l'AFFI, La Baule, Juin 1993.
(1993)Stochastic Processes for Interest Rates and Equilibrium Bond Prices", Journal of Finance, n° 4, pp 635-650.
, (1983) "Exploiting The Conditional Density in Estimating The Term Structure : An Application to the Cox, Ingersoll and Ross Model", Journal of Finance 1994, n° 4, pp 1279-1304.
, (1994) "An Equilibrium Characterization of The Term Structure", Journal of Financial Economics pp 177-188.
(1977) "