Problems in time series and financial econometrics : linear methods for VARMA modelling, multivariate volatility analysis, causality and value-at-risk

Pelletier, Denis

dc.contributor.advisor	Dufour, Jean Marie
dc.contributor.advisor	Meddahi, Nour
dc.contributor.author	Pelletier, Denis
dc.date.accessioned	2006-09-21T15:58:59Z
dc.date.available	2006-09-21T15:58:59Z
dc.date.issued	2004
dc.date.submitted	2004
dc.identifier.uri	http://hdl.handle.net/1866/178
dc.subject	Équation de forme finale
dc.subject	Critère d'information
dc.subject	Représentation faible
dc.subject	Co-efficients d'impulsion
dc.subject	Corrélation dynamique
dc.subject	Chaîne de Markov
dc.subject	Causalité indirecte
dc.subject	Autorégression vectorielle
dc.subject	GARCH
dc.subject	Évaluation de modèle de risque
dc.title	Problems in time series and financial econometrics : linear methods for VARMA modelling, multivariate volatility analysis, causality and value-at-risk
dc.type	Thèse ou mémoire / Thesis or Dissertation
etd.degree.discipline	Sciences économiques	fr
etd.degree.grantor	Université de Montréal	fr
etd.degree.level	Doctorat / Doctoral
etd.degree.name	Ph. D.
dcterms.description	Thèse numérisée par la Direction des bibliothèques de l'Université de Montréal.	fr
dcterms.language	eng

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