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