Common factors in stochastic volatility of asset returns and new developments of the generalized method of moments
| dc.contributor.advisor | Gonçalves, Sílvia | |
| dc.contributor.advisor | Renault, Éric | |
| dc.contributor.author | Dovonon, Prosper | |
| dc.date.accessioned | 2007-11-19T15:34:56Z | |
| dc.date.available | 2007-11-19T15:34:56Z | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2007 | |
| dc.identifier.uri | http://hdl.handle.net/1866/1962 | |
| dc.subject | Modèle à facteurs | |
| dc.subject | Volatilité multivariée | |
| dc.subject | Asymétrie | |
| dc.subject | GMM | |
| dc.subject | Sous-identification du premier ordre | |
| dc.subject | Bootstrap | |
| dc.subject | Volatilité réalisée | |
| dc.subject | Expansions d'Edgeworth | |
| dc.subject | Vraisemblance empirique | |
| dc.subject | Mispécification | |
| dc.title | Common factors in stochastic volatility of asset returns and new developments of the generalized method of moments | |
| 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 |
Files in this item
This item appears in the following Collection(s)
This document disseminated on Papyrus is the exclusive property of the copyright holders and is protected by the Copyright Act (R.S.C. 1985, c. C-42). It may be used for fair dealing and non-commercial purposes, for private study or research, criticism and review as provided by law. For any other use, written authorization from the copyright holders is required.