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Les modèles de classe ARC

Abstract : The aim of this document is a presentation of the Arch process which allows a new and powerful technic for modelling behaviour on financial markets. From the seminal paper of ENGLE (1982), numerous extensions were proposed to adapt this specification of the Arch process to particular situations. These models are presented here, with adapted estimation methods and some appropriate tests.
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https://hal.archives-ouvertes.fr/hal-01542116
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Hervé Alexandre, Marie-Claude Pichery. Les modèles de classe ARC. [Rapport de recherche] Institut de mathématiques économiques ( IME). 1993, 33 p., ref. bib. : 2 p.1/4. ⟨hal-01542116⟩

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