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Adaptive estimation of vector autoregressive models with time-varying varianc...
International audience -
Corrected portmanteau tests for VAR models with time-varying variance
International audience -
Testing instantaneous causality in presence of non constant unconditional var...
Keywords : VAR model, Unconditionally heteroscedastic errors, instantaneous causality -
Lag length identification for VAR models with non-constant variance
The identification of the lag length for vector autoregressive models by mean of Akaike Information Criterion (AIC), Partial Autoregressive and Correlation Matrices... -
WEATHER DERIVATIVES : ECONOMETRICS AND FINANCIAL ASPECTS
This thesis is one of the first research studies about weather derivatives. Firstly, it focuses on the modelling of temperature, which is the most frequent weather...
