\relax 
\catcode`:\active
\catcode`;\active
\catcode`!\active
\catcode`?\active
\providecommand\HyperFirstAtBeginDocument{\AtBeginDocument}
\HyperFirstAtBeginDocument{\ifx\hyper@anchor\@undefined
\global\let\oldcontentsline\contentsline
\gdef\contentsline#1#2#3#4{\oldcontentsline{#1}{#2}{#3}}
\global\let\oldnewlabel\newlabel
\gdef\newlabel#1#2{\newlabelxx{#1}#2}
\gdef\newlabelxx#1#2#3#4#5#6{\oldnewlabel{#1}{{#2}{#3}}}
\AtEndDocument{\ifx\hyper@anchor\@undefined
\let\contentsline\oldcontentsline
\let\newlabel\oldnewlabel
\fi}
\fi}
\global\let\hyper@last\relax 
\gdef\HyperFirstAtBeginDocument#1{#1}
\providecommand\HyField@AuxAddToFields[1]{}
\select@language{french}
\@writefile{toc}{\select@language{french}}
\@writefile{lof}{\select@language{french}}
\@writefile{lot}{\select@language{french}}
\citation{james2000interest}
\citation{lai2008statistical}
\@writefile{toc}{\contentsline {section}{\numberline {1}Introduction}{3}{section.1}}
\@writefile{toc}{\contentsline {section}{\numberline {2}Courbes param\IeC {\'e}triques}{4}{section.2}}
\@writefile{toc}{\contentsline {subsection}{\numberline {2.1}Survol de la m\IeC {\'e}thode et utilisation}{4}{subsection.2.1}}
\@writefile{toc}{\contentsline {subsection}{\numberline {2.2}Courbe de Nelson-Siegel}{4}{subsection.2.2}}
\@writefile{toc}{\contentsline {subsection}{\numberline {2.3}Analyse empirique}{5}{subsection.2.3}}
\@writefile{toc}{\contentsline {subsection}{\numberline {2.4}Conclusion}{9}{subsection.2.4}}
\@writefile{toc}{\contentsline {section}{\numberline {3}Analyse de composantes principales}{10}{section.3}}
\@writefile{toc}{\contentsline {subsection}{\numberline {3.1}Survol de la m\IeC {\'e}thode et utilisation}{10}{subsection.3.1}}
\@writefile{toc}{\contentsline {paragraph}{Diff\IeC {\'e}renciation}{10}{section*.2}}
\@writefile{toc}{\contentsline {paragraph}{Matrice de variance-covariance}{10}{section*.3}}
\@writefile{toc}{\contentsline {paragraph}{Valeurs et vecteurs propres}{10}{section*.4}}
\@writefile{toc}{\contentsline {subsection}{\numberline {3.2}Analyse empirique}{11}{subsection.3.2}}
\@writefile{toc}{\contentsline {subsubsection}{\numberline {3.2.1}Approche avec covariances}{12}{subsubsection.3.2.1}}
\@writefile{toc}{\contentsline {subsubsection}{\numberline {3.2.2}Approche avec corr\IeC {\'e}lation}{13}{subsubsection.3.2.2}}
\@writefile{toc}{\contentsline {subsubsection}{\numberline {3.2.3}Comparaison des deux approches}{14}{subsubsection.3.2.3}}
\@writefile{toc}{\contentsline {subsubsection}{\numberline {3.2.4}Volatilit\IeC {\'e} expliqu\IeC {\'e}e par composante (score)}{14}{subsubsection.3.2.4}}
\@writefile{toc}{\contentsline {subsection}{\numberline {3.3}Conclusion}{15}{subsection.3.3}}
\@writefile{toc}{\contentsline {section}{\numberline {4}M\IeC {\'e}thode des moments}{16}{section.4}}
\@writefile{toc}{\contentsline {subsection}{\numberline {4.1}Description de la m\IeC {\'e}thode}{16}{subsection.4.1}}
\@writefile{toc}{\contentsline {subsection}{\numberline {4.2}Mod\IeC {\`e}les de taux d'int\IeC {\'e}r\IeC {\^e}t court-terme}{16}{subsection.4.2}}
\@writefile{toc}{\contentsline {paragraph}{Mod\IeC {\`e}le de Vasicek}{16}{section*.5}}
\newlabel{eq:vasicek}{{1}{16}{Modèle de Vasicek\relax }{equation.4.1}{}}
\@writefile{toc}{\contentsline {paragraph}{Mod\IeC {\`e}le de Cox, Ingersoll et Ross}{17}{section*.6}}
\newlabel{eq:CIR}{{2}{17}{Modèle de Cox, Ingersoll et Ross\relax }{equation.4.2}{}}
\@writefile{toc}{\contentsline {paragraph}{Mod\IeC {\`e}le de Chan, Karolyi, Longstaff et Sanders}{17}{section*.7}}
\newlabel{eq:CKLS}{{3}{17}{Modèle de Chan, Karolyi, Longstaff et Sanders\relax }{equation.4.3}{}}
\@writefile{toc}{\contentsline {subsection}{\numberline {4.3}Discr\IeC {\'e}tisation}{18}{subsection.4.3}}
\newlabel{eq:discretisationCKLS}{{4}{18}{Discrétisation\relax }{equation.4.4}{}}
\@writefile{toc}{\contentsline {subsection}{\numberline {4.4}Conditions de moments utilis\IeC {\'e}s}{18}{subsection.4.4}}
\newlabel{eq:moments1}{{5}{18}{Conditions de moments utilisés\relax }{equation.4.5}{}}
\newlabel{eq:moments2}{{6}{18}{Conditions de moments utilisés\relax }{equation.4.5}{}}
\newlabel{eq:momentscr1}{{7}{18}{Conditions de moments utilisés\relax }{equation.4.7}{}}
\newlabel{eq:momentscr2}{{8}{18}{Conditions de moments utilisés\relax }{equation.4.7}{}}
\citation{Newey_West_1987}
\newlabel{eq:momentsemp1}{{9}{19}{Conditions de moments utilisés\relax }{equation.4.9}{}}
\newlabel{eq:momentsemp2}{{10}{19}{Conditions de moments utilisés\relax }{equation.4.9}{}}
\newlabel{eq:momentsemp3}{{11}{19}{Conditions de moments utilisés\relax }{equation.4.9}{}}
\newlabel{eq:momentsemp4}{{12}{19}{Conditions de moments utilisés\relax }{equation.4.9}{}}
\newlabel{eq:objectif1}{{13}{19}{Conditions de moments utilisés\relax }{equation.4.13}{}}
\newlabel{eq:objectif2}{{14}{19}{Conditions de moments utilisés\relax }{equation.4.14}{}}
\newlabel{eq:omega0}{{15}{19}{Conditions de moments utilisés\relax }{equation.4.15}{}}
\@writefile{toc}{\contentsline {subsection}{\numberline {4.5}Matrice de pond\IeC {\'e}ration de Newey-West}{19}{subsection.4.5}}
\newlabel{eq:neweywest}{{16}{19}{Matrice de pondération de Newey-West\relax }{equation.4.16}{}}
\newlabel{eq:neweywestac}{{17}{19}{Matrice de pondération de Newey-West\relax }{equation.4.16}{}}
\@writefile{toc}{\contentsline {subsection}{\numberline {4.6}Jacobien des moments}{21}{subsection.4.6}}
\@writefile{toc}{\contentsline {subsection}{\numberline {4.7}Statistique de Student (t)}{22}{subsection.4.7}}
\newlabel{eq:varparam}{{18}{22}{Statistique de Student (t)\relax }{equation.4.18}{}}
\@writefile{toc}{\contentsline {subsection}{\numberline {4.8}Donn\IeC {\'e}es utilis\IeC {\'e}es}{23}{subsection.4.8}}
\@writefile{toc}{\contentsline {subsection}{\numberline {4.9}Applications}{24}{subsection.4.9}}
\@writefile{lot}{\contentsline {table}{\numberline {1}{\ignorespaces Mod\IeC {\`e}le CKLS estim\IeC {\'e} avec GMM}}{24}{table.1}}
\@writefile{lot}{\contentsline {table}{\numberline {2}{\ignorespaces Mod\IeC {\`e}le Vasicek estim\IeC {\'e} avec GMM}}{24}{table.2}}
\@writefile{lot}{\contentsline {table}{\numberline {3}{\ignorespaces Mod\IeC {\`e}le CIR estim\IeC {\'e} avec GMM}}{24}{table.3}}
\@writefile{toc}{\contentsline {subsection}{\numberline {4.10}Conclusion}{24}{subsection.4.10}}
\@writefile{lot}{\contentsline {table}{\numberline {4}{\ignorespaces Matrice de Var-Cov des par. pour mod\IeC {\`e}le CKLS avec GMM}}{25}{table.4}}
\@writefile{lot}{\contentsline {table}{\numberline {5}{\ignorespaces Matrice de Var-Cov des par. pour mod\IeC {\`e}le Vasicek avec GMM}}{25}{table.5}}
\@writefile{toc}{\contentsline {section}{\numberline {5}M\IeC {\'e}thode du maximum de vraisemblance}{25}{section.5}}
\@writefile{toc}{\contentsline {subsection}{\numberline {5.1}Description de la m\IeC {\'e}thode}{25}{subsection.5.1}}
\@writefile{toc}{\contentsline {subsection}{\numberline {5.2}Application au mod\IeC {\`e}le de Vasicek}{25}{subsection.5.2}}
\newlabel{eq:distVas}{{19}{25}{Application au modèle de Vasicek\relax }{equation.5.19}{}}
\newlabel{eq:objVas}{{20}{25}{Application au modèle de Vasicek\relax }{equation.5.20}{}}
\@writefile{lot}{\contentsline {table}{\numberline {6}{\ignorespaces Matrice de Var-Cov des par. pour mod\IeC {\`e}le CIR avec GMM}}{26}{table.6}}
\@writefile{toc}{\contentsline {subsection}{\numberline {5.3}Application au mod\IeC {\`e}le CIR}{26}{subsection.5.3}}
\newlabel{eq:distCIR}{{21}{26}{Application au modèle CIR\relax }{equation.5.21}{}}
\newlabel{eq:chisqCIR}{{22}{26}{Application au modèle CIR\relax }{equation.5.22}{}}
\newlabel{eq:objCIR}{{23}{26}{Application au modèle CIR\relax }{equation.5.23}{}}
\@writefile{toc}{\contentsline {subsection}{\numberline {5.4}Application au mod\IeC {\`e}le CIR avec approximation normale}{27}{subsection.5.4}}
\@writefile{toc}{\contentsline {subsection}{\numberline {5.5}Analyse empirique}{27}{subsection.5.5}}
\@writefile{lot}{\contentsline {table}{\numberline {7}{\ignorespaces Param\IeC {\`e}tres estim\IeC {\'e}s par maximum de vraiemblance pour 2 mod\IeC {\`e}les}}{27}{table.7}}
\newlabel{tab:estimParam}{{7}{27}{Paramètres estimés par maximum de vraiemblance pour 2 modèles\relax }{table.7}{}}
\@writefile{toc}{\contentsline {subsection}{\numberline {5.6}Conclusion}{27}{subsection.5.6}}
\bibdata{biblio}
\bibcite{james2000interest}{1}
\bibcite{lai2008statistical}{2}
\bibcite{Newey_West_1987}{3}
\bibstyle{plain}
\@writefile{toc}{\contentsline {section}{\numberline {6}Bibliographie}{28}{section.6}}
\@writefile{toc}{\contentsline {section}{\numberline {7}Annexes}{29}{section.7}}
\@writefile{toc}{\contentsline {subsection}{\numberline {7.1}Fichier source R pour courbes de Nelson Siegel}{29}{subsection.7.1}}
\@writefile{toc}{\contentsline {subsection}{\numberline {7.2}Fichier source R pour PCA}{30}{subsection.7.2}}
\@writefile{toc}{\contentsline {subsection}{\numberline {7.3}Fichiers source R pour MMG}{33}{subsection.7.3}}
\@writefile{toc}{\contentsline {subsubsection}{\numberline {7.3.1}Fonctions}{33}{subsubsection.7.3.1}}
\@writefile{toc}{\contentsline {subsubsection}{\numberline {7.3.2}Fichier d'ex\IeC {\'e}cution}{39}{subsubsection.7.3.2}}
\@writefile{toc}{\contentsline {subsection}{\numberline {7.4}Fichiers source R pour EMV}{41}{subsection.7.4}}
