40 lines
2.9 KiB
Text
40 lines
2.9 KiB
Text
\BOOKMARK [1][-]{section.1}{Introduction}{}% 1
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\BOOKMARK [1][-]{section.2}{Courbes param\351triques}{}% 2
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\BOOKMARK [2][-]{subsection.2.1}{Survol de la m\351thode et utilisation}{section.2}% 3
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\BOOKMARK [2][-]{subsection.2.2}{Courbe de Nelson-Siegel}{section.2}% 4
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\BOOKMARK [2][-]{subsection.2.3}{Analyse empirique}{section.2}% 5
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\BOOKMARK [2][-]{subsection.2.4}{Conclusion}{section.2}% 6
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\BOOKMARK [1][-]{section.3}{Analyse de composantes principales}{}% 7
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\BOOKMARK [2][-]{subsection.3.1}{Survol de la m\351thode et utilisation}{section.3}% 8
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\BOOKMARK [2][-]{subsection.3.2}{Analyse empirique}{section.3}% 9
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\BOOKMARK [3][-]{subsubsection.3.2.1}{Approche avec covariances}{subsection.3.2}% 10
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\BOOKMARK [3][-]{subsubsection.3.2.2}{Approche avec corr\351lation}{subsection.3.2}% 11
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\BOOKMARK [3][-]{subsubsection.3.2.3}{Comparaison des deux approches}{subsection.3.2}% 12
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\BOOKMARK [3][-]{subsubsection.3.2.4}{Volatilit\351 expliqu\351e par composante \(score\)}{subsection.3.2}% 13
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\BOOKMARK [2][-]{subsection.3.3}{Conclusion}{section.3}% 14
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\BOOKMARK [1][-]{section.4}{M\351thode des moments}{}% 15
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\BOOKMARK [2][-]{subsection.4.1}{Description de la m\351thode}{section.4}% 16
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\BOOKMARK [2][-]{subsection.4.2}{Mod\350les de taux d'int\351r\352t court-terme}{section.4}% 17
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\BOOKMARK [2][-]{subsection.4.3}{Discr\351tisation}{section.4}% 18
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\BOOKMARK [2][-]{subsection.4.4}{Conditions de moments utilis\351s}{section.4}% 19
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\BOOKMARK [2][-]{subsection.4.5}{Matrice de pond\351ration de Newey-West}{section.4}% 20
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\BOOKMARK [2][-]{subsection.4.6}{Jacobien des moments}{section.4}% 21
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\BOOKMARK [2][-]{subsection.4.7}{Statistique de Student \(t\)}{section.4}% 22
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\BOOKMARK [2][-]{subsection.4.8}{Donn\351es utilis\351es}{section.4}% 23
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\BOOKMARK [2][-]{subsection.4.9}{Applications}{section.4}% 24
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\BOOKMARK [2][-]{subsection.4.10}{Conclusion}{section.4}% 25
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\BOOKMARK [1][-]{section.5}{M\351thode du maximum de vraisemblance}{}% 26
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\BOOKMARK [2][-]{subsection.5.1}{Description de la m\351thode}{section.5}% 27
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\BOOKMARK [2][-]{subsection.5.2}{Application au mod\350le de Vasicek}{section.5}% 28
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\BOOKMARK [2][-]{subsection.5.3}{Application au mod\350le CIR}{section.5}% 29
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\BOOKMARK [2][-]{subsection.5.4}{Application au mod\350le CIR avec approximation normale}{section.5}% 30
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\BOOKMARK [2][-]{subsection.5.5}{Analyse empirique}{section.5}% 31
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\BOOKMARK [2][-]{subsection.5.6}{Conclusion}{section.5}% 32
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\BOOKMARK [1][-]{section.6}{Bibliographie}{}% 33
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\BOOKMARK [1][-]{section.7}{Annexes}{}% 34
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\BOOKMARK [2][-]{subsection.7.1}{Fichier source R pour courbes de Nelson Siegel}{section.7}% 35
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\BOOKMARK [2][-]{subsection.7.2}{Fichier source R pour PCA}{section.7}% 36
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\BOOKMARK [2][-]{subsection.7.3}{Fichiers source R pour MMG}{section.7}% 37
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\BOOKMARK [3][-]{subsubsection.7.3.1}{Fonctions}{subsection.7.3}% 38
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\BOOKMARK [3][-]{subsubsection.7.3.2}{Fichier d'ex\351cution}{subsection.7.3}% 39
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\BOOKMARK [2][-]{subsection.7.4}{Fichiers source R pour EMV}{section.7}% 40
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