CHIKHI, Mohamed (2017): Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange.
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Abstract
This paper aims to analyze the cyclical behavior of stock exchange Orange prices from 01/03/2000 to 02/02/2017 by the research of nonlinearities through a class of heteroscedastic non parametric models. The identification of non parametric models requires the selection of the Markov coefficients and the choice of bandwidth, which determines the degree of estimator’s smoothing.
Item Type: | MPRA Paper |
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Original Title: | Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange |
English Title: | Exogenous Shocks and nonlinearity in the stock exchange series: Application to the nonparametric modelling of Orange stock exchange prices |
Language: | French |
Keywords: | Erreur de prédiction finale, noyau, fenêtre, processus autorégressif fonctionnel hétéroscédastique, action Orange. Final Prediction Error, kernel, bandwidth, heteroscedastic functional autoregressive process, stock exchange Orange. |
Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation |
Item ID: | 76815 |
Depositing User: | Mohamed CHIKHI |
Date Deposited: | 14 Feb 2017 01:39 |
Last Modified: | 25 Dec 2024 01:16 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/76815 |
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Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange. (deposited 09 Feb 2017 00:37)
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