Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange

CHIKHI, Mohamed (2017): Chocs exogènes et non linéarités dans les séries boursières: Application à la modélisation non paramétrique du cours de l'action Orange.

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
• 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

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