Un essai de prévision non paramétrique de l'action France Télécom

Chikhi, Mohamed and Terraza, Michel (2002): Un essai de prévision non paramétrique de l'action France Télécom. Published in: Working paper LAMETA No. 07 (December 2003): pp. 1-22.

Abstract

Résumé: Nous étudions la puissance en terme de prévision des processus basés sur la méthode du noyau en utilisant la version non paramétrique du critère « Final Prediction error » pour identifier un processus fonctionnel hétéroscédastique. Cette identification nécessite une sélection rigoureuse des coefficients de Markov et du choix de la fenêtre qui détermine le degré de lissage de l’estimateur. Cette approche est comparée avec les résultats de l’estimation de modèles intégrés fractionnaires.

Abstract: We study the forecast’s power of the nonparametric processes based on the kernel method by using the nonparametric version of Final Prediction error criterion to identify a heteroscedastic functional process. This identification requires the selection of the Markov coefficients and the choice of bandwidth, which determines the degree of the estimator’s smoothing. This approach is compared with the estimation results of the fractional integrated models.

• Item Type: MPRA Paper
• English Title: A nonparametric prediction test of the France Telecom stock proces
• Language: French
• Keywords: Mots-clé: Sélection des retards, erreur de prédiction finale, noyau, fenêtre, processus autorégressif fonctionnel, prévision. Keywords: lag selection, final prediction error, kernel, bandwidth, functional autoregressive process, forecast.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; 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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