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

Exogenous Shocks and nonlinearity in the stock exchange series: Application to the nonparametric modelling of stock exchange Orange prices

Mohamed Chikhi

MPRA Paper from University Library of Munich, Germany

Abstract: Cet article vise à analyser le comportement cyclique de la série du cours de l'action Orange du 03/01/2000 à 02/02/2017 par la recherche de la non linéarité à travers d'une classe de modèles non paramétriques hétéroscédastiques, notée NAR-ARCH. L'identification des modèles non paramétriques nécessite une sélection rigoureuse des coefficients de Markov et le choix de la fenêtre qui détermine le degré de lissage de l’estimateur. 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.

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. (search for similar items in EconPapers)
JEL-codes: C14 C22 C58 G17 (search for similar items in EconPapers)
Date: 2017, Revised 2017
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https://mpra.ub.uni-muenchen.de/76691/1/MPRA_paper_76691.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/76815/1/MPRA_paper_76691.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/76815/3/MPRA_paper_76815.pdf revised version (application/pdf)

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