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Caracterización no lineal y predicción no paramétrica en el IBEX35/Nonlinear Characterization and Predictions of IBEX 35

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  • OLMEDO,E.

    ()
    (Departamento de Economía Aplicada I. Universidad de Sevilla. Avda. Ramón y Cajal, nº 1. 41018 Sevilla. Spain.)

  • VELASCO, F.

    ()
    (Departamento de Economía Aplicada I. Universidad de Sevilla. Avda. Ramón y Cajal, nº 1. 41018 Sevilla. Spain.)

  • VALDERAS, J.M.

    ()
    (Departamento de Economía Aplicada I. Universidad de Sevilla. Avda. Ramón y Cajal, nº 1. 41018 Sevilla. Spain.)

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    Abstract

    The nonlinear modelization has experimented a great resurgence of the hand of Chaos Theory, which shown the possibility of obtaining complex behaviors produced endogenously by the dynamics of the model, without the necessity to include exogenous random shocks. On the other hand, the importance of the forecasting ability in Economics is principal. In the work, different techniques developed within Complex Econometrics are applied to improve forecasting in stock markets. La modelización no lineal ha experimentado un resurgimiento de la mano de la teoría del caos, que ha puesto de manifiesto la posibilidad de conseguir comportamientos complejos producidos por la dinámica endógena del modelo, sin la necesidad de incluir perturbaciones aleatorias exógenas al mismo. Por otro lado, es indiscutible la importancia de la capacidad de predicción en economía. En el presente trabajo se aplican diferentes técnicas desarrolladas dentro de lo que se denomina Econometría Compleja No Lineal buscando mejorar la capacidad de predicción en los mercados financieros.

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    Bibliographic Info

    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 25 (2007)
    Issue (Month): (Diciembre)
    Pages: 815 - 28 páginas

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    Handle: RePEc:lrk:eeaart:25_3_11

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    Related research

    Keywords: No linealidad; Predicción; Contraste BDS; Contraste de Kaplan; Modelos ARIMA; Vecinos próximos; Redes neuronales.;

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