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Effets des points aberrants sur les tests de normalité et de linéarité. Applications à la bourse de Tokyo

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  • Mohamed Ali Houfi

    ()
    (Sciences Juridiques, Economiques et de Gestion de Jendouba, Tunisie)

  • Ghassen El Montasser

    ()
    (Ecole Supérieure de Commerce de Tunis, Tunisie)

Abstract

Dans ce papier, nous avons étudié l’impact de la correction des points aberrants sur les tests de normalité et de linéarité. A cet égard, la double correction en niveau et en rendement des séries journalières des cours des titres composants l’indice de Nikkei 225 a généré des améliorations plus pertinentes de ces tests. En tenant compte de la non linéarité des séries corrigées selon les trois approches (correction en niveau, correction en rendement et double correction en niveau et en rendement), la spécification FIGARCH du processus de volatilité engendre des meilleurs effets sur les tests de normalité et de linéarité ainsi qu’elle améliore la qualité de prévision des séries considérées.

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Bibliographic Info

Article provided by Department of International Business and Economics from the Academy of Economic Studies Bucharest in its journal Romanian Economic Journal.

Volume (Year): 13 (2010)
Issue (Month): 36 (June)
Pages: 15-51

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Handle: RePEc:rej:journl:v:13:y:2010:i:36:p:15-51

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Keywords: outliers; coefficients de normalité; volatilité; non linéarité; FIGARCH; out of sample;

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