Nonparametric analysis of financial time series by the Kernel methodology
AbstractThis paper aims to study, in the most recent historical time period, the efficiency of the Paris Stock Exchange market. We test its weak form while analysing the stock exchange returns series by nonparametric methods, using kernel methodology in particular. In doing so, our approach extends the traditional view treating the observed cyclical fluctuations on this market.
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Bibliographic InfoArticle provided by Springer in its journal Quality & Quantity.
Volume (Year): 44 (2010)
Issue (Month): 5 (August)
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Web page: http://www.springer.com/economics/journal/11135
Other versions of this item:
- Mohamed Chikhi & Claude Diebolt, 2006. "Nonparametric Analysis of Financial Time Series by the Kernel Methodology," Working Papers 06-11, Association Française de Cliométrie (AFC).
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
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