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Prevision des prix a terme du cacao et modeles ARMA non-lineaires

Author

Listed:
  • Bolgot, S.
  • Terraza, M.

Abstract

Cet article examine l'evolution a court terme des cours du cacao sur le marche de New York. Nous essayons d'etablir des previsions hors echantillon en utilisant une modelisation non lineaire de type reseaux de neurones. Nous examinons aussi l'impact des volumes de transactions, de la volatilite ainsi que les positions ouvertes sur la qualite des previsions. Les modeles proposes sont compares a la marche aleatoire et aux modeles ARIMA lineaires de Box-Jenkins. Nous constatons la superiorite des modeles non lineaires a prevoir ce type de chroniques.

Suggested Citation

  • Bolgot, S. & Terraza, M., 1999. "Prevision des prix a terme du cacao et modeles ARMA non-lineaires," G.R.E.Q.A.M. 99b02, Universite Aix-Marseille III.
    • Handle: RePEc:fth:aixmeq:99b02
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    More about this item

    Keywords

    PREVISIONS ; SERIES TEMPORELLES ; MODELES ECONOMIQUES ; ECONOMETRIE;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
    • Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade

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