IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Nonparametric Analysis of Financial Time Series by the Kernel Methodology

  • Mohamed Chikhi

    ()

    (Université de Ouargla & LAMETA/CNRS, Université Montpellier I.)

  • Claude Diebolt

    ()

    (CNRS, Université Louis Pasteur de Strasbourg & Humboldt-Universität zu Berlin.)

This 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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.cliometrie.org/images/wp/AFC_WP_11-2006.pdf
Download Restriction: no

Paper provided by Association Française de Cliométrie (AFC) in its series Working Papers with number 06-11.

as
in new window

Length: 22 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:afc:wpaper:06-11
Contact details of provider: Web page: http://www.cliometrie.org

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  2. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  3. Yang, Lijian & Härdle, Wolfgang & Nielsen, Jens P., 1998. "Nonparametric autoregression with multiplicative volatility and additive mean," SFB 373 Discussion Papers 1998,107, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  4. Chiu, Shean-Tsong, 1989. "Bandwidth selection for kernel estimate with correlated noise," Statistics & Probability Letters, Elsevier, vol. 8(4), pages 347-354, September.
  5. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  6. Wolfgang HÄRDLE & H. LÜTKEPOHL & R. CHEN, 1996. "A Review of Nonparametric Time Series Analysis," SFB 373 Discussion Papers 1996,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  7. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
  8. Tschernig, Rolf & Yang, Lijian, 1997. "Nonparametric lag selection for time series," SFB 373 Discussion Papers 1997,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Wolfgang HÄRDLE & R. CHEN, 1995. "Nonparametric Time Series Analysis, a selectiv review with examples," SFB 373 Discussion Papers 1995,14, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  10. Wolfgang HÄRDLE & A. TSYBAKOV & L. YANG, 1996. "Nonparametric Vector Autoregression," SFB 373 Discussion Papers 1996,61, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  11. L. Yang & R. Tschernig, 1999. "Multivariate bandwidth selection for local linear regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(4), pages 793-815.
  12. Bruce Mizrach, 1995. "A Simple Nonparametric Test for Independence," Departmental Working Papers 199523, Rutgers University, Department of Economics.
  13. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
  14. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:afc:wpaper:06-11. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Karine Pellier)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.