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

Listed author(s):
  • Bolgot, S.
  • Terraza, M.
Registered author(s):

    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.

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    Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number 99b02.

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    Length: 16 pages
    Date of creation: 1999
    Handle: RePEc:fth:aixmeq:99b02
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