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Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte

Author

Listed:
  • Catherine Bruneau

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Amine Lahiani

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

Ce papier estime les paramètres d'un modèle moyenne mobile intégré à seuils avec asymétrie contemporaine. Parmi plusieurs méthodes simulées d'estimation on utilise la méthode d'inférence indirecte avec un modèle auxiliaire du type autoregressif. Pour évaluer les propriétés de l'estimateur II en échantillon fini, nous nous référons aux méthodes de simulation de Monte Carlo. L'application de notre méthodologie à la série des rendements journaliers de l'indice CAC40 montre que cette série révèle des réponses asymétriques aux chocs autour d'un seuil.

Suggested Citation

  • Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," Working Papers hal-04138874, HAL.
    • Handle: RePEc:hal:wpaper:hal-04138874
    Note: View the original document on HAL open archive server: https://hal.science/hal-04138874
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    References listed on IDEAS

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