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Un essai de prévision non paramétrique de l'action France Télécom
[A nonparametric prediction test of the France Telecom stock proces]

Author

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  • Chikhi, Mohamed
  • Terraza, Michel

Abstract

Résumé: Nous étudions la puissance en terme de prévision des processus basés sur la méthode du noyau en utilisant la version non paramétrique du critère « Final Prediction error » pour identifier un processus fonctionnel hétéroscédastique. Cette identification nécessite une sélection rigoureuse des coefficients de Markov et du choix de la fenêtre qui détermine le degré de lissage de l’estimateur. Cette approche est comparée avec les résultats de l’estimation de modèles intégrés fractionnaires.

Suggested Citation

  • Chikhi, Mohamed & Terraza, Michel, 2002. "Un essai de prévision non paramétrique de l'action France Télécom [A nonparametric prediction test of the France Telecom stock proces]," MPRA Paper 77268, University Library of Munich, Germany, revised Dec 2003.
    • Handle: RePEc:pra:mprapa:77268
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    References listed on IDEAS

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    More about this item

    Keywords

    Mots-clé: Sélection des retards; erreur de prédiction finale; noyau; fenêtre; processus autorégressif fonctionnel; prévision.;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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