Search Results - subject:"Kernel methodology"

SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence

Chikhi, Mohamed; Péguin-Feissolle, Anne; Terraza, Michel - 2012

This paper analyzes the cyclical behavior of Dow Jones by testing the existence of long memory through a new class of semiparametric ARFIMA models with HYGARCH errors (SEMIFARMA-HYGARCH); this class includes nonparametric deterministic trend, stochastic trend, short-range and long-range...

Persistent link: https://www.econbiz.de/10010900249

SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence

Chikhi, Mohamed; Peguin-Feissolle, Anne; Terraza, Michel - HAL - 2012

Persistent link: https://www.econbiz.de/10010933861

Nonparametric Analysis of Financial Time Series by the Kernel Methodology

Chikhi, Mohamed; Diebolt, Claude - Association Française de Cliométrie - AFC - 2006

. 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 …

Persistent link: https://www.econbiz.de/10005467217

SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence

Chikhi, Mohamed; Péguin-Feissolle, Anne; Terraza, Michel - In: Computational Economics 41 (2013) 2, pp. 249-265

Persistent link: https://www.econbiz.de/10010866837

Nonparametric analysis of financial time series by the Kernel methodology

Chikhi, Mohamed; Diebolt, Claude - In: Quality & Quantity: International Journal of Methodology 44 (2010) 5, pp. 865-880

Persistent link: https://www.econbiz.de/10009390969