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BDS test
test BDS
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Analyse R/S
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analyse non-linéaire
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coeficiente de Hurst
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Vessereau, Thierry
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Aspects non linéaires du marché des actions françaises
Vessereau, Thierry
-
Centre Interuniversitaire de Recherche en Analyse des …
-
2000
rendements sont modélisés par un processus GARCH(1,1); l'analyse des résidus par le
test
BDS
montre qu'une majeure partie des …
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