Similar Search Results

Heterogeneous Fundamentalists and Imitative Processes

Naimzada, Ahmad; Ricchiuti, Giorgio - Dipartimento di Economia, Metodi Quantitativi e … - 2006

Developing a model with a switching mechanism, we show how complex dynamics can be generated even though heterogeneity arises among agents with the same trading rules (fundamentalists). We assume that there are two experts which are imitated by other operators. We show that (i) market...

Persistent link: https://www.econbiz.de/10005685709

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects

Bernard, Jean-Thomas; Dufour, Jean-Marie; Genest, Ian; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001

conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type or …) ARCH, GARCH and ARCH-in-mean alternatives; (2) the case where the variance increases monotonically with: (i) one exogenous …'hétéroskédasticité autorégressive conditionnelle (les modèles de type ARCH). Nous suggérons plusieurs extensions des procédures usuelles (les …

Persistent link: https://www.econbiz.de/10005101027

Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca

El Bouhadi, A.; Ounir, A.; El Maguiri, M. - 2008

In this paper, we try to build an efficient portfolio among four possible portfolios based on the some 31 Casablanca listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be implemented as following: first of all, we will test...

Persistent link: https://www.econbiz.de/10015219831

Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca

Abderrazik, Amal; Boutkardine, Mehdi; El Bahi, Nour El Houda - 2008

The management of financial risks, which is a branch of financial theory, is defined as a process that begins with risk factors identification, continues with measurement of risk and concludes with the coverage of that risk. This work focuses on the second phase of management process, namely the...

Persistent link: https://www.econbiz.de/10015224909

Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-

MESTRE, Roman; TERRAZA, Michel - 2017

The Beta coefficient theorized by the CAPM is estimated by the Market Line. By hypothesis, the Beta is stable over time but empirical studies on it volatility don't confirm this fact. One of them is related to with agent heterogeneity hypothesis. In this paper; we study this hypothesis by...

Persistent link: https://www.econbiz.de/10015260078

Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca

RIANE, Nizare - 2014

The preponderance of the linear approach in the stock market modeling is the result of the Frisch-Slutsky paradigm which implies that the market can only converge to an equilibrium point or diverge, according to a monotonic or oscillatory trajectory. Moreover, this description of reality is...

Persistent link: https://www.econbiz.de/10015246238

Une analyse temps-fréquences des cycles financiers.

Boucher, Christophe; Maillet, Bertrand - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011

This paper studies the role of fluctuations in the aggregate price-earning ratio at different time-scales, for predicting stock returns and exploring the channels through which returns are forecasted. Using U.S. quartely data, we find that cycles in the price-earning ratio are strong and better...

Persistent link: https://www.econbiz.de/10008788682

La théorie des jeux évolutionnistes peut-elle expliquer la coopération?

Pereau, Jean-Christophe; Tazdaït, Tarik - In: Economie appliquée : archives de l'Institut de … 53 (2000) 1, pp. 101-131

Persistent link: https://www.econbiz.de/10001487468

Les justifications des notions d'équilibre de jeux

Walliser, Bernard - In: Revue d'économie politique 112 (2002) 5, pp. 693-716

Persistent link: https://www.econbiz.de/10001726859

Le tournant cognitif en économie

Orléan, André - In: Revue d'économie politique 112 (2002) 5, pp. 717-738

Persistent link: https://www.econbiz.de/10001726860