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Nonparametric NAR-ARCH Modelling of Stock Prices by the Kernel Methodology
Journal of Economics and Financial Analysis
View Archive Info| Field | Value | |
| Title |
Nonparametric NAR-ARCH Modelling of Stock Prices by the Kernel Methodology
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| Creator |
Mohamed Chikhi
Ali Bendob |
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| ##plugins.schemas.dc.fields.affiliation.name## |
University of Ouargla
University of Ain-Temouchent |
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| ##plugins.schemas.dc.fields.email.name## |
mchikhi00@gmail.com
bendobali4@gmail.com |
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| ##plugins.schemas.dc.fields.jel.name## |
C14, C22, C58, G17
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| Subject |
Final Prediction Error; Kernel; Bandwidth; Conditional Heteroscedastic Functional Autoregressive Process; Orange Stock Price; Forecasts.
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| Description |
This paper analyses cyclical behaviour of Orange stock price listed in French stock exchange over 01/03/2000 to 02/02/2017 by testing the nonlinearities through a class of conditional heteroscedastic nonparametric models. The linearity and Gaussianity assumptions are rejected for Orange Stock returns and informational shocks have transitory effects on returns and volatility. The forecasting results show that Orange stock prices are short-term predictable and nonparametric NAR-ARCH model has better performance over parametric MA-APARCH model for short horizons. Plus, the estimates of this model are also better comparing to the predictions of the random walk model. This finding provides evidence for weak form of inefficiency in Paris stock market with limited rationality, thus it emerges arbitrage opportunities.
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| Source |
Journal of Economics and Financial Analysis
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2018
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2
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2
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105-120
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| ##plugins.schemas.dc.fields.doi.name## |
10.1991/jefa.v2i2.a20
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| ##plugins.schemas.dc.fields.pdfurl.name## |
https://ojs.tripaledu.com/index.php/jefa/article/download/19/41
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application/pdf
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https://ojs.tripaledu.com/index.php/jefa/article/view/19/42
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text/html
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| Publisher |
Tripal Publishing House
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| Contributor |
University of Ain Temouchent, Ouargla University
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| Date |
2018-02-16
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Identifier |
https://ojs.tripaledu.com/index.php/jefa/article/view/19
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| ##plugins.schemas.dc.fields.onlineissn.name## |
2521-6619
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| ##plugins.schemas.dc.fields.printissn.name## |
2521-6627
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| Language |
eng
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| Relation |
https://ojs.tripaledu.com/index.php/jefa/article/view/19/41
https://ojs.tripaledu.com/index.php/jefa/article/view/19/42 |
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| Rights |
Copyright (c) 2018 Journal of Economics and Financial Analysis
http://creativecommons.org/licenses/by-nc-nd/4.0 |
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