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Autre Publication Scientifique Documents de travail du Centre d'Économie de la Sorbonne Année : 2007

Global and local stationary modelling in finance: theory and empirical evidence

Dominique Guegan

Résumé

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets coming from existence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. We study the problem caused by these non stationarities on the estimation of the sample autocorrelation function and give several examples of models for which spurious behaviors is created by this fact. It concerns Markov switching processes, Stopbreak models and SETAR processes. Then, new strategies are suggested to study locally these data sets. We propose first a test based on the k-the cumulants and mainly the construction of a meta-distribution based on copulas for the data set which will permit to take into account all the non-stationarities. This approach suggests that we can be able to do risk management for portfolio containing non stationary assets and also to obtain the distribution function of some specific models.
Dans ce papier nous discutons le problème de la non stationnarité. Nous proposons un nouveau cadre pour étudier la prévision dans des séries non stationnaires à partir de l'outil copule.
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Dates et versions

halshs-00187875 , version 1 (15-11-2007)

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Paternité

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  • HAL Id : halshs-00187875 , version 1

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Dominique Guegan. Global and local stationary modelling in finance: theory and empirical evidence. 2007. ⟨halshs-00187875⟩
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