Found 6 document(s)
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We are interested in the random wavelet coefficients of a noisy signal when this signal is the unidimensional or multidimensional attractor of a chaos. More precisely we give an expression for the probability density of ...
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This paper focuses on a procedure to test for structural changes in the first two moments of a time series, when no information about the process driving the breaks is available. To approximate the process, an orthogonal...
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Foreign exchange rate plays an important role in international finance. This paper examines unit roots and the long range dependence of 23 foreign exchange rates using Robinson's (1994) test, which is one of the most eff...
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In this article, we specify the different approaches followed by the economists and the financial economists in order to use chaos theory. We explain the main difference using this theory with other research domains like...
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This paper presents a 2-regime SETAR model with different longmemory processes in both regimes. We briefly present the memory properties of this model and propose an estimation method. Such a process is applied to the ab...
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Multi-period conditional distribution functions for heteroscedastic models with applications to VaR.For a GARCH(1,1) process, we study the large deviation asymptotics at the horizon k and their consequences for extreme quantile estimation. The results are relevant for the estimation of multi-period Value at Risk and pr...