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Quality & Quantity

, Volume 44, Issue 5, pp 865–880 | Cite as

Nonparametric analysis of financial time series by the Kernel methodology

  • Mohamed Chikhi
  • Claude Diebolt
Article

Abstract

This paper aims to study, in the most recent historical time period, the efficiency of the Paris Stock Exchange market. We test its weak form while analysing the stock exchange returns series by nonparametric methods, using kernel methodology in particular. In doing so, our approach extends the traditional view treating the observed cyclical fluctuations on this market.

Keywords

Efficiency Random walk process Kernel methodology Functional autoregressive process Forecasting Cliometrics 

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Copyright information

© Springer Science+Business Media B.V. 2009

Authors and Affiliations

  1. 1.Université de Ouargla & LAMETA/CNRSOuarglaAlgeria
  2. 2.Faculté des Sciences EconomiquesUniversité Montpellier IMontpellier Cedex 2France
  3. 3.Faculté des Sciences Economiques, BETA/CNRSUniversité de StrasbourgStrasbourg CedexFrance
  4. 4.Humboldt-Universität zu BerlinBerlinGermany

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