Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation

Autor: Mohamed CHIKHI, Claude DIEBOLT

Publikováno v: Eastern Journal of European Studies, Vol 13, Iss 1, Pp 228-253 (2022)

The present research aims to test the weak-form efficiency of the French ETF market through a LSTAR model with ANSTGARCH errors, by using semiparametric maximum likelihood where the innovation distribution is replaced by a nonparametric estimate base

Externí odkaz: https://doaj.org/article/34524c5d834f4588a5db59576b1215a4

Nonparametric NAR-ARCH Modelling of Stock Prices by the Kernel Methodology

Autor: Mohamed Chikhi, Ali Bendob

Publikováno v: Journal of Economics and Financial Analysis, Vol 2, Iss 2, Pp 105-120 (2018)

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 Gaussianit

Externí odkaz: https://doaj.org/article/caa982e8a4af443cae3ea8a93fd235da

Testing the CAPM-GARCH Models in the GCC-Wide Equity Sectors

Autor: Mohamed Chikhi, Ali Bendob, Fatma Bennaceur

Publikováno v: Asian Journal of Economic Modelling. 5:413-430

This paper tests the conditional and non-conditional versions of the Capital Asset Pricing Model (CAPM) in Gulf Cooperation Council GCC capital markets -wide equity sectors upon daily data during the period from February 22ed 2007 to February 22ed 20

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::021027932d6f5075bc51310b23524860
https://doi.org/10.18488/journal.8.2017.54.413.430

The Reichsbank: a nonparametric modelling of historical time series

Autor: Mohamed Chikhi, Claude Diebolt

Publikováno v: Applied Economics Letters. 16:1409-1414

This article applies nonparametric methods to the monthly monetary stock time series of the Reichsbank, constructed in weekly data, with 2160 observations, covering the time period January 1876 to December 1920. Our analysis begins with a historical

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::5e63c43e021c928c13508f6e0b64e5e6
https://doi.org/10.1080/17446540802599713

SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence

Autor: Mohamed Chikhi, Michel Terraza, Anne Peguin-Feissolle

Publikováno v: Computational Economics
Computational Economics, Springer Verlag, 2013, 41 (2), pp.249--265
Computational Economics, 2013, 41 (2), pp.249-265. ⟨10.1007/s10614-012-9328-9⟩
Computational Economics, Springer Verlag, 2013, 41 (2), pp.249-265

ACL-3; International audience; This paper analyzes the cyclical behavior of Dow Jones by testing the existence of long memory through a new class of semiparametric ARFIMA models with HYGARCH errors (SEMIFARMA-HYGARCH); this class includes nonparametr

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c38bd66ad91f3b02c467b2b2616ee613
https://halshs.archives-ouvertes.fr/halshs-00793203/document