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Période d'exclusion et paramètres non†stationnaires d'un modèle de marché dans des études de réactions des prix

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  • MICHAEL THEOBALD

Abstract

Résumé. Nous allons élaborer des expressions analytiques pour évaluer l'impact de périodes d'exclusion erronées sur des analyses de résidus et les difficultés à déterminer les périodes d'exclusion exactes. Nous allons aussi analyser en détail l'interréaction avec des paramètres non†stationnaires d'un modèle de marché et nous allons rationaliser afin de livrer des observations empiriques.

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  • Michael Theobald, 1985. "Période d'exclusion et paramètres non†stationnaires d'un modèle de marché dans des études de réactions des prix," Contemporary Accounting Research, John Wiley & Sons, vol. 2(1), pages 23-45, September.
    • Handle: RePEc:wly:coacre:v:2:y:1985:i:1:p:23-45
    DOI: 10.1111/j.1911-3846.1985.tb00605.x
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