IDEAS home Printed from https://ideas.repec.org/p/hal/wpaper/hal-01510780.html
   My bibliography  Save this paper

Estimation du changement des cours du café et du cacao : Filtre HPMV, filtre de Kalman et MS-VAR

Author

Listed:
  • Nathaniel Gbenro

    (ENSEA - Ecole nationale supérieure de statistique et d'économie appliquée [Abidjan])

  • Aka Jerôme Koffi

    (ENSEA - Ecole nationale supérieure de statistique et d'économie appliquée [Abidjan])

Abstract

Dans cette étude, nous modélisons les changements dans les cours mondiaux du café et du cacao. L'incapacité d'observer la forte volatilité de ces séries nous conduit à utiliser des modèles à composantes inobservables. En plus du filtre de Hodrick-Prescott univarié(HP), nous estimons le filtre de Hodrick Prescott multivarié (HPMV) et les processus Markovien à plusieurs régimes (Markov Switching Models). Le filtre HPMV a été réécrit sous forme Espace-Etat afin de modéliser les cours du café et du cacao par un état non observable.

Suggested Citation

  • Nathaniel Gbenro & Aka Jerôme Koffi, 2011. "Estimation du changement des cours du café et du cacao : Filtre HPMV, filtre de Kalman et MS-VAR," Working Papers hal-01510780, HAL.
    • Handle: RePEc:hal:wpaper:hal-01510780
    Note: View the original document on HAL open archive server: https://hal.science/hal-01510780
    as

    Download full text from publisher

    File URL: https://hal.science/hal-01510780/document
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Francois-Éric Racicot & Raymond Théoret, 2005. "Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices," RePAd Working Paper Series UQO-DSA-wp0312005, Département des sciences administratives, UQO.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Cyriac Guillaumin, 2008. "(A)symetrie et convergence des chocs macroeconomiques en Asie de l'Est : une analyse dynamique," Economie Internationale, CEPII research center, issue 114, pages 29-68.
    2. Bationo, Rakissiwinde & Hounkpodote, Hilaire, 2009. "Estimation des changements des cours du café et du cacao: Filtre de Kalman, filtre de Hodrick-Prescott et modélisation à partir de processus markovien [Estimated Changes in Prices of Coffee and Coc," MPRA Paper 26980, University Library of Munich, Germany, revised Nov 2010.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-01510780. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.