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Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains

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  • Frédérique Bec

    (THEMA - Théorie économique, modélisation et applications - UCP - Université de Cergy Pontoise - Université Paris-Seine - CNRS - Centre National de la Recherche Scientifique)

  • Annabelle de Gaye

Abstract

Ce chapitre propose un étude empirique de la forme des reprises sur les marchés financiers à partir d'un modèle autorégressif à seuil augmenté d'un effet rebond. Le modèle est estimé sur les rendements mensuels d'actions américaines et françaises depuis janvier 1973. La présence et la forme de l'effet rebond sont testées formellement. Les résultats montrent que l'effet rebond i) est statistiquement significatif, ii) a la même forme dans les deux pays, et iii) améliore les prévisions à 1 mois par rapport aux modèles linéaire ou autorégressif à seuil standard. * Ce travail a été réalisé dans le cadre d'un ouvrage collectif à paraître aux Editions Economica. Il refìète les idées personnelles des auteurs et n'exprime pas nécessairement la position de la Banque de France. Frédérique Bec remercie le projet Labex MME-DII (ANR11-LBX-0023-01).

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  • Frédérique Bec & Annabelle de Gaye, 2019. "Le modèle autorégressif autorégressif à seuil avec effet rebond : Une application aux rendements boursiers français et américains ," Working Papers hal-02014663, HAL.
    • Handle: RePEc:hal:wpaper:hal-02014663
    Note: View the original document on HAL open archive server: https://hal.science/hal-02014663
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    References listed on IDEAS

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