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OmniScriptum Apport des Ondelettes dans l'Analyse Univariée et Multivariée des Processus à Mémoire Longue: Application à des Données Financières (Omn.Univ.Europ.)

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Description

Cette thèse fait appel à la théorie des ondelettes pour estimer le paramètre de mémoire longue dans le cadre stationnaire et non stationnaire lors de la modélisation des séries financières, et pour l'estimation non paramétrique de la copule lors de l'examen de leurs interdépendances. Dans une première étape, nous nous sommes intéressés à la modélisation de la dynamique des séries de variations. D'une part, nous étudions les liens de causalité entre les séries obtenus par décomposition en ondelettes. D'autre part, nous nous orientons vers la théorie de cointégration fractionnaire. Dans une deuxième étape, nous exposons une application de la théorie des copules à l'analyse de la structure des dépendances entre différentes séries financières. Ensuite, nous étudions l'effet du changement de la structure de dépendance dans la frontière d'efficience et dans les mesures du risque sur l'ensemble des portefeuilles optimaux en élaborant une mesure du risque basée sur l'approche CVaR-copules. Enfin, nous proposons un nouvel estimateur dans le cadre des ondelettes qui constitue une extension de celui de Shimotsu et Phillips (2005, 2010).

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
29 July 2011
Listed Since
02 August 2011

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