Reference : Time series factorial models with uncertainty measures: applications to ARMA processe...
Scientific journals : Article
Business & economic sciences : Finance
http://hdl.handle.net/10993/12180
Time series factorial models with uncertainty measures: applications to ARMA processes and financial data
English
Terraza, Virginie mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Toque, Carole [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
2011
Communications in Statistics : Theory & Methods
Taylor & Francis Ltd
40
9
1533-1544
Yes (verified by ORBilu)
International
0361-0926
[en] fund’s rating ; factor analysis ; incertitude measures
[en] In this paper, we propose a non-parametric structural approach in order to define new pertinent criterion in the selection process of time series. This approach combines a technical analysis of oscillators derived from Wilder (1978) and the Shannon (1948) theory of information, with factorial techniques of visualization.
In identifying classes of times series, using reference graphic models and pertinent criteria to better select appropriate models, this structural approach must be a first process to forecast models on significant entropies.
First, we apply this approach on simulated ARMA processes, to show significant groupings and oppositions explained by entropies, and to return some well known properties of autocorrelations functions. In the second one, we use the methodology to derive groups of funds based on their ratings. We observe that the Luxembourg funds are characterized by reductions of incertitude measured on Europerformance ratings against the French funds which are characterized by reductions of incertitude on Morningstar ratings, according their performance with incertitude reductions measured on daily returns.
Researchers ; Professionals
http://hdl.handle.net/10993/12180

File(s) associated to this reference

Fulltext file(s):

FileCommentaryVersionSizeAccess
Limited access
time series factorial models.pdfAuthor postprint163.03 kBRequest a copy

Bookmark and Share SFX Query

All documents in ORBilu are protected by a user license.