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 Analyse statistique pour la gestion bancaire et financièreTerraza, Virginie  ; Toque, Carole Book published by de boeck (2013) Detailed reference viewed: 506 (213 UL)  Time series factorial models with uncertainty measures: applications to ARMA processes and financial dataTerraza, Virginie ; Toque, Carole in Communications in Statistics: Theory and Methods (2011), 40(9), 1533-1544 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 ... [more ▼] 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. [less ▲] Detailed reference viewed: 115 (2 UL)The predictive Power of Fund Ratings with a novel approach using uncertainty measures to analyzing riskTerraza, Virginie ; Toque, Carole in Decisions in Economics and Finance (2009), 32(2), 149-160 Using two approaches to panel data, Granger causality analysis with semi-asymptotic tests, and a structural approach based on entropies measured on sequences of multi-period ratings and returns, we ... [more ▼] Using two approaches to panel data, Granger causality analysis with semi-asymptotic tests, and a structural approach based on entropies measured on sequences of multi-period ratings and returns, we specify the relationship between a fund’s performance and both Morningstar and Europerformance ratings. We conclude on the Europerformance agency forecasting ability for the Luxembourg funds, and the Morningstar agency for the French funds. Indeed, we find two groups of funds depending on their domiciliation and appropriated rating. The results of this paper have implications for the management of fund portfolios, and the structural approach, more robust to our data, must be a first process for forecast models on the basis of similar funds, minor uncertainty or risk measure, and appropriated rating. [less ▲] Detailed reference viewed: 97 (1 UL)Funds Rating: the predictive powerTerraza, Virginie ; Toque, Carole in Euro-Mediterranean Economics and Finance Review (2009), 4(4), Detailed reference viewed: 44 (2 UL) |
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