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Auswahl der wissenschaftlichen Literatur zum Thema „Variance conditionnelle“
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Zeitschriftenartikel zum Thema "Variance conditionnelle"
Perron, Benoit. „Détection non paramétrique de sauts dans la volatilité des marchés financiers“. Articles 80, Nr. 2-3 (24.10.2005): 229–51. http://dx.doi.org/10.7202/011387ar.
Der volle Inhalt der QuelleDrunat, Jérôme, Gilles Dufrénot und Laurent Mathieu. „Le taux de change du dollar contre le mark suit-il une dynamique non-lineaire? Une evaluation empirique sur donnees infra-journalieres“. Recherches économiques de Louvain 64, Nr. 2 (1998): 159–82. http://dx.doi.org/10.1017/s0770451800004504.
Der volle Inhalt der QuelleDetemple, Jérôme B., und Richard E. Kihlstrom. „Acquisition d’information dans un modèle intertemporel en temps continu“. L'Actualité économique 63, Nr. 2-3 (27.01.2009): 118–37. http://dx.doi.org/10.7202/601413ar.
Der volle Inhalt der QuelleAlberola, Ricardo. „Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market“. Lecturas de Economía, Nr. 66 (23.10.2009): 251–76. http://dx.doi.org/10.17533/udea.le.n66a2607.
Der volle Inhalt der QuelleGirault, J. M., S. Ménigot und B. Guibert. „Détection automatique de micro-emboles cérébraux grâce à un nouveau détecteur de variance conditionnelle“. IRBM 33, Nr. 3 (Juni 2012): 217–22. http://dx.doi.org/10.1016/j.irbm.2012.03.002.
Der volle Inhalt der QuelleBensafta, Kamel Malik, und Gervasio Semedo. „De la transmission de la volatilité à la contagion entre marchés boursiers : l’éclairage d’un modèle VAR non linéaire avec bris structurels en variance“. Articles 85, Nr. 1 (18.05.2010): 13–76. http://dx.doi.org/10.7202/039734ar.
Der volle Inhalt der QuelleLi, Wen-Wei. „Le lemme fondamental pondéré pour le groupe métaplectique“. Canadian Journal of Mathematics 64, Nr. 3 (01.06.2012): 497–543. http://dx.doi.org/10.4153/cjm-2011-088-1.
Der volle Inhalt der QuelleDabo-Niang, Sophie, und Ali Laksaci. „Estimation non paramétrique du mode conditionnel pour variable explicative fonctionnelle“. Comptes Rendus Mathematique 344, Nr. 1 (Januar 2007): 49–52. http://dx.doi.org/10.1016/j.crma.2006.11.022.
Der volle Inhalt der QuelleLaksaci, Ali. „Erreur quadratique de l'estimateur à noyau de la densité conditionnelle à variable explicative fonctionnelle“. Comptes Rendus Mathematique 345, Nr. 3 (August 2007): 171–75. http://dx.doi.org/10.1016/j.crma.2007.05.026.
Der volle Inhalt der QuelleLaplante, Benoît. „La nature et l’interprétation des variables indépendantes fonction du temps en démographie“. Articles 38, Nr. 1 (16.06.2010): 105–43. http://dx.doi.org/10.7202/039990ar.
Der volle Inhalt der QuelleDissertationen zum Thema "Variance conditionnelle"
Mint, El Mouvid Mariem. „Sur l'estimateur linéaire local de la fonction de répartition conditionnelle“. Montpellier 2, 2000. http://www.theses.fr/2000MON20162.
Der volle Inhalt der QuelleThomas, Alban. „L'Econométrie des variances conditionnelles application des processus ARCH à la modélisation /“. Grenoble 2 : ANRT, 1988. http://catalogue.bnf.fr/ark:/12148/cb376188988.
Der volle Inhalt der QuelleThomas, Alban. „L'économétrie des variances conditionnelles : application des processus Arch à la modélisation financière“. Toulouse 1, 1989. http://www.theses.fr/1989TOU10032.
Der volle Inhalt der QuelleConditional variance processes arch are presented in detail in order to apply engle’s methodology 1982 to financial valuation. The tests and issues due to heteroskedasticity are introduced to allow the help of arch models as a simple parametric specification for heteroskedasticity. A first application to financial modeling consists in estimating and testing a capm model in which stock returns variances and covariances of 140 french assets are made variable. It is shown that estimation results are interesting and can be used for the computation of variable prediction confidence intervals. The second application is concerned with estimation of implied standard deviations from the option pricing model blacck scholes 1973 according to a generalized arch process. The analysis shows that historical volatilities computed from the series of risk measures enter the expectations of black scholes implicit volatilities. One asseses the possibility of predicting option prices and hedging portfolios shares
Laksaci, Ali. „Contribution aux modèles non paramétriques conditionnels pour variables explicatives fonctionnelles“. Toulouse 3, 2005. http://www.theses.fr/2005TOU30158.
Der volle Inhalt der QuelleIn this thesis, we study the problem of a nonparametric modelization when the data are curves. Indeed, we consider real random variable (named response variable) noted Y, and a functional variable (explanatory variable) noted X. The nonparametric model used to study the relation between X and Y is the conditional distribution function noted F which has a density f. Both F and f are supposed to belong to some suitable functional spaces. Firstly, we consider a sequence of i. I. D observations. In this context, we build kernel estimators of the conditional distribution function, the conditional density and its sucessive derivatives. We establish the almost complete convergence rate of these estimators. We use these results in order to study the conditional mode and the conditional quantiles and we give also the almost complete convergence rate of their estimators. Secondly , we suppose that the observations are strongly mixing and we focus on the estimate of the conditional mode. We quantify the asymptotic properties of this estimator, by giving the convergence rate. This result can be used to the prediction problem in functional time series. Our study highlights the phenomenon of concentration properties on small balls of the probability measure of the functional variable. More precisely, these ideas are used to give a statistical solution to curse of dimension and to generalize to infinite dimension many asymptotic results existing in the multivariate case. Moreover, by using recent results in the probability theory of small balls we can see that our results include many time continuous processes. .
Es-Sahib, Aziz. „Espérances d'une variable aléatoire à valeurs dans un espace métrique“. Rouen, 1998. http://www.theses.fr/1999ROUES037.
Der volle Inhalt der QuelleCrambes, Christophe. „Modèles de régression linéaire pour variables explicatives fonctionnelles“. Phd thesis, Université Paul Sabatier - Toulouse III, 2006. http://tel.archives-ouvertes.fr/tel-00134003.
Der volle Inhalt der QuelleCai, Jiatu. „Méthodes asymptotiques en contrôle stochastique et applications à la finance“. Sorbonne Paris Cité, 2016. http://www.theses.fr/2016USPCC338.
Der volle Inhalt der QuelleIn this thesis, we study several mathematical finance problems related to the presence of market imperfections. Our main approach for solving them is to establish a relevant asymptotic framework in which explicit approximate solutions can be obtained for the associated control problems. In the first part of this thesis, we are interested in the pricing and hedging of European options. We first consider the question of determining the optimal rebalancing dates for a replicating portfolio in the presence of a drift in the underlying dynamics. We show that in this situation, it is possible to generate positive returns while hedging the option and describe a rebalancing strategy which is asymptotically optimal for a mean-variance type criterion. Then we propose an asymptotic framework for options risk management under proportional transaction costs. Inspired by Leland’s approach, we develop an alternative way to build hedging portfolios enabling us to minimize hedging errors. The second part of this manuscript is devoted to the issue of tracking a stochastic target. The agent aims at staying close to the target while minimizing tracking efforts. In a small costs asymptotics, we establish a lower bound for the value function associated to this optimization problem. This bound is interpreted in term of ergodic control of Brownian motion. We also provide numerous examples for which the lower bound is explicit and attained by a strategy that we describe. In the last part of this thesis, we focus on the problem of consumption-investment with capital gains taxes. We first obtain an asymptotic expansion for the associated value function that we interpret in a probabilistic way. Then, in the case of a market with regime-switching and for an investor with recursive utility of Epstein-Zin type, we solve the problem explicitly by providing a closed-form consumption-investment strategy. Finally, we study the joint impact of transaction costs and capital gains taxes. We provide a system of corrector equations which enables us to unify the results in [ST13] and [CD13]
Woillez, Mathieu. „Contributions géostatistiques à la biologie halieutique“. Phd thesis, École Nationale Supérieure des Mines de Paris, 2007. http://pastel.archives-ouvertes.fr/pastel-00003347.
Der volle Inhalt der QuelleKarmann, Clémence. „Inférence de réseaux pour modèles inflatés en zéro“. Thesis, Université de Lorraine, 2019. http://www.theses.fr/2019LORR0146/document.
Der volle Inhalt der QuelleNetwork inference has more and more applications, particularly in human health and environment, for the study of micro-biological and genomic data. Networks are indeed an appropriate tool to represent, or even study, relationships between entities. Many mathematical estimation techniques have been developed, particularly in the context of Gaussian graphical models, but also in the case of binary or mixed data. The processing of abundance data (of microorganisms such as bacteria for example) is particular for two reasons: on the one hand they do not directly reflect reality because a sequencing process takes place to duplicate species and this process brings variability, on the other hand a species may be absent in some samples. We are then in the context of zero-inflated data. Many graph inference methods exist for Gaussian, binary and mixed data, but zero-inflated models are rarely studied, although they reflect the structure of many data sets in a relevant way. The objective of this thesis is to infer networks for zero-inflated models. In this thesis, we will restrict to conditional dependency graphs. The work presented in this thesis is divided into two main parts. The first one concerns graph inference methods based on the estimation of neighbourhoods by a procedure combining ordinal regression models and variable selection methods. The second one focuses on graph inference in a model where the variables are Gaussian zero-inflated by double truncation (right and left)
Kchia, Younes. „Semimartingales et Problématiques Récentes en Finance Quantitative“. Phd thesis, Ecole Polytechnique X, 2011. http://pastel.archives-ouvertes.fr/pastel-00635436.
Der volle Inhalt der QuelleBücher zum Thema "Variance conditionnelle"
Ross, Sheldon M. Initiation aux probabilités. Lausanne: Presses polytechniques et universitaires romandes, 1990.
Den vollen Inhalt der Quelle findenBuchteile zum Thema "Variance conditionnelle"
Bouleau, Nicolas. „Autour de la variance comme forme de Dirichlet : filtrations et resolutions de l’identite contractions et BMO, esperances conditionnelles et principe complet du maximum“. In Séminaire de Théorie du Potentiel Paris, No. 8, 39–53. Berlin, Heidelberg: Springer Berlin Heidelberg, 1987. http://dx.doi.org/10.1007/bfb0072747.
Der volle Inhalt der QuelleCalmès, Christian, und Juan Salazar. „VARIANCE MACROÉCONOMIQUE CONDITIONNELLE ET MESURE DE DISPERSION DES ACTIFS DANS LES PORTEFEUILLES BANCAIRES“. In Finance computationnelle et gestion des risques, 687–700. Presses de l'Université du Québec, 2006. http://dx.doi.org/10.2307/j.ctv18ph6c6.25.
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