Wavelet analysis of financial time series

Wavelet analysis of financial time series

Cette thèse traite la contribution des méthodes d'ondelettes sur la modélisation des séries temporelles économiques et financières et se compose de deux parties: une partie univariée et une partie multivariée. Dans la première partie (chapitres 2 et 3), nous adoptons le cas univarié. Premièreme...

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Bibliographic Details
Main Author:	Khalfaoui, Rabeh
Other Authors:	Aix-Marseille
Language:	en
Published:	2012
Subjects:	Longue mémoire Non-stationnarité Analyse multirésolution Volatilité conditionnelle Risque de marché Corrélations conditionnelles dynamiques GARCH multivariés Valeur à risque VaR Indices boursiers Prix de pétrole Long memory Non-stationarity Multi-resolution analysis Conditional volatility Market risk Dynamic conditional correlations Multivariate GARCH Value-at-Risk Stock price Crude oil
Online Access:	http://www.theses.fr/2012AIXM1083

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