Analyse des interdépendances non linéaires des principaux marchés boursiers de la zone euro (notice n° 834628)
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| fixed length control field | 03606cam a2200301 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250123140203.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Hennani, Rachida |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Analyse des interdépendances non linéaires des principaux marchés boursiers de la zone euro |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2017.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 76 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Cet article analyse les interdépendances non linéaires susceptibles d’exister au sein de la zone euro. Nous introduisons un modèle dynamique original qui est une combinaison du modèle de Mackey-Glass bivarié et bruité de Kyrtsou et Labys [2006], étendu à un cadre multivarié, avec une spécification GJR-GARCH à corrélations conditionnelles dynamiques. L’application empirique menée sur sept indices boursiers de la zone euro sur une période allant du 28/11/2003 au 25/11/2012 met en exergue plusieurs interdépendances mécaniques. Les relations détectées en moyenne confirment le rôle moteur du couple d’indices franco-allemand, une organisation des pays de l’Europe du Sud autour de l’indice italien et l’isolement des indices hellénique et irlandais. L’interdépendance psychologique, mise en évidence par la spécification DCC-GJR-GARCH, révèle deux groupes particuliers : le premier est composé des indices ATHEX, CAC, ISEQ, IBEX et DAX et le second concerne les indices italien et portugais. Nous constatons de fortes corrélations pour le couple franco-allemand tandis que nous relevons une décorrélation, dans le premier groupe des indices CAC, DAX, ISEQ, IBEX avec l’indice hellénique au lendemain de la crise des dettes souveraines. Les autres indices sont caractérisés par des interdépendances psychologiques instables sur la période d’étude. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Nonlinear Interdependencies of Europeans Stock Markets Indices This paper analyzes the interdependencies of stock markets indices in the euro zone. We introduce an original dynamic model which is a combination of the noisy bivariate Mackey-Glass model of Kyrtsou and Labys [2006], extended in a multivariate framework, with DCC-GJR-GARCH errors. The empirical application conducted on seven market indices in the euro zone over the period from 11/28/2003 to 11/25/2012 highlights several mechanical interdependencies. The relationship detected in the mean equation confirm the leading role of the French and German indices, an organization of Southern Europe countries around the Italian index and the isolation of Greek and Irish indices. The psychological interdependencies revealed by the specification DCC-GJR-GARCH show two particular groups: the first is composed of ATHEX, CAC, ISEQ, IBEX and DAX indices and the second concerns the Italian and Portuguese indices. We find strong correlations for the Franco-German couple while we note a de-correlation, in the first group between CAC, DAX, ISEQ, IBEX with the Hellenic index following the sovereign debt crisis. The other indices are characterized by unstable psychological interdependencies on the study period. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | marchésboursiers |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Mackey-Glass |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | DCC-GJR-GARCH |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | interdépendances |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | GARCH multivarié |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | multivariate GARCH |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | interdependencies |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Mackey-Glass |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | DCC-GJR-GARCH |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | stockmarket indices |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Terraza, Michel |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Revue d'économie politique | 127 | 1 | 2017-02-24 | p. 47-70 | 0373-2630 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-d-economie-politique-2017-1-page-47?lang=fr&redirect-ssocas=7080">https://shs.cairn.info/revue-d-economie-politique-2017-1-page-47?lang=fr&redirect-ssocas=7080</a> |
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