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L'explosion de la bulle Or

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by

margaux kohler

on 13 June 2014

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Transcript of L'explosion de la bulle Or

L'EXPLOSION DE LA BULLE OR
Mémoire de Master en Finance
Margaux Kohler
Mardi 17 Juin 2014
Introduction
Méthodologie 1
Identification de la bulle en comparant 4 approches
Méthodologie 2
Explosion de la Bulle
Identification d'un break structurel:
ARIMA
Andrew

Identification
de la Bulle

Explosion
de la Bulle

changement d'un processus de marche aléatoire à un régime explosif
ADF récursive Test
Variance ratio test
Duration dependence Test
Analyse de cointégration
ADF Test
Bulle ok
Variance Ratio test
Bulle OK
DDT
Bulle non significative
Analyse de cointégration
Bulle OK
break structurel détecté en août 2011
significatif
explosion
Université de Genève
Conclusion
Littérature
Full transcript