STOCHASTIC MODELLING AND PROGNOSIS OF AN UNDERLYING ASSET PRICING

The aim of this paper is to obtain a stochastic model for an underlying asset pricing. Several stochastic models using time series are presented, such as stationary stochastic processes AR and MA or ARMA, and ARCH processes with conditional volatility as a stochastic process. Numerical data were used in order to compare the models.

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Year of publication:	2005
Authors:	Cipu, Elena Corina ; Panzar, Laura
Published in:	Journal for Economic Forecasting. - Institutul de Prognoza Economica. - Vol. 2.2005, 3, p. 22-36
Publisher:	Institutul de Prognoza Economica
Subject:	stochastic modeling \| time series \| numerical methods

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Type of publication:	Article
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005272622