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Forecasting Financial Processes by Using Diffusion Models

Author

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  • Piotr Pluciennik

    (Adam Mickiewicz University
    National Bank of Poland)

Abstract

Time series forecasting is one of the most important issues in the financial econometrics. In the face of growing interest in models with continuous time, as well as rapid development of methods of their estimation, we try to use the diffusion models to modeling and forecasting time series from various financial markets. We use Monte-Carlo-based method, introduced by Cziraky and Kucherenko (2008). Received forecasts are confronted with those determined with the commonly applied parametrical time series models.

Suggested Citation

  • Piotr Pluciennik, 2010. "Forecasting Financial Processes by Using Diffusion Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 51-60.
    • Handle: RePEc:cpn:umkdem:v:10:y:2010:p:51-60
    as

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    File URL: http://www.dem.umk.pl/dem/archiwa/v10/05_PPluciennik.pdf
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    References listed on IDEAS

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