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Stochastic Modelling And Prognosis Of An Underlying Asset Pricing

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Author Info

  • Cipu, Elena Corina

    ()
    (Polytechnic University of Bucharest, Department of Mathematics)

  • Panzar, Laura

    ()
    (Polytechnic University of Bucharest, Department of Mathematics)

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    Abstract

    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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    Bibliographic Info

    Article provided by Institute for Economic Forecasting in its journal Romanian Journal of Economic Forecasting.

    Volume (Year): 2 (2005)
    Issue (Month): 3 ()
    Pages: 22-36

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    Handle: RePEc:rjr:romjef:v:2:y:2005:i:3:p:22-36

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    Related research

    Keywords: stochastic modeling; time series; numerical methods;

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