Stochastic Modelling And Prognosis Of An Underlying Asset Pricing
AbstractThe 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 InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal of Economic Forecasting.
Volume (Year): 2 (2005)
Issue (Month): 3 ()
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stochastic modeling; time series; numerical methods;
Find related papers by JEL classification:
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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