IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2301.08803.html
   My bibliography  Save this paper

Modeling COVID-19 pandemic with financial markets models: The case of Ja\'en (Spain)

Author

Listed:
  • Julio Guerrero
  • Maria del Carmen Galiano
  • Giuseppe Orlando

Abstract

The main objective of this work is to test whether some stochastic models typically used in financial markets could be applied to the COVID-19 pandemic. To this end we have implemented the ARIMAX and Cox-Ingersoll-Ross (CIR) models originally designed for interest rate pricing but transformed by us into a forecasting tool. For the latter, which we denoted CIR*, both the Euler-Maruyama method and the Milstein method were used. Forecasts obtained with the maximum likelihood method have been validated with 95\% confidence intervals and with statistical measures of goodness of fit, such as the root mean square error (RMSE). We demonstrate that the accuracy of the obtained results is consistent with the observations and sufficiently accurate to the point that the proposed CIR* framework could be considered a valid alternative to the classical ARIMAX for modelling pandemics.

Suggested Citation

  • Julio Guerrero & Maria del Carmen Galiano & Giuseppe Orlando, 2023. "Modeling COVID-19 pandemic with financial markets models: The case of Ja\'en (Spain)," Papers 2301.08803, arXiv.org.
    • Handle: RePEc:arx:papers:2301.08803
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2301.08803
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2301.08803. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.