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An Overview Of Probabilistic And Time Series Models In Finance

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  • Alejandro Balbás
  • Rosario Romera

    ()

  • Esther Ruiz

    ()

Abstract

In this paper, we partially review probabilistic and time series models in finance. Both discrete and continuous .time models are described. The characterization of the No- Arbitrage paradigm is extensively studied in several financial market contexts. As the probabilistic models become more and more complex to be realistic, the Econometrics needed to estimate them are more difficult. Consequently, there is still much research to be done on the link between probabilistic and time series models.

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Bibliographic Info

Paper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws032405.

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Date of creation: May 2003
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Handle: RePEc:cte:wsrepe:ws032405

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