Francois-Éric Racicot () (Département des sciences administratives, Université du Québec (Outaouais)) Raymond Théoret () (Département de stratégie des affaires, Université du Québec (Montréal))
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In this paper, we show how to calibrate the most usual stochastic processes: arithmetic and geometric Brownian motions,, mean-reverting processes and jump processes. This paper contains also many applications to Canadian financial data. We observe, among other phenomena, that a mean-reverting process is very appropriate to estimate the return on assets of the six biggest Canadian banks. Finally, we estimate a monofactorial model of interest rate.
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Paper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number
UQO-DSA-wp0292005.
Length: 31 pages Date of creation: 13 Jul 2005 Date of revision: Handle: RePEc:pqs:wpaper:0292005
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