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Investment Returns and Inflation Models: Some Australian Evidence

Author

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  • Sherris, M.
  • Tedesco, L.
  • Zehnwirth, B.

Abstract

The development of stochastic investment models for actuarial and investment applications has become an important area of interest to actuaries. This paper reports the application of some techniques of modern time series and econometric analysis to Australian inflation, share market and interest rate data. It considers unit roots, cointegration and state space models. Some of the results from this analysis are not reflected in the published stochastic investment models.

Suggested Citation

  • Sherris, M. & Tedesco, L. & Zehnwirth, B., 1999. "Investment Returns and Inflation Models: Some Australian Evidence," British Actuarial Journal, Cambridge University Press, vol. 5(1), pages 237-267, April.
    • Handle: RePEc:cup:bracjl:v:5:y:1999:i:01:p:237-267_00
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    Cited by:

    1. Amandha Ganegoda & John Evans, 2017. "The Australian retirement lottery: A system failure," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 3-31, February.

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