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Stochastic Modelling And Prognosis Of An Underlying Asset Pricing


  • Cipu, Elena Corina

    () (Polytechnic University of Bucharest, Department of Mathematics)

  • Panzar, Laura

    () (Polytechnic University of Bucharest, Department of Mathematics)


The 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.

Suggested Citation

  • Cipu, Elena Corina & Panzar, Laura, 2005. "Stochastic Modelling And Prognosis Of An Underlying Asset Pricing," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 2(3), pages 22-36.
  • Handle: RePEc:rjr:romjef:v:2:y:2005:i:3:p:22-36

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    More about this item


    stochastic modeling; time series; numerical methods;

    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; State Space Models


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