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A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates

  • Dominique Guegan


    (IDHE - Institutions et Dynamiques Historiques de l'Economie - CNRS : UMR8533 - Université Panthéon-Sorbonne - Paris I - Université Paris VIII Vincennes-Saint Denis - Université de Paris X - Nanterre - École normale supérieure de Cachan - ENS Cachan)

We investigate some statistical properties of the new k-factor Gegenbauer process with heteroscedastic noises One of the goals of the paper is to give tools which permit to use this model to explain the behaviour of certain data sets in finance and in macroeconomics. Monte Carlo experiments are provided to calibrate the theoretical properties. Applications on consumer price indexes and inflation rates are done;

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Paper provided by HAL in its series Post-Print with number halshs-00201314.

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Date of creation: 2003
Date of revision:
Publication status: Published, Finance India, 2003, XVII, 1, 165 - 197
Handle: RePEc:hal:journl:halshs-00201314
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