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

Listed author(s):
  • Dominique Guegan

    ()

    (IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Panthéon-Sorbonne - UP8 - Université Paris 8, Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

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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File URL: https://halshs.archives-ouvertes.fr/halshs-00201314/document
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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
Publication status: Published in Finance India, 2003, XVII (1), pp.165 - 197
Handle: RePEc:hal:journl:halshs-00201314
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00201314
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