STOCHASTIC MODELLING AND PROGNOSIS OF AN UNDERLYING ASSET PRICING

Elena Corina Cipu () and Laura Panzar ()
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Elena Corina Cipu: Polytechnic University of Bucharest, Department of Mathematics
Laura Panzar: Polytechnic University of Bucharest, Department of Mathematics

Journal for Economic Forecasting, 2005, vol. 2, issue 3, 22-36

Abstract: 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.

Keywords: stochastic modeling; time series; numerical methods (search for similar items in EconPapers)
JEL-codes: C20 C32 (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v:2:y:2005:i:3:p:22-36

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