Stochastic modelling for evolution of stock prices by means of functional principal component analysis

Ana M. Aguilera, Francisco A. Ocaña and Mariano J. Valderrama

Applied Stochastic Models in Business and Industry, 1999, vol. 15, issue 4, 227-234

Abstract: The objective of this paper is to apply functional principal component analysis to model and forecast financial prices of the banking in Madrid Stock Market from weekly observations of a random sample of banks. It is well known that direct statistical analysis of stock prices is difficult, therefore principal component prediction models for weekly returns are performed to give appropriate forecasts for prices. Copyright © 1999 John Wiley & Sons, Ltd.

Date: 1999
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https://doi.org/10.1002/(SICI)1526-4025(199910/12)15:43.0.CO;2-C

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:15:y:1999:i:4:p:227-234

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