An Overview of Probabilistic and Time Series Models in Finance

Alejandro Balbás, Rosario Romera and Esther Ruiz ()
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Alejandro Balbás: Universidad Carlos III de Madrid, Dept. of Business Administration
Rosario Romera: Universidad Carlos III de Madrid, Dept. of Statistics and Econometrics

A chapter in Recent Advances in Applied Probability, 2005, pp 27-63 from Springer

Abstract: Abstract In this paper, we partially review probabilistic and time series models in finance. Both discrete and continuous-time models are described. The characterization of the No-Arbitrage paradigm is extensively studied in several financial market contexts. As the probabilistic models become more and more complex to be realistic, the Econometrics needed to estimate them are more difficult. Consequently, there is still much research to be done on the link between probabilistic and time series models.

Keywords: Asset Pricing; CAPM; Choquet integral; Diffusion process; GARCH; Stochastic; Volatility; Term Structure; Value at Risk (search for similar items in EconPapers)
Date: 2005
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Working Paper: An overview of probabilistic and time series models in finance (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-387-23394-9_2

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DOI: 10.1007/0-387-23394-6_2

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