Since 2014
Forecasting Financial Processes by Using Diffusion Models
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Forecasting Financial Processes by Using Diffusion Models
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| Creator |
Płuciennik, Piotr; Adam Mickiewicz University, National Bank of Poland
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| Subject |
diffusion models, ex-post forecasts, Monte-Carlo simulation, the GARCH model, the ARIMA model, unit-root
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| Description |
Time series forecasting is one of the most important issues in the financial econometrics. In the face of growing interest in models with continuous time, as well as rapid development of methods of their estimation, we try to use the diffusion models to modeling and forecasting time series from various financial markets. We use Monte-Carlo-based method, introduced by Cziraky and Kucherenko (2008). Received forecasts are confronted with those determined with the commonly applied parametrical time series models.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2010-07-17
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.005
10.12775/DEM.2010.005 |
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| Source |
Dynamic Econometric Models; Vol 10 (2010); 51-60
Dynamic Econometric Models; Vol 10 (2010); 51-60 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.005/4028
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