skip to main content
Language:
Search Limited to: Search Limited to: Resource type Show Results with: Show Results with: Search type Index

Stochastic Investment Modelling: a Multiple Time-Series Approach

British Actuarial Journal, 2002-08, Vol.8 (3), p.545-591 [Peer Reviewed Journal]

Copyright © Institute and Faculty of Actuaries 2002 ;INSTITUTE OF ACTUARIES AND FACULTY OF ACTUARIES ;ISSN: 1357-3217 ;EISSN: 2044-0456 ;EISSN: 1748-5002 ;DOI: 10.1017/S1357321700003822

Full text available

Citations Cited by
  • Title:
    Stochastic Investment Modelling: a Multiple Time-Series Approach
  • Author: Chan, W.S.
  • Subjects: Dividends ; Economic models ; Modeling ; Outliers ; Parametric models ; Sessional meetings: papers and abstracts of discussions ; Simulations ; Stochastic models ; Time series ; Time series models ; Yield
  • Is Part Of: British Actuarial Journal, 2002-08, Vol.8 (3), p.545-591
  • Description: In this paper we adopt the multiple time-series modelling approach suggested by Tiao & Box (1981) to construct a stochastic investment model for price inflation, share dividends, share dividend yields and long-term interest rates in the United Kingdom. This method has the advantage of being direct and transparent. The sequential and iterative steps of tentative specification, estimation and diagnostic checking parallel those of the well-known Box-Jenkins method in the univariate time-series analysis. It is not required to specify any a priori causality as compared to some other stochastic asset models in the literature.
  • Publisher: Cambridge, UK: Cambridge University Press
  • Language: English
  • Identifier: ISSN: 1357-3217
    EISSN: 2044-0456
    EISSN: 1748-5002
    DOI: 10.1017/S1357321700003822
  • Source: ProQuest Central
Back to results list
INSPIRE LIBRARY - TON DUC THANG UNIVERSITY (84-028) 37 755 057 Feedback
19 Nguyen Huu Tho St. Dist.7, HCM thuvien@tdtu.edu.vn

Copyright © 2017 INSPIRE LIBRARY - TON DUC THANG UNIVERSITY

Searching Remote Databases, Please Wait