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Simulation of Long-term Returns with Stochastic Correlations

عنوان مقاله: Simulation of Long-term Returns with Stochastic Correlations
شناسه ملی مقاله: JR_IJFMA-2-6_001
منتشر شده در در سال 1396
مشخصات نویسندگان مقاله:

Giorgio Consigli - Department of Mathematics, Statistics and Computer Science, University of Bergamo, Via dei Caniana, ۲۴۱۲۷ Bergamo, Italy (Corresponding author)
Mehdi M. Hosseinzadeh - Department of Mathematics, Statistics and Computer Science, University of Bergamo, Via dei Caniana, ۲۴۱۲۷ Bergamo, Italy

خلاصه مقاله:
This paper focuses on a nonlinear stochastic model for financial simulation and forecasting based on assumptions of multivariate stochastic correlation, with an application to the European market. We present in particular the key elements of a structured hierarchical econometric model that can be used to forecast financial and commodity markets relying on statistical and simulation methods. The investment universe includes money-market, fixed-income, inflation-linked bonds as well as equity and commodity indices. For each such investment opportunity a dedicated statistical model has been developed to generate future return paths describing the uncertainty the investment manager is facing over time.

کلمات کلیدی:
Multivariate statistical method, Stochastic correlation, Monte Carlo simulation

صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1327819/