Forecasting Financial Processes by Using Diffusion Models
Journal Title: Dynamic Econometric Models - Year 2010, Vol 10, Issue 1
Abstract
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.
Authors and Affiliations
Piotr Płuciennik
Keywords
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