Year: 1999
Type: article
Abstract: ABSTRACT This paper reviews the stochastic asset model described in Wilkie (1995) and previous work on refining this model. The paper then considers the application on non-linear modelling to investment series, considering both ARCH techniques and threshold modelling. The paper suggests a threshold autoregressive (TAR) system as a useful progression from the Wilkie (1995) model. The authors are making available (on compact disk) a collection of spreadsheets, which they have used to simulate the stochastic asset models which are considered in this paper.
Source: British Actuarial Journal
Authors: S.P. Whitten, R.G. Thomas
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1970359045