Abstract
ABSTRACTThis 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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
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