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Stochastic Investment Modelling: a Multiple Time-Series Approach

Published online by Cambridge University Press:  10 June 2011

W.S. Chan
W.S. Chan
Affiliation:
Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong. Tel: + 852-2859-2466; Fax: + 852-2858-9041; E-mail: chanws@hku.hk
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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.

Keywords

ARCH ModelsNon-Linear Threshold ModelsWilkie ModelVector Autoregressive-Moving Average ModelsTime-Series OutliersPrice InflationLong-Term Interest RatesShare Dividend YieldsShare Dividends

Information

Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 8 , Issue 3 , 01 August 2002, pp. 545 - 591
Copyright
Copyright © Institute and Faculty of Actuaries 2002

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