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Dynamic Econometric Models

Forecasting Financial Processes by Using Diffusion Models
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Forecasting Financial Processes by Using Diffusion Models

Authors

  • Piotr Płuciennik Adam Mickiewicz University, National Bank of Poland

DOI:

https://doi.org/10.12775/DEM.2010.005

Keywords

diffusion models, ex-post forecasts, Monte-Carlo simulation, the GARCH model, the ARIMA model, unit-root

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.

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Dynamic Econometric Models

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Published

2010-07-17

How to Cite

1.
PŁUCIENNIK, Piotr. Forecasting Financial Processes by Using Diffusion Models. Dynamic Econometric Models. Online. 17 July 2010. Vol. 10, pp. 51-60. [Accessed 6 July 2025]. DOI 10.12775/DEM.2010.005.
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